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 fiscal year 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 33-21532
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
(Exact name of registrant as specified in its Limited Partnership Agreement)
DELAWARE 13-3469595
(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:
Title of each class Name of each exchange
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: $12,399,995.56 at January 31, 1997.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
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<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEX TO ANNUAL REPORT ON FORM 10-K
DECEMBER 31, 1996
<CAPTION>
Page No.
<S> <C>
DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . . . . . . . 1
Part I .
Item 1. Business. . . . . . . . . . . . . . . . . . . . . . . . 2-4
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 . . . . 18
Part IV.
Item 14. Exhibits, Financial Statement Schedules, and
Reports on Form 8-K . . . . . . . . . . . . . . . . . . 19
</TABLE>
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<TABLE>
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the following documents are incorporated by reference as
follows:
<CAPTION>
Documents Incorporated Part of Form 10-K
<S> <C>
Partnership's Registration Statement
on Form S-1, File No. 33-21532 I and IV
Supplemental Information Regarding
Dean Witter Futures & Currency
Management Inc. I and IV
December 31, 1996 Annual Report
for the Dean Witter Multi-Market
Portfolio L.P. II and IV
</TABLE>
<PAGE>
PART I
Item 1. BUSINESS
(a) General Development of Business. Dean Witter Multi-Market
Portfolio L.P. (formerly named Dean Witter Principal Guaranteed Fund L.P.)
(the "Partnership") is a Delaware limited partnership formed to engage in
the speculative trading of commodity futures contracts and other commodity
interests, including, but not limited to, forward contracts on foreign
currencies and options on futures contracts and physical commodities.
Units of limited partnership interest in the Partnership were
registered pursuant to a Registration Statement on Form S-1 (File No. 33-
21532) which became effective on June 24, 1988. 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 August 31, 1988. On September 30,
1993, the guarantee with respect to the Partnership terminated, Commodity
Corporation (U.S.A.) N.V., the original trading manager of the Partnership
resigned and was replaced by Dean Witter Futures & Currency Management
Inc. ("DWFCM"), an affiliate of DWR and Demeter. The Partnership was
renamed as indicated above and is trading in a non-guaranteed structure
with all assets committed to trading. The Partnership's net asset value
per unit, as of December 31, 1996, was $1,007.76 representing a decrease
of 6.76 percent from the net asset value per unit of $1,080.82 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
<PAGE>
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 DWFCM.
For a detailed description of the different facets of the Partnership's
business, see those portions of the Partnership's Prospectus, dated June
24, 1988, filed as part of the Registration Statement on Form S-1 and
Supplemental Information regarding DWFCM (see "Documents Incorporated by
Reference" Page 1), set forth below.
Facets of Business
1. Summary 1. "Summary of the Prospectus"
(Pages 2-11)
2. Commodity Markets 2. "The Commodities Markets"
(Pages 158-168)
3. Partnership's Commodity 3. "Trading Policies" (Pages
Trading Arrangements an 153-154) and Supplemental
Policies Information Regarding Dean
Witter Futures & Currency
Management Inc. dated
August 27, 1993.
4. Management of the Partneship 4. "The Management Agreement"
(Pages 156-158 and
Supplemental Information
Regarding Dean Witter
Futures & Currency Management
Inc. dated August 27, 1993).
"The General Partner" (Pages
36-52) and "The Commodity
Broker" (Pages 154-155). "The
Limited Partnership Agreement"
(Pages 169-174).
5. Taxation of the Partnership's 5. "Federal Income Tax
Limited Partners Aspects" and "State and
Local Income Tax Aspects"
(Pages 176-184).
<PAGE>
(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 and futures contracts on foreign exchanges.
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 interests in limited partnership
commodity pools sold by DWR. Named defendants include DWR, Demeter,
DWFCM, Dean Witter, Discover & Co. ("DWD") (all such parties referred to
hereafter as the "Dean Witter Parties"), certain limited partnership
commodity pools of which Demeter is the general partner, and certain
trading advisors 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 on behalf of all purchasers of
interests in various limited partnership commodity pools 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
<PAGE>
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 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.
Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
<PAGE>
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 2,066. No distributions
have been made by the Partnership since it commenced trading operations
on August 31, 1988. 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.
Limited Partnership Units are registered for sale to the public in
certain Canadian provinces.
<PAGE>
<TABLE>
Item 6. SELECTED FINANCIAL DATA (in dollars)
<CAPTION>
For the Years Ended December 31,
<S> <C> <C> <C> <C> <C>
1996 1995 1994 1993 1992
Total Revenues
(including interest) 358,079 1,268,953 2,945,000 6,045,087 2,932,287
Net Income (Loss) (1,110,424) (1,045,666) 281,352 2,365,302 (9,968,836)
Net Income (Loss)
Per Unit (Limited
& General Partners) (73.06) (73.49) 29.95 89.47 (86.97)
Total Assets 12,169,963 15,916,814 19,760,146 25,561,013 66,912,508
Total Limited
Partners' Capital 11,628,908 15,216,606 19,003,112 21,990,643 61,302,344
Net Asset Value Per
Unit of Limited
Partnership Interest 1,007.76 1,080.82 1,154.31 1,124.36 1,034.89
</TABLE>
<PAGE>
Item 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
Liquidity. The Partnership's assets are deposited in separate commodity
trading accounts with DWR, the commodity broker, and are used by the
Partnership as margin to engage in commodity futures, forward contracts on
foreign currencies and other commodity interest trading. DWR holds such
assets in either segregated 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 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.
<PAGE>
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 Advisor 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 Advisor 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 Agreement) override the trading instructions of the 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
<PAGE>
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 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. 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 creditworthiness 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.
<PAGE>
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 Note 3, "Financial Instruments" - to the Partnership's
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
<PAGE>
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 $11,937,282, a decrease of $3,610,056 from the
Partnership's total capital of $15,547,338 at December 31, 1995. For the
year ended December 31, 1996, the Partnership incurred a net loss of
$1,110,424 and total redemptions aggregated $2,499,632.
For the year ended December 31, 1996, the Partnership's total trading
revenues including interest income were $358,079. The Partnership's total
expenses for the year were $1,468,503, resulting in a net loss of
$1,110,424. The value of an individual unit in the Partnership decreased
from $1,080.82 at December 31, 1995 to $1,007.76 at December 31, 1996.
As of December 31, 1995, the Partnership's total capital was
$15,547,338, a decrease of $3,808,992 from the Partnership's total capital
of $19,356,330 at December 31, 1994. For the year ended December 31,
1995, the Partnership incurred a net loss of $1,045,666 and total
redemptions aggregated $2,763,326.
For the period ended December 31, 1995, the Partnership's total
trading revenues including interest income were $1,268,953. The
Partnership's total expenses for the period were $2,314,619, resulting in
a net loss of $1,045,666. The value of an individual unit in the
Partnership decreased from $1,154.31 at December 31, 1994 to $1,080.82 at
December 31, 1995.
As of December 31, 1994, the Partnership's total capital was
$19,356,330, a decrease of $5,474,434 from the Partnership's total capital
of $24,830,764 at December 31, 1993. For the year ended December 31,
<PAGE>
1994, the Partnership generated net income of $281,352 and total
redemptions aggregated $5,755,786.
For the year ended December 31, 1994, the Partnership's total trading
revenues including interest income were $2,945,000. The Partnership's
total expenses for the year were $2,663,648, resulting in net income of
$281,352. The value of an individual unit in the Partnership increased
from $1,124.36 at December 31, 1993 to $1,154.31 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.
<PAGE>
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.
<PAGE>
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
<PAGE>
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
<PAGE>
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 306 Units of General Partnership Interest representing a
2.58 percent interest in the Partnership.
(c) Changes in Control - None
<PAGE>
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
fees (paid and accrued by the Partnership) of $1,000,631 for the year
ended December 31, 1996. In its capacity as the trading manager, DWFCM
received management fee of $384,172 for the year ended December 31, 1996.
<PAGE>
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 reports 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.
<PAGE>
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 MULTI-MARKET PORTFOLIO
(Registrant)
BY: Demeter Management Corporation,
General Partner
March 24, 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 24, 1997
Mark J. Hawley, Director and
President
/s/ Richard M. DeMartini March 24, 1997
Richard M. DeMartini, Director
and Chairman of the Board
/s/ Lawrence Volpe March 24, 1997
Lawrence Volpe, Director
/s/ Laurence E. Mollner March 24, 1997
Laurence E. Mollner, Director
/s/ Joseph G. Siniscalchi March 24, 1997
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 24, 1997
Edward C. Oelsner III, Director
/s/ Robert E. Murray March 24, 1997
Robert E. Murray, Director
/s/ Patti L. Behnke March 24, 1997
Patti L. Behnke, Chief Financial
Officer and Principal Accounting
Officer
<PAGE>
EXHIBIT INDEX
Item Method of Filing
- - 3. Limited Partnership Agreement of
the Partnership, dated as of
June 24, 1988. (1)
- - 10. Management Agreement between the
Partnership and Dean Witter Futures &
Currency Management Inc. as of
October 1, 1993. (2)
- - 10. Customer Agreement between the Partnership
and Dean Witter Reynolds Inc., dated as of
June 24, 1988 (the "Customer Agreement"). (3)
- - 10. Amended and Restated Customer Agreement
dated as of October 1, 1993. (4)
- - 19. Supplemental Information Regarding Dean Witter
Futures & Currency Management Inc. dated
August 27, 1993. (5)
- - 13. December 31, 1996 Annual Report to Limited Partners. (6)
(1) Incorporated by reference to Exhibit 3.01 and Exhibit 3.02 of the
Partnership's Registration Statement on Form S-1 (File No. 33-21532).
(2) Incorporated by reference to Exhibit 10.01 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1993.
(3) Incorporated by reference to Exhibit 10.01 of the Partnership's
Registration Statement on Form S-1 (File No. 33-21532).
(4) Incorporated by reference to Exhibit 10.02 of the Partnership's Annual
Report on Form 10-K for the fiscal year ended December 31, 1993.
(5) Incorporated by reference to Exhibit 19 of the Partnership's Annual
Reporton Form 10-K for the fiscal year ended December 31, 1993.
(6) Filed herewith.
<PAGE>
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter Multi Market Portfolio L.P. and is qualified in its entirety by
references to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> DEC-31-1996
<CASH> 11,906,105
<SECURITIES> 0
<RECEIVABLES> 41,222
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 12,169,963<F1>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 12,169,963<F2>
<SALES> 0
<TOTAL-REVENUES> 358,079<F3>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 1,468,503
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (1,110,424)
<INCOME-TAX> 0
<INCOME-CONTINUING> (1,110,424)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (1,110,424)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $221,008 and due from DWR of $1,628.
<F2>Liabilities include redemptions payable of $184,964 accrued brokerage
fee (DWR) of $14,948, accrued transaction fees and costs of $2,350 and
accrued management fees of $30,419.
<F3>Total revenue includes realized trading revenue of $611,589 net change
in unrealized of ($755,582) and interest income of $502,072.
</FN>
</TABLE>
<PAGE>
Multi-
Market
Portfolio
December 31, 1996
Annual Report
[LOGO] DEAN WITTER
<PAGE>
DEAN WITTER
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
(FORMERLY DEAN WITTER PRINCIPAL GUARANTEED FUND)
ANNUAL REPORT 1996
Dear Limited Partner:
This marks the ninth annual report for the Dean Witter Multi-Market Portfolio
L.P. (the "Fund"). The Fund began the year at a Net Asset Value per Unit of
$1,080.82 and finished the year at a Net Asset Value per Unit of $1,007.76,
reflecting a loss of 6.8%. Since its inception in September 1988, the Fund has
increased by 0.8% (a compound annualized return of 0.1%).
Losses were recorded during January primarily as a result of long positions in
energy futures as gas and oil prices reversed lower after an upward move late
in 1995. Smaller losses were recorded in agricultural futures. Trading gains
experienced in currencies from short Japanese yen, German mark and Swiss franc
positions offset a majority of these losses. Significant losses were recorded
in February as a result of a series of sharp trend reversals in the value of
the Japanese yen and major European currencies. Additional losses were recorded
in the energy markets, as a result of inconsistent price movement, and in
global interest rate futures as a result of a sharp reversal in the previous
upward move. Small gains were recorded in March from newly established long
positions in the energy markets as oil and gas futures prices finished the
month higher.
Trading gains posted during April 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. Smaller gains were recorded from trading in the
agricultural and energy futures markets. Sharp trend reversals in a
<PAGE>
majority of the markets traded resulted in losses during May. The most
significant losses were recorded in metals from long copper futures positions
as prices moved dramatically lower on May 17 and 20. During June, global
interest rate and stock index futures prices moved in a choppy pattern,
resulting in losses for the Fund. Smaller losses were recorded in the
agricultural markets. A portion of these losses was offset by gains from short
copper futures positions as prices moved dramatically lower on news of
significant losses in copper by Sumitomo Corporation.
During July, long German mark and Swiss franc positions profited from an upward
move in the value of these currencies relative to the U.S. dollar. Additional
gains were recorded during July from long global interest rate futures
positions. Trend reversals and choppy movement in the currency markets resulted
in losses for the Fund during August. Smaller losses were recorded from trading
in agricultural commodities and metals. Gains from long energy futures
positions offset a portion of these losses. A strong upward move in global
interest rate futures prices during September resulted in gains for the Fund's
long positions. Additional gains were recorded in the energy markets as oil and
gas prices continued to trend higher.
Gains were recorded during October and November from long British pound
positions as the value of the pound surged higher relative to the U.S. dollar.
Additional gains were recorded as long global interest rate futures positions
profited from a continued upward price trend. A small portion of these gains
was offset by losses experienced during October in the energy markets, and
during November as a result of choppy movement in agricultural futures prices.
Losses were recorded during December as a result of sudden and dramatic
reversal in global interest rate futures prices early in the month. Additional
losses were recorded
<PAGE>
as the value of the British pound decreased sharply during the first week of
December.
The intermediate to long-term trend following trading methodology of the Fund's
sole trading advisor, Dean Witter Futures & Currency Management, Inc.
("DWFCM"), was hurt by price volatility in energies and agricultural
commodities during much of 1996. This factor coupled with sharp trend reversals
in currencies and global bond futures in February and December when positions
in these areas were significant, resulted in overall losses for the year
despite a better than 20% increase during the three month period September-
November. While such results are frustrating, we remain confident in DWFCM's
time tested methodology and in its ability to rebound as it has over previous
long-term periods.
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
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEPENDENT AUDITORS' REPORT
The Limited Partners and the General Partner:
We have audited the accompanying statements of financial condition of Dean
Witter Multi-Market Portfolio L.P. (formerly Dean Witter Principal Guaranteed
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 financial
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 Multi-Market Portfolio 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
February 17, 1997
New York, New York
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
DECEMBER 31,
---------------------
1996 1995
---------- ----------
$ $
<S> <C> <C>
ASSETS
Equity in Commodity futures trading accounts:
Cash 11,906,105 14,884,093
Net unrealized gain on open contracts 221,008 976,590
---------- ----------
Total Trading Equity 12,127,113 15,860,683
Interest receivable (DWR) 41,222 56,131
Due from DWR 1,628 --
---------- ----------
Total Assets 12,169,963 15,916,814
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 184,964 205,081
Accrued management fee (DWFCM) 30,419 39,778
Accrued brokerage fee (DWR) 14,948 119,337
Accrued transaction fees and costs 2,350 5,280
---------- ----------
Total Liabilities 232,681 369,476
---------- ----------
PARTNERS' CAPITAL
Limited Partners (11,539.388 and 14,078.727 Units,
respectively) 11,628,908 15,216,606
General Partner (306 Units) 308,374 330,732
---------- ----------
Total Partners' Capital 11,937,282 15,547,338
---------- ----------
Total Liabilities and Partners' Capital 12,169,963 15,916,814
========== ==========
NET ASSET VALUE PER UNIT 1,007.76 1,080.82
========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE YEARS
ENDED
DECEMBER 31,
---------------------------------
1996 1995 1994
---------- ---------- ---------
$ $ $
<S> <C> <C> <C>
REVENUES
Trading Profit (Loss):
Realized 611,589 2,025,100 1,718,542
Net change in unrealized (755,582) (1,553,703) 511,173
---------- ---------- ---------
Total Trading Results (143,993) 471,397 2,229,715
Interest income 502,072 797,556 715,285
---------- ---------- ---------
Total Revenues 358,079 1,268,953 2,945,000
---------- ---------- ---------
EXPENSES
Brokerage fee (DWR) 1,000,631 1,634,478 1,879,250
Management fee (DWFCM) 384,172 544,826 626,417
Transaction fees and costs 83,700 135,315 157,981
---------- ---------- ---------
Total Expenses 1,468,503 2,314,619 2,663,648
---------- ---------- ---------
Net Income (Loss) (1,110,424) (1,045,666) 281,352
========== ========== =========
Net Income (Loss) Allocation:
Limited Partners (1,088,066) (1,023,180) 292,134
General Partner (22,358) (22,486) (10,782)
Net Income (Loss) per Unit:
Limited Partners (73.06) (73.49) 29.95
General Partner (73.06) (73.49) 29.95
</TABLE>
STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
<TABLE>
<CAPTION>
UNITS OF
PARTNERSHIP LIMITED GENERAL
INTEREST PARTNERS PARTNER TOTAL
----------- ---------- ---------- ----------
$ $ $
<S> <C> <C> <C> <C>
Partners' Capital,
December 31, 1993 22,084.450 21,990,643 2,840,121 24,830,764
Net Income (Loss) -- 292,134 (10,782) 281,352
Redemptions (5,315.646) (3,279,665) (2,476,121) (5,755,786)
---------- ---------- ---------- ----------
Partners' Capital,
December 31, 1994 16,768.804 19,003,112 353,218 19,356,330
Net Loss -- (1,023,180) (22,486) (1,045,666)
Redemptions (2,384.077) (2,763,326) -- (2,763,326)
---------- ---------- ---------- ----------
Partners' Capital, December
31, 1995 14,384.727 15,216,606 330,732 15,547,338
Net Loss -- (1,088,066) (22,358) (1,110,424)
Redemptions (2,539.339) (2,499,632) -- (2,499,632)
---------- ---------- ---------- ----------
Partners' Capital, December
31, 1996 11,845.388 11,628,908 308,374 11,937,282
========== ========== ========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CASH FLOWS
<TABLE>
<CAPTION>
FOR THE YEARS
ENDED
DECEMBER 31,
----------------------------------
1996 1995 1994
---------- ---------- ----------
$ $ $
<S> <C> <C> <C>
CASH FLOWS FROM
OPERATING ACTIVITIES
Net income (loss) (1,110,424) (1,045,666) 281,352
Noncash item included in net income
(loss):
Net change in unrealized 755,582 1,553,703 (511,173)
(Increase) decrease in operating assets:
Interest receivable (DWR) 14,909 19,956 (23,845)
Due from DWR (1,628) -- --
Increase (decrease) in operating
liabilities:
Accrued management fee (DWFCM) (9,359) (9,613) (14,498)
Accrued brokerage fee (DWR) (104,389) (28,837) (43,494)
Accrued transaction fees and costs (2,930) 1,600 (1,608)
---------- ---------- ----------
Net cash provided by (used for) operating
activities (458,239) 491,143 (313,266)
---------- ---------- ----------
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions
payable (20,117) 2,510 (266,833)
Redemptions of units (2,499,632) (2,763,326) (5,755,786)
---------- ---------- ----------
Net cash used for financing activities (2,519,749) (2,760,816) (6,022,619)
---------- ---------- ----------
Net decrease in cash (2,977,988) (2,269,673) (6,335,885)
Balance at beginning of period 14,884,093 17,153,766 23,489,651
---------- ---------- ----------
Balance at end of period 11,906,105 14,884,093 17,153,766
========== ========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION--Dean Witter Multi-Market Portfolio L.P. (formerly Dean Witter
Principal Guaranteed 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"). The
Trading Manager is Dean Witter Futures & Currency Management Inc. ("DWFCM").
DWR, DWFCM and Demeter are wholly-owned subsidiaries of Dean Witter, Discover &
Co. ("DWD").
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 that are allocated for
commodity trading at a rate equal to the average yield on 13-Week U.S. Treasury
Bills issued during such 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. 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.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
BROKERAGE FEES AND RELATED TRANSACTION FEES AND COSTS--Prior to September 1,
1996, the monthly brokerage fee was equal to 3/4 of 1% per month of the
Partnership's adjusted month-end Net Assets, as defined in the Limited
Partnership Agreement, that were allocated for commodity trading.
Effective September 1, 1996, brokerage commissions are accrued on a half-turn
basis at 80% of DWR's published non-member rates, to a maximum of 13/20 of 1%
per month, inclusive of transaction fees and costs of the Partnership's month-
end Net Assets (as defined in the Limited Partnership Agreement).
Transaction fees and costs are accrued on a half-turn basis.
OPERATING EXPENSES--The Partnership incurs a monthly management fee and may
incur an incentive fee. Demeter and/or DWR bear all other operating expenses.
REDEMPTIONS--Limited Partners may redeem some or all of their Units at 100% of
the Net Asset Value per Unit on the special redemption dates described in the
Limited Partnership Agreement or as of the last day of any fiscal quarter upon
five business days advance notice by redemption form to Demeter.
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.
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 a monthly brokerage fee as described in Note 1.
Demeter, on behalf of the Partnership and itself, has entered into a Management
Agreement with DWFCM to make all trading decisions for the Partnership.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
Compensation to DWFCM by the Partnership consists of a management fee and an
incentive fee as follows:
MANAGEMENT FEE--As of the last day of each month, the Partnership pays a
monthly management fee equal to 1/4 of 1% of the Partnership's adjusted Net
Assets, as defined, that are allocated to commodity interest trading accounts
which DWFCM trades on behalf of the Partnership.
INCENTIVE FEE--The Partnership will pay a quarterly incentive fee equal to 15%
of the "Trading Profits" as defined, earned by the Partnership as of the end of
each calendar quarter. No incentive fee will be paid until the existing trading
loss carryforward (adjusted for redemptions) has been recovered.
3. FINANCIAL INSTRUMENTS
The Partnership trades futures, options 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 December 31, 1996 and 1995, open contracts were:
<TABLE>
<CAPTION>
CONTRACT OR NOTIONAL AMOUNT
---------------------------
1996 1995
------------- -------------
$ $
<S> <C> <C>
EXCHANGE-TRADED CONTRACTS
Financial Futures:
Commitments to Purchase -- 71,154,000
Commodity Futures:
Commitments to Purchase 1,887,000 33,532,000
Commitments to Sell 5,815,000 5,021,000
Foreign Futures:
Commitments to Purchase 6,889,000 54,942,000
Commitments to Sell 12,227,000 3,775,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS
Commitments to Purchase 33,149,000 51,588,000
Commitments to Sell 42,607,000 58,172,000
</TABLE>
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.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
The unrealized gains on open contracts are reported as a component of "Equity
in Commodity futures trading accounts" on the Statements of Financial Condition
and totaled $221,008 and $976,590 at December 31, 1996 and 1995, respectively.
Of the $221,008 net unrealized gain on open contracts at December 31, 1996,
$477,638 related to exchange-traded futures contracts and $(256,630) related to
off-exchange-traded forward currency contracts. Of the $976,590 net unrealized
gain on open contracts at December 31, 1995, $1,563,573 related to exchange-
traded futures contracts and $(586,983) related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at December 31, 1996
and 1995 mature through June 1997 and September 1996, respectively. Off-
exchange-traded forward currency contracts held by the Partnership at December
31, 1996 and December 31, 1995 mature through February 1997, and February 1996,
respectively. 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 settled on a daily basis. DWR, as the futures
commission merchant for all of the Partnership's exchange-traded futures
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 contracts, including an amount equal to the net unrealized gain on all
open futures contracts which, funds totaled $12,383,743 and $16,447,666 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.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
For the years ended December 31, 1996 and 1995, the average fair value of
financial instruments held for trading purposes was as follows:
<TABLE>
<CAPTION>
1996
----------------------
ASSETS LIABILITIES
---------- -----------
$ $
EXCHANGE-TRADED CONTRACTS:
<S> <C> <C>
Financial Futures 15,388,000 9,495,000
Commodity Futures 8,258,000 4,820,000
Foreign Futures 22,868,000 8,490,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS 38,167,000 42,948,000
<CAPTION>
1995
----------------------
ASSETS LIABILITIES
---------- -----------
$ $
EXCHANGE-TRADED CONTRACTS:
<S> <C> <C>
Financial Futures 26,930,000 16,351,000
Commodity Futures 14,868,000 7,339,000
Foreign Futures 30,978,000 9,299,000
OFF-EXCHANGE-TRADED FORWARD
CURRENCY CONTRACTS 42,209,000 53,791,000
</TABLE>
4. 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, DWFCM, DWD (all such parties
referred to hereafter as the "Dean Witter Parties"), certain other limited
partnership commodity pools of which Demeter is the general partner, and
certain trading advisors 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 on behalf of all purchasers of interests in various
limited partnership commodity pools 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
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS--(CONCLUDED)
Witter Parties believe that they 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.
<PAGE>
DEAN WITTER REYNOLDS INC.
Two World Trade Center
62nd Floor
New York, NY 10048
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ZIP + 4 PRESORT
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