UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q
[X] Quarterly report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the quarterly period ended September 30, 1999 or
[ ] Transition report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the transition period from________________to_____________
Commission file number 0-17178
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3469595
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification
No.)
c/o Demeter Management Corp.
Two World Trade Center, 62 Fl., New York, NY 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
(Former name, former address, and former fiscal year, if changed
since last report)
Indicate by check-mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months
(or for such shorter period that the registrant was required to
file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No
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DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
September 30, 1999
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
September 30, 1999 (Unaudited) and December 31, 1998.......2
Statements of Operations for the Quarters Ended
September 30, 1999 and 1998 (Unaudited)....................3
Statements of Operations for the Nine Months Ended
September 30, 1999 and 1998 (Unaudited)....................4
Statements of Changes in Partners' Capital for
the Nine Months Ended September 30, 1999 and 1998
(Unaudited)................................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 1999 and 1998 (Unaudited)....................6
Notes to Financial Statements (Unaudited).............. 7-11
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations..........................................12-22
Item 3. Quantitative and Qualitative Disclosures about
Market Risk ........................................22-33
PART II. OTHER INFORMATION
Item 1. Legal Proceedings................................... 34
Item 6. Exhibits and Reports on Form 8-K...................... 34
</TABLE>
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<TABLE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
September 30, December 31,
1999 1998
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 8,299,189 9,760,647
Net unrealized gain on open contracts 479,718 263,650
Total Trading Equity 8,778,907 10,024,297
Interest receivable (DWR) 26,817 30,027
Due from DWR 5,363 214
Total Assets 8,811,087 10,054,538
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 96,236 57,282
Accrued management fee (DWFCM) 22,028 25,136
Total Liabilities 118,264 82,418
Partners' Capital
Limited Partners (7,397.224 and
8,169.739 Units, respectively) 8,576,876 9,851,534
General Partner (100 Units) 115,947 120,586
Total Partners' Capital 8,692,823 9,972,120
Total Liabilities and Partners' Capital 8,811,087 10,054,538
NET ASSET VALUE PER UNIT 1,159.47 1,205.86
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
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<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit:
Realized 305,192 1
,076,712
Net change in unrealized 59,191
218,905
Total Trading Results 364,383 1
,295,617
Interest Income (DWR) 81,546
95,854
Total Revenues 445,929
1,391,471
EXPENSES
Brokerage commissions (DWR) 130,939 152,145
Management fees (DWFCM) 66,081 77,134
Transaction fees and costs 9,144
11,196
Total Expenses 206,164
240,475
NET INCOME 239,765
1,150,996
NET INCOME ALLOCATION
Limited Partners 236,629 1
,110,931
General Partner 3,136 40,065
NET INCOME PER UNIT
Limited Partners 31.36 130.93
General Partner 31.36 130.93
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (229,520) 1
,628,268
Net change in unrealized 216,068
(450,820)
Total Trading Results (13,452) 1
,177,448
Interest Income (DWR) 243,209
294,616
Total Revenues 229,757
1,472,064
EXPENSES
Brokerage commissions (DWR) 391,040 449,079
Management fees (DWFCM) 204,753 229,443
Transaction fees and costs 30,613
35,726
Total Expenses 626,406
714,248
NET INCOME (LOSS) (396,649)
757,816
NET INCOME (LOSS) ALLOCATION
Limited Partners (392,010) 730,296
General Partner (4,639) 27,520
NET INCOME (LOSS) PER UNIT
Limited Partners (46.39) 89.94
General Partner (46.39) 89.94
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 1999 and 1998
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C> <C> <C>
Partners' Capital
December 31, 1997 9,460.865 $10,451,503 $ 349,3
40 $10,800,843
Net Income - 730,296 27,520 757,8
16
Redemptions (1,026.844) (917,834) (253,703)
(1,171,537)
Partners' Capital
September 30, 1998 8,434.021 $10,263,965 $ 123
,157 $10,387,122
Partners' Capital
December 31, 1998 8,269.739 $9,851,534 $120,586$9,972,120
Net Loss - (392,010) (4,639) (396,
649)
Redemptions (772.515) (882,648)
- - (882,648)
Partners' Capital
September 30, 1999 7,497.224 8,576,876 115,947 8,692,823
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
1999 1998
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) (396,649) 757,816
Noncash item included in net income (loss):
Net change in unrealized (216,068) 450,820
(Increase) decrease in operating assets:
Interest receivable (DWR) 3,210 2,260
Due from DWR (5,149) 8,158
Decrease in operating liabilities:
Accrued management fee (DWFCM) (3,108)
(606)
Net cash provided by (used for) operating activities (617,764)
1,218,448
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable 38,954
171,845
Redemptions of units (882,648)
(1,171,537)
Net cash used for financing activities (843,694)
(999,692)
Net increase (decrease) in cash (1,461,458) 218,756
Balance at beginning of period 9,760,647
9,294,823
Balance at end of period 8,299,189
9,513,579
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The financial statements include, in the opinion of management,
all adjustments necessary for a fair presentation of the results
of operations and financial condition of Dean Witter Multi-Market
Portfolio L.P. (the "Partnership"). The financial statements and
condensed notes herein should be read in conjunction with the
Partnership's December 31, 1998 Annual Report on Form 10-K.
1. Organization
Dean Witter Multi-Market Portfolio L.P. (formerly, Dean Witter
Principal Guaranteed Fund L.P.) is a limited partnership
organized to engage in the speculative trading of futures
contracts, forward contracts, and other commodity interests
(collectively "futures interests"). The general partner for the
Partnership is Demeter Management Corporation ("Demeter"). The
non-clearing commodity broker is Dean Witter Reynolds Inc.
("DWR") and an unaffiliated clearing commodity broker, Carr
Futures Inc. ("Carr"), provides clearing and execution services.
The Trading Advisor is Dean Witter Futures & Currency Management
Inc. ("DWFCM" or the "Trading Advisor"). Demeter, DWR and DWFCM
are wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co.
("MSDW").
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr in futures
interests trading accounts to meet margin requirements as needed.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
DWR pays interest on these funds based on current 13-week U.S.
Treasury bill rates. The partnership pays brokerage commissions
to DWR. Management fees and incentive fees (if any) incurred by
the Partnership are paid to DWFCM.
3. Financial Instruments
The Partnership trades futures contracts, forward contracts and
other commodity interests. Futures and forwards represent
contracts for delayed delivery of an instrument at a specified
date and price. Risk arises from changes in the value of these
contracts and the potential inability of counterparties to
perform under the terms of the contracts. There are numerous
factors which may significantly influence the market value of
these contracts, including interest rate volatility.
In June 1998, the Financial Accounting Standards Board issued
Statement of Financial Accounting Standard ("SFAS") No. 133,
"Accounting for Derivative Instruments and Hedging Activities"
effective for fiscal years beginning after June 15, 1999. The
Partnership elected to adopt the provisions of SFAS No. 133
beginning with the fiscal year that ended December 31, 1998.
SFAS No. 133 supersedes SFAS No. 119 and No. 105, which required
the disclosure of average aggregate fair values and
contract/notional values, respectively, of derivative financial
instruments for an entity which carries its assets at fair value.
The application of
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
SFAS No. 133 does not have a significant effect on the
Partnership's financial statements.
The net unrealized gain on open contracts is reported as a
component of "Equity in futures interests trading accounts" on
the Statements of Financial Condition and totaled $479,718 and
$263,650 at September 30, 1999 and December 31, 1998,
respectively.
Of the $479,718 net unrealized gain on open contracts at
September 30, 1999, $459,256 related to exchange-traded futures
contracts and $20,462 related to off-exchange-traded forward
currency contracts.
Of the $263,650 net unrealized gain on open contracts at December
31, 1998, $638,989 related to exchange-traded futures contracts
and $(375,339) related to off-exchange-traded forward currency
contracts.
Exchange-traded futures contracts held by the Partnership at
September 30, 1999 and December 31, 1998 mature through March
2000 and June 1999, respectively. Off-exchange-traded forward
currency contracts held by the Partnership at September 30, 1999
and December 31, 1998 mature through December 1999 and April
1999, respectively.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
The Partnership is subject to the credit risk associated with
counterparty non-performance. The credit risk associated with
the instruments in which the Partnership is involved is limited
to the amounts reflected in the Partnership's Statements of
Financial Condition. DWR and Carr act as the futures commission
merchants or the counterparties 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. Each of DWR and Carr, as a futures
commission merchant for all of the Partnership's exchange-traded
futures contracts, are required, pursuant to regulations of the
Commodity Futures Trading Commission ("CFTC") to segregate from
their own assets, and for the sole benefit of their commodity
customers, all funds held by them with respect to exchange-traded
futures contracts, including an amount equal to the net
unrealized gain on all open futures contracts, which funds, in
the aggregate, totaled $8,758,445 and $10,399,636 at September
30, 1999 and December 31, 1998, 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 Carr, the
sole
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
counterparty on all of such contracts, to perform. Carr's
parent, Credit Agricole Indosuez, has guaranteed to the
Partnership payment of the net liquidating value of the
transactions in the Partnership's account with Carr (including
foreign currency contracts).
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - Assets of the Partnership are deposited with DWR as
non-clearing broker and Carr as clearing broker in separate
futures interest trading accounts. Such assets are held in either
non-interest bearing bank accounts or in securities approved by
the CFTC for investment of customer funds. The Partnership's
assets held by DWR and Carr may be used as margin solely for the
Partnership's trading. Since the Partnership's sole purpose is
to trade in futures interests, it is expected that the
Partnership will continue to own such liquid assets for margin
purposes.
The Partnership's investment in futures interests may, from time
to time, be illiquid. Most United States futures exchanges limit
fluctuations in certain futures interest prices during a single
day by regulations referred to as "daily price fluctuations
limits" or "daily limits". Pursuant to such regulations, during
a single trading day no trades may be executed at prices beyond
the daily limit. If the price for a particular futures interest
has increased or decreased by an amount equal to the daily limit,
positions in such futures interest can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Futures interests 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 futures interests and result in
restrictions on redemptions.
<PAGE>
There is no limitation on daily price moves in trading forward
contracts on foreign currency. 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 from promptly liquidating unfavorable positions,
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. Future redemptions of Units
of Limited Partnership Interest ("Unit(s)") will affect the
amount of funds available for investment in futures interests in
subsequent periods. Since they 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
For the Quarter and Nine Months Ended September 30, 1999
For the quarter ended September 30, 1999, the Partnership
recorded total trading revenues including interest income of
$445,929 and posted an increase in Net Asset Value per Unit. The
most significant gains were recorded in the metals markets from
short gold futures positions as prices dropped during early July
amid disappointment over low prices at the U.K. auction. Newly
established long gold futures positions also produced gains as
prices skyrocketed due to the results of the Bank of England's
second gold auction on September 21 and the announcement of a
<PAGE>
plan by several European central banks to restrict sales of their
gold reserves for five years. Additional gains were recorded
during August from long aluminum futures positions as prices
increased on bullish technical factors and speculative buying.
In the energy markets, gains were recorded from long crude oil
futures positions as oil prices moved higher after OPEC ministers
confirmed that they would uphold their global cutbacks until
April of next year. These gains were partially offset by losses
recorded from short Australian interest rate futures positions as
prices increased during July and August on the temporary strength
in U.S. bonds and weaker-than-expected business spending data out
of Australia. Additional losses were recorded from short U.S.
interest rate futures positions as domestic bond prices moved
temporarily higher on the release of benign inflation data and
diminished fears of another interest rate increase by the Federal
Reserve. Offsetting gains resulted from short positions in
German bond futures as prices declined during July on comments by
Bundesbank President designate Welteke that he has started to see
signs of a resurgence in the European economy. In the currency
markets, losses were experienced early in the quarter from long
Australian dollar positions as its value weakened versus the U.S.
dollar due to depressed commodities prices, emerging market
concerns and on-going talks that China may eventually devalue its
currency. Newly established short positions in this currency
resulted in additional losses during September as its value
strengthened relative to the U.S. dollar following the rally in
gold prices. Losses were also experienced from long positions in
the European common currency, the euro, and the Swiss franc as
<PAGE>
the value of these currencies declined sharply versus the U.S.
dollar on September 10 as an intervention by the Bank of Japan
temporarily strengthened the U.S. dollar versus most major
currencies. As a result, new short positions were established in
the euro and the Swiss franc only to result in additional losses
as these currencies strengthened versus the U.S. dollar during
the latter half of September after U.S. trade figures reflected a
record deficit. Offsetting currency gains were recorded from
long positions in the Japanese yen as the value of the yen
climbed to a 44-month high versus the U.S. dollar amid optimism
over Japan's economic recovery. Total expenses for the three
months ended September 30, 1999 were $206,164, resulting in net
income of $239,765. The value of a Unit increased from $1,128.11
at June 30, 1999 to $1,159.47 at September 30, 1999.
For the nine months ended September 30, 1999, the Partnership
recorded total trading revenues including interest income of
$229,757 and, after expenses, posted a decrease in Net Asset
Value per Unit. The most significant net losses were experienced
in the global interest rate futures markets from short Australian
interest rate futures positions as prices increased during July
and August on the temporary strength in U.S. bonds and weaker-
than-expected business spending data out of Australia.
Additional losses were recorded from short Japanese bond futures
positions as prices increased during the first quarter amid
growing speculation that the Bank of Japan may underwrite
Japanese government bonds and during the third quarter on the
<PAGE>
strength of the Japanese yen and expectations that additional
monetary easing in that country will come. In the currency
markets, losses were recorded throughout a majority of the first
quarter from long Australian dollar positions as its value
dropped significantly relative to the U.S. dollar on speculation
regarding potential currency devaluations in the Asian region.
Early in the third quarter, losses were recorded from long
positions in this currency due to depressed commodities prices,
emerging market concerns and on-going talks that China may
eventually devalue its currency. Newly established short
positions in the Australian dollar resulted in additional losses
during September as its value strengthened relative to the U.S.
dollar following the rally in gold prices. Offsetting currency
gains were recorded during the third quarter from long positions
in the Japanese yen as the value of the yen climbed to a 44-month
high versus the U.S. dollar due to continued optimism over
Japan's economic recovery. In the global stock index futures
markets, losses were experienced during February, mid-April and
May from long S&P 500 Index futures positions as domestic equity
prices moved lower on concerns that the Federal Reserve may raise
interest rates in an effort to control inflation. These losses
were partially offset by gains recorded in the energy markets
during March from long positions in crude and heating oil futures
as prices moved significantly higher on news that both OPEC and
non-OPEC countries had reached an agreement to cut total output
beginning April 1st. Gains were also recorded in this market
complex during the third quarter after OPEC ministers confirmed
that they would uphold their global cutbacks until April of next
<PAGE>
year. In the metals markets, gains were recorded from short gold
futures positions as prices dropped to 20 year lows during early
July amid disappointment over low prices at the U.K. auction.
Newly established long gold futures positions also resulted in
gains as prices skyrocketed due to the results of the Bank of
England's second gold auction on September 21 and an announcement
by several European central banks that they plan to restrict
sales of their gold reserves for five years. Total expenses for
the nine months ended September 30, 1999 were $626,406, resulting
in a net loss of $396,649. The value of a Unit decreased from
$1,205.86 at December 31, 1998 to $1,159.47 at September 30,
1999.
For the Quarter and Nine Months Ended September 30, 1998
For the quarter ended September 30, 1998, the Partnership
recorded total trading revenues including interest income of
$1,391,471, and posted an increase in Net Asset Value per Unit.
The most significant gains were recorded in the financial futures
markets during August and September as investors sought the
safety of fixed income investments in response to anticipated
interest rate cuts by the U. S. Federal Reserve and significant
volatility in the global financial markets. As a result, gains
were recorded from long global interest rate futures positions,
particularly U.S., Japanese and European bond futures. Smaller
gains were recorded from long positions in Australian interest
rate futures as prices in these markets also trended higher.
Additional gains were recorded during July and August in the
<PAGE>
agricultural markets from short positions in corn and wheat
futures as grain prices continued their downward trend as
supplies remained abundant. These gains were partially offset by
losses recorded in the currency markets from long British pound
positions as its value moved lower in response to uncertainty
about economic developments and interest rate policy in that
country. These losses, coupled with additional currency losses
recorded from transactions involving the Australian dollar and
Swedish krona during September, more than offset gains from long
German mark positions. Additional losses were recorded during
July and September in the metals markets from short aluminum and
copper futures positions as base metals prices reversed higher
early in the quarter. Total expenses for the three months ended
September 30, 1998 were $240,475, resulting in net income of
$1,150,996. The value of a Unit increased from $1,100.64 at June
30, 1998 to $1,231.57 at September 30, 1998.
For the nine months ended September 30, 1998, the Partnership
recorded total trading revenues including interest income of
$1,472,064 and posted an increase in Net Asset Value per Unit.
The most significant gains were recorded in the financial futures
markets during the first and third quarters from long European
interest rate futures positions. Additional profits were
recorded from long positions in U.S. and Japanese bond futures as
prices in these markets also trended higher during the third
<PAGE>
quarter. Smaller gains were recorded in soft commodities from
short sugar futures positions as prices trended lower during
January, February and September. A portion of these gains was
offset by losses in the metals and currency markets. In metals,
losses were recorded during the first quarter from long silver
futures positions as silver prices reversed lower in late
February after rallying higher during January. In September,
additional losses were recorded from short silver futures
positions as precious metals prices moved higher due to
uncertainty in global stock markets and in the wake of reported
difficulties with several major hedge funds. During July,
smaller losses were recorded from short aluminum and copper
futures positions as base metals prices reversed higher. In
currency trading, losses were recorded from transactions
involving the British pound as its value moved without consistent
direction during the first nine months of the year. Additional
currency losses were recorded during the first quarter due
primarily to short-term volatility caused by the economic
instability in the Far East. During January, the upward trend in
the value of the U.S. dollar reversed lower in response to the
Japanese government's proposed economic stimulus package, thus
resulting in losses for previously established short Japanese yen
positions. Additional currency losses were recorded in February
as the value of the yen moved without consistent direction.
Total expenses for the nine months ended September 30, 1998 were
$714,248, resulting in net income of $757,816. The value of a
<PAGE>
Unit increased from $1,141.63 at December 31, 1997 to $1,231.57
at September 30, 1998.
Year 2000 Problem. Commodity pools, like financial and business
organizations and individuals around the world, depend on the
smooth functioning of computer systems. Many computer systems in
use today cannot recognize the computer code for the year 2000,
but revert to 1900 or some other date. This is commonly known as
the "Year 2000 Problem". The Partnership could be adversely
affected if computer systems used by it or any third party with
whom it has a material relationship do not properly process and
calculate date-related information and data concerning dates on
or after January 1, 2000. Such a failure could adversely affect
the handling or determination of futures trades and prices and
other services.
MSDW began its planning for the Year 2000 Problem in 1995, and
currently has several hundred employees working on the matter.
It has developed its own Year 2000 compliance plan to deal with
the problem and had the plan approved by the company's executive
management, Board of Directors and Information Technology
Department. Demeter is coordinating with MSDW to address the Year
2000 Problem with respect to Demeter's computer systems that
affect the Partnership. This includes hardware and software
upgrades, systems consulting and computer maintenance.
Beyond the challenge facing internal computer systems, the
systems failure of any of the third parties with whom the
<PAGE>
Partnership has a material relationship - the futures exchanges
and clearing organizations through which it trades, Carr, or the
Trading Advisor - could result in a material financial risk to
the Partnership. All U.S. futures exchanges are subject to
monitoring by the CFTC of their Year 2000 preparedness and the
major foreign futures exchanges are also expected to be subject
to market-wide testing of their Year 2000 compliance during 1999.
Demeter intends to monitor the progress of Carr and the Trading
Advisor throughout 1999 in their Year 2000 compliance and, where
applicable, to test its external interface with Carr and the
Trading Advisor.
A worst case scenario would be one in which trading of contracts
on behalf of the Partnership becomes impossible as a result of
the Year 2000 problem encountered by any third parties. A less
catastrophic but more likely scenario would be one in which
trading opportunities diminish as a result of technical problems
resulting in illiquidity and fewer opportunities to make
profitable trades. MSDW has begun developing various "contingency
plans" in the event that the systems of such third parties fail.
Demeter intends to consult closely with MSDW in implementing
those plans. Despite the best efforts of both Demeter and MSDW,
however, it is possible that these steps will not be sufficient
to avoid any adverse impact to the Partnership.
Risks Associated With the Euro. On January 1, 1999, eleven
countries in the European Union established fixed conversion
rates on their existing sovereign currencies and converted to a
<PAGE>
common single currency (the "euro"). During a three-year
transition period, the sovereign currencies will continue to
exist but only as a fixed denomination of the euro. Conversion
to the euro prevents the Trading Advisor from trading in certain
currencies and thereby limits its ability to take advantage of
potential market opportunities that might otherwise have existed
had separate currencies been available to trade. This could
adversely affect the performance results of the Partnership.
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool engaged primarily in the
speculative trading of futures interests. The market-sensitive
instruments held by the Partnership are acquired solely for
speculative trading purposes and, as a result, all or
substantially all of the Partnership's assets are subject to the
risk of trading loss. Unlike an operating company, the risk of
market-sensitive instruments is integral, not incidental, to the
Partnership's primary business activities.
The futures interests traded by the Partnership involve varying
degrees of related market risk. Such market risk is often
dependent upon changes in the level or volatility of interest
rates, exchange rates, and/or market values of financial
instruments and commodities. Fluctuations in related market risk
based upon the aforementioned factors result in frequent changes
in the fair value of the Partnership's open positions, and,
consequently, in its earnings and cash flow.
<PAGE>
The Partnership's total market risk is influenced by a wide
variety of factors, including the diversification effects among
the Partnership's existing open positions, the volatility present
within the market(s), and the liquidity of the market(s). At
varying times, each of these factors may act to exacerbate or
mute the market risk associated with the Partnership.
The Partnership's past performance is not necessarily indicative
of its future results. Any attempt at quantifying the
Partnership's market risk must be qualified by the inherent
uncertainty of its speculative trading, which may cause future
losses and volatility (i.e. "risk of ruin") far in excess of the
Partnership's experience to date and/or any reasonable
expectation premised upon historical changes in the fair value of
its market-sensitive instruments.
Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking
statements" within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange
Act of 1934). All quantitative disclosures in this section are
deemed to be forward-looking statements for purposes of the safe
harbor, except for statements of historical fact.
<PAGE>
The Partnership accounts for open positions on the basis of mark-
to-market accounting principles. As such, any loss in the fair
value of the Partnership's open positions is directly reflected
in the Partnership's earnings, whether realized or unrealized,
and the Partnership's cash flow, as profits and losses on open
positions of exchange-traded futures interests are settled daily
through variation margin.
The Partnership's risk exposure in the various market sectors
traded by the Trading Advisor is estimated below in terms of
Value at Risk ("VaR"). The VaR model employed by the Partnership
incorporates numerous variables that could impact the fair value
of the Partnership's trading portfolio. The Partnership
estimates VaR using a model based on historical simulation with a
confidence level of 99%. Historical simulation involves
constructing a distribution of hypothetical daily changes in
trading portfolio value. The VaR model generally takes into
account linear exposures to price and interest rate risk. Market
risks that are incorporated in the VaR model include equity and
commodity prices, interest rates, foreign exchange rates, as well
as correlation that exists among these variables. The
hypothetical changes in portfolio value are based on daily
observed percentage changes in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. In the case of the Partnership's VaR, the historical
observation period is approximately four years. The
Partnership's one-day 99% VaR corresponds to the negative change
in portfolio value that, based on observed market risk factor
<PAGE>
moves, would have been exceeded once in 100 trading days.
VaR models such as the Partnership's are continually evolving as
trading portfolios become more diverse and modeling techniques
and systems capabilities improve. It must also be noted that the
VaR model is used to quantify market risk for historic reporting
purposes only and is not utilized by either Demeter or the
Trading Advisor in their daily risk management activities.
The Partnership's Value at Risk in Different Market Sectors
The following table indicates the VaR associated with the
Partnership's open positions as a percentage of total Net Assets
by market category as of September 30, 1999. As of September 30,
1999, the Partnership's total capitalization was approximately $8
million.
Primary Market September 30, 1999
Risk Category Value at Risk
Currency (1.70)%
Interest Rate (0.84)
Commodity (1.32)
Equity (0.16)
Aggregate Value at Risk (2.40)%
Aggregate value at risk represents the aggregate VaR of the
Partnership's open positions and not the sum of the VaR of the
individual categories listed above. Aggregate VaR will be lower
as it takes into account correlation among different positions
and categories.
<PAGE>
The table above represents the VaR of the Partnership's open
positions at September 30, 1999 only and is not necessarily
representative of either the historic or future risk of an
investment in the Partnership. As the Partnership's sole business
is the speculative trading of primarily futures interests, the
composition of its portfolio of open positions can change
significantly over any given time period or even within a single
trading day. Such changes in open positions could materially
impact market risk as measured by VaR either positively or
negatively.
The table below supplements the quarter-end VaR by presenting the
Partnership's high, low and average VaR as a percentage of total
Net Assets for the four quarterly reporting periods from October 1,
1998 through September 30, 1999.
Primary Market Risk Category High Low Average
Currency (1.94)% (0.95)% (1.63)%
Interest Rate (1.87) (0.50) (0.99)
Commodity (1.32) (0.88) (1.08)
Equity (0.72) (0.16) (0.37)
Aggregate Value at Risk (3.05)% (1.37)% (2.27)%
Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the
Partnership is typically many times the applicable margin require-
ments, as such margin requirements generally range between 2% and
15% of contract face value. Additionally, due to the use of
leverage, the face value of the market sector instruments held by
the Partnership is typically many times the total capitalization of
<PAGE>
the Partnership. The financial magnitude of the Partnership's open
positions thus creates a "risk of ruin" not typically found in
other investment vehicles. Due to the relative size of the
positions held, certain market conditions may cause the Partnership
to incur losses greatly in excess of VaR within a short period of
time. The foregoing VaR tables, as well as the past performance of
the Partnership, gives no indication of such "risk of ruin". In
addition, VaR risk measures should be interpreted in light of the
methodology's limitations, which include the following: past
changes in market risk factors will not always yield accurate
predictions of the distributions and correlations of future market
movements; changes in portfolio value in response to market
movements may differ from the responses implicit in a VaR model;
published VaR results reflect past trading positions while future
risk depends on future positions; VaR using a one-day time horizon
does not fully capture the market risk of positions that cannot be
liquidated or hedged within one day; and the historical market risk
factor data used for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual
market movements.
The foregoing VaR tables present the results of the Partnership's
VaR for each of the Partnership's market risk exposures and on an
aggregate basis at September 30, 1999 and for the end of the four
quarterly reporting periods from October 1, 1998 through September
30, 1999. Since VaR is based on historical data, VaR should not be
viewed as predictive of the Partnership's future financial
performance or its ability to manage and monitor risk and there can
be no assurance that the Partnership's actual losses on a
particular
<PAGE>
day will not exceed the VaR amounts indicated or that such losses
will not occur more than 1 in 100 trading days.
Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, such balances, as well as
any market risk they may represent, are immaterial. The
Partnership also maintains a substantial portion (approximately
87%) of its available assets in cash at DWR. A decline in short-
term interest rates will result in a decline in the Partnership's
cash management income. This cash flow risk is not considered
material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and the
potential losses caused by such movements, taking into account the
leverage, optionality and multiplier features of the Partnership's
market- sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (i) those disclosures that are
statements of historical fact and (ii) the descriptions of how the
Partnership manages its primary market risk exposures - constitute
forward-looking statements within the meaning of Section 27A of the
Securities Act and Section 21E of the Securities Exchange Act. The
Partnership's primary market risk exposures as well as the
strategies used and to be used by Demeter and the Trading Advisor
for managing such exposures are subject to numerous uncertainties,
<PAGE>
contingencies and risks, any one of which could cause the actual
results of the Partnership's risk controls to differ materially
from the objectives of such strategies. Government interventions,
defaults and expropriations, illiquid markets, the emergence of
dominant fundamental factors, political upheavals, changes in his-
torical price relationships, an influx of new market participants,
increased regulation and many other factors could result in
material losses as well as in material changes to the risk
exposures and the risk management strategies of the Partnership.
Investors must be prepared to lose all or substantially all of
their investment in the Partnership.
The following were the primary trading risk exposures of the
Partnership as of September 30, 1999, by market sector. It may be
anticipated however, that these market exposures will vary
materially over time.
Currency. The greatest exposure at September 30, 1999 in the
Partnership was in the currency complex. The Partnership's
currency exposure is to exchange rate fluctuations, primarily
fluctuations that disrupt the historical pricing relationships
between different currencies and currency pairs. Interest rate
changes as well as political and general economic conditions
influence these fluctuations. The Partnership trades in a large
number of currencies, including cross-rates i.e., positions between
two currencies other than the U.S. dollar. For the third quarter
of 1999, the Partnership's exposures were in the euro currency
crosses and outright U.S. dollar positions (outright positions
consist of <PAGE>
the U.S. dollar vs. other currencies. These other currencies
include the major and minor currencies.). Demeter does not
anticipate that the risk profile of the Partnership's currency
sector will change significantly in the future. The currency
trading VaR figure includes foreign margin amounts converted into
U.S. dollars with an incremental adjustment to reflect the exchange
rate risk inherent to the dollar-based Partnership in expressing
VaR in a functional currency other than dollars.
Interest Rate. The Partnership's third greatest exposure
this quarter was in the interest rate sector. Exposure was spread
across the U.S., Swiss, Australian, and Japanese interest rate
sectors. Interest rate movements directly affect the price of
the sovereign bond positions held by the Partnrship and
indirectly affect the value of its stock index and currency
positions. Interest rate movements in one country as well as
relative interest rate movements between countries materially
impact the Partnership's profitability. The Partnership's
primary interest rate exposure is generally to interest rate
fluctuations in the G-7 countries and Australia. Demeter
anticipates that G-7 and Australian interest rates will remain
the primary interest rate exposure of the Partnership for the
foreseeable future. The changes in interest rates, which have
the most effect on the Partnership, are changes in long-term and
medium-term instruments. Consequently, even a material change in
short-term rates would have little effect on the Partnership,
were the medium-to-long term rates to remain steady.
<PAGE>
Commodity.
Metals. The second greatest exposure was in the base and
precious metals markets. The Partnership's metals market exposure
in the third quarter of 1999 was to fluctuations in the prices of
base metals, as well as the gold and silver markets. A
significant amount of exposure was evident in the gold market as
the price of gold increased dramatically following bullish
comments by the European Central Bank.
The Partnership aims to equally weight market exposure in
the metals as much as possible, however base metals, during
periods of volatility, will affect performance more dramatically
than the precious metals markets. Demeter anticipates that base
metals will remain the primary metals market exposure of the
Partnership.
Energy. On September 30, 1999, the Partnership's energy
exposure was in futures contracts in the New York and Brent crude
oil markets. Price movements in these markets result from
political developments in the Middle East, weather patterns, and
other economic fundamentals. As oil prices have increased about
100% this year, and, given that the agreement by OPEC to cut
production is closing in on expiration in March of 2000, it is
possible that volatility will remain on the high end. Significant
profits and losses have been and are expected to continue to be
experienced in these markets.
Soft Commodities and Agriculturals. On September 30, 1999,
the Partnership had significant exposure in the markets that
comprise these sectors. Most of the exposure, however, was in
<PAGE>
the sugar and coffee markets. Supply and demand inequalities,
severe weather disruptions and market expectations affect price
movements in these markets.
Equity. The Partnership's equity exposure on September 30,
1999 to price risk in the Nikkei futures index and the S&P 500
futures index was small. The stock index futures traded by the
Partnership are by law limited to futures on broadly-based
indices. Demeter anticipates little, if any, trading in non G-7
stock indices. The Partnership is primarily exposed to the risk
of adverse price trends or static markets in the U.S. and
Japanese indices. (Static markets would not cause major market
changes but would make it difficult for the Partnership to avoid
being "whipsawed" into numerous small losses.)
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the Partner-
ship as of September 30, 1999:
Foreign Currency Balances. The Partnership's foreign
currency balances are in Japanese yen, British pounds, euros,
Swiss francs and Australian dollars. The Partnership controls
the non-trading risk of these balances by regularly converting
these balances back into dollars upon liquidation of the
respective position.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Partnership and the Trading Advisor,
severally, attempt to manage the risk of the Partnership's open
<PAGE>
positions are essentially the same in all market categories
traded. Demeter attempts to manage the Partnership's market
exposure by (i) diversifying the Partnership's assets among
different market sectors and trading approaches, and (ii),
monitoring the performance of the Trading Advisor on a daily
basis. In addition, the Trading Advisor establishes diversi-
fication guidelines, often set in terms of the maximum margin to
be committed to positions in any one market sector or market-
sensitive instrument.
Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash, which is the only Partnership
investment directed by Demeter, rather than the Trading Advisor.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
The following supplements Legal Proceedings previously disclosed
in the Partnership's 1998 Form 10-K:
In the New York action, the motion to dismiss the amended
complaint with prejudice has been fully briefed and argued and
the Dean Witter Parties are awaiting the New York Supreme Court's
decision.
In the California action, on September 24, 1999, the Superior
Court in the State of California entered an order dismissing the
consolidated amended complaint without prejudice on consent.
Item 6. Exhibits and Reports on Form 8-K
A) Exhibits - None.
B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of
1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
Dean Witter Multi-Market Portfolio
L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
November 12, 1999 By:/s/ Lewis A. Raibley, III
Lewis A. Raibley, III
Director and Chief Financial
Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no
principal executive officer, principal financial officer,
controller, or principal accounting officer and has no Board of
Directors.
<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
reference to such financial statements.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-END> SEP-30-1999
<CASH> 8,299,189
<SECURITIES> 0
<RECEIVABLES> 32,180<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 8,811,087<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 8,811,087<F3>
<SALES> 0
<TOTAL-REVENUES> 229,757<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 626,406
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (396,649)
<INCOME-TAX> 0
<INCOME-CONTINUING> (396,649)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (396,649)
<EPS-BASIC> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $26,817 and due from
DWR of $5,363.
<F2>In addition to cash and receivables, total assets include net
unrealized gain on open contracts of $479,718.
<F3>Liabilities include redemptions payable of $96,236 and accrued
management fees of $22,028.
<F4>Total revenue includes realized trading revenue of $(229,520), net
change in unrealized of $216,068 and interest income of $243,209.
</FN>
</TABLE>
