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 June 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
June 30, 1999
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
June 30, 1999 (Unaudited) and December 31, 1998............2
Statements of Operations for the Quarters Ended
June 30, 1999 and 1998 (Unaudited).........................3
Statements of Operations for the Six Months Ended
June 30, 1999 and 1998 (Unaudited)........................ 4
Statements of Changes in Partners' Capital for
the Six Months Ended June 30, 1999 and 1998
(Unaudited)................................................5
Statements of Cash Flows for the Six Months Ended
June 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..........................................12-21
Item 3. Quantitative and Qualitative Disclosures about
Market Risk ........................................21-32
PART II. OTHER INFORMATION
Item 1. Legal Proceedings..................................... 33
Item 6. Exhibits and Reports on Form 8-K...................... 33
</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>
June 30, December 31,
1999 1998
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 8,372,483 9,760,647
Net unrealized gain on open contracts 420,527 263,650
Total Trading Equity 8,793,010 10,024,297
Interest receivable (DWR) 26,714 30,027
Due from DWR 7,939 214
Total Assets 8,827,663 10,054,538
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 110,555 57,282
Accrued management fee (DWFCM) 22,069 25,136
Total Liabilities 132,624 82,418
Partners' Capital
Limited Partners (7,607.626 and
8,169.739 Units, respectively) 8,582,228 9,851,534
General Partner (100 Units) 112,811 120,586
Total Partners' Capital 8,695,039 9,972,120
Total Liabilities and Partners' Capital 8,827,663 10,054,538
NET ASSET VALUE PER UNIT 1,128.11 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 June 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 36,170 (
879,137)
Net change in unrealized 81,685 1
,164,503
Total Trading Results 117,855 285,366
Interest Income (DWR) 78,641
96,366
Total Revenues 196,496
381,732
EXPENSES
Brokerage commissions (DWR) 130,381 150,851
Management fee (DWFCM) 67,878 74,126
Transaction fees and costs 10,376
11,045
Total Expenses 208,635
236,022
NET INCOME (LOSS) (12,139)
145,710
NET INCOME (LOSS) ALLOCATION
Limited Partners (11,960) 140,712
General Partner (179) 4,998
NET INCOME (LOSS) PER UNIT
Limited Partners (1.78) 16.34
General Partner (1.78) 16.34
<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 Six Months Ended June 30,
1999 1998
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (534,712) 551,556
Net change in unrealized 156,877
(669,725)
Total Trading Results (377,835) (
118,169)
Interest Income (DWR) 161,663
198,762
Total Revenues (216,172)
80,593
EXPENSES
Brokerage commissions (DWR) 260,101 296,934
Management fee (DWFCM) 138,672 152,309
Transaction fees and costs 21,469
24,530
Total Expenses 420,242
473,773
NET LOSS (636,414)
(393,180)
NET LOSS ALLOCATION
Limited Partners (628,639) (
380,635)
General Partner (7,775) (12,545)
NET LOSS PER UNIT
Limited Partners (77.75) (40.99)
General Partner (77.75) (40.99)
<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 CHANGES IN PARTNERS' CAPITAL
For the Six Months Ended June 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 $ 349,340 $10,800,843
Net Loss - (380,635) (12,545) (3
93,180)
Redemptions (536.344) (584,983) - (584,983)
Partners' Capital
June 30, 1998 8,924.521 $9,485,885 $ 336,795$9,822,680
Partners' Capital
December 31, 1998 8,269.739 $9,851,534 $120,586$9,972,120
Net Loss - (628,639) (7,775) (636,4
14)
Redemptions (562.113) (640,667) - (640,667)
Partners' Capital
June 30, 1999 7,707.626 $8,582,228 $112,811 $8
,695,039
<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 CASH FLOWS
(Unaudited)
<CAPTION>
For the Six Months Ended June 30,
1999 1998
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net loss (636,414) (
393,180)
Noncash item included in net loss:
Net change in unrealized (156,877) 669,725
(Increase) decrease in operating assets:
Interest receivable (DWR) 3,313 3,623
Due from DWR (7,725) (4,832)
Decrease in operating liabilities:
Accrued management fee (DWFCM) (3,067)
(2,645)
Net cash provided by (used for) operating activities (800,770)
272,691
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable53,273 (77,291)
Redemptions of units (640,667)
(584,983)
Net cash used for financing activities (587,394)
(662,274)
Net decrease in cash (1,388,164) (
389,583)
Balance at beginning of period 9,760,647
9,294,823
Balance at end of period 8,372,483
8,905,240
<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 $420,527 and
$263,650 at June 30, 1999 and December 31, 1998, respectively.
Of the $420,527 net unrealized gain on open contracts at June 30,
1999, $373,000 related to exchange-traded futures contracts and
$47,527 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 June
30, 1999 and December 31, 1998 mature through December 1999 and
June 1999, respectively. Off-exchange-traded forward currency
contracts held by the Partnership at June 30, 1999 and December
31, 1998 mature through September 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 $8,745,483 and $10,399,636 at June 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 Six Months Ended June 30, 1999
For the quarter ended June 30, 1999, the Partnership recorded
total trading revenues including interest income of $196,496 and,
after expenses, posted a decrease in Net Asset Value per Unit.
The most significant net trading losses were experienced in the
metals markets from long positions in copper and aluminum futures
as base metals prices declined significantly during late May amid
a large supply, low demand and the possibility of a production
cut in the near future being judged unlikely. During June,
additional losses were incurred in this market complex from short
copper futures positions as prices moved higher due to a drop in
<PAGE>
warehouse stocks. In the global stock index futures markets,
losses were recorded during mid-April and May from long S&P 500
Index futures positions as domestic equity prices dropped
following stronger-than-expected Consumer Price Index data and
indications by the Federal Open Market Committee that the U.S.
Federal Reserve is shifting towards a tightening bias. In the
agricultural markets, losses were experienced from long corn
futures positions as prices regressed in early April in reaction
to reports by the USDA that the expected corn surplus will be one
of the biggest in years and from declining demand in the Asian
markets. These losses were partially offset by gains recorded in
the currency markets during April and May from short Swedish
kroner positions as its value weakened versus the U.S. dollar on
speculation as to when Sweden will join Europe's Monetary Union
and due to a decline in oil prices. In the global interest rate
futures markets, gains were recorded from long Japanese
government bonds as prices rallied during April after the
Japanese government proposed no new economic spending plans and
on comments by a Senior Finance Ministry official that the supply-
demand balance in the market will deteriorate. In soft
commodities, gains were recorded from short cotton futures
positions as prices dropped in late June on reports of beneficial
rainfall across the Southeastern U.S. In the energy markets,
gains were recorded during April from long natural gas futures
positions as prices climbed following reports of an increase in
storage stocks that was well-below market expectations. Total
expenses for the three months ended June 30, 1999 were $208,635,
resulting in a net loss of $12,139. The value of a Unit
decreased
<PAGE>
from $1,129.89 at March 31, 1999 to $1,128.11 at June 30, 1999.
For the six months ended June 30, 1999, the Partnership recorded
total trading losses net of interest income of $216,172 and
posted a decrease in Net Asset Value per Unit. The most
significant losses were experienced in the metals markets from
long positions in copper and zinc futures as base metals prices
declined significantly in late May amid a large supply, low
demand and the possibility of a production cut in the near future
being judged unlikely. During June, additional losses were
incurred in this market complex from short copper futures
positions as prices moved higher due to a drop in warehouse
stocks. In the global interest rate futures markets, losses were
recorded throughout a majority of the first quarter from short
Japanese bond futures positions as prices increased amid growing
speculation that the Bank of Japan may underwrite Japanese
government bonds. Fears that a rise in Japanese bond yields
would lead many Japanese money managers to repatriate assets from
foreign investments to yen-denominated debt also pushed prices
higher. Additional losses were recorded during February and
March from short German government bond futures positions as
prices increased on reports that Germany's industrial production
showed a sharp increase, creating hopes that Europe's biggest
economy could be strengthening. In the currency markets, losses
were experienced 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
<PAGE>
devaluations in the Asian region. Losses recorded from short
British pound positions in March offset profits recorded in
February as its value strengthened versus the U.S. dollar as the
market scaled back the chances of a British interest rate cut
following an announcement of a budget that was more generous than
expected. 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, following stronger-than-expected
Consumer Price Index data and on indications by the Federal Open
Market Committee that the U.S. Federal Reserve is shifting
towards a tightening bias. 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 by
approximately two million barrels a day beginning April 1st.
Total expenses from the six months ended June 30, 1999 were
$420,242, resulting in a net loss of $636,414. The value of a
Unit decreased from $1,205.86 at December 31, 1998 to $1,128.11
at June 30, 1999.
For the Quarter and Six Months Ended June 30, 1998
For the quarter ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $381,732, and
posted an increase in Net Asset Value per Unit. The most
significant gains were recorded in the currency markets during
<PAGE>
May from short Japanese yen positions as the value of the yen
reached its lowest level relative to the U.S. dollar since 1991.
Additional gains were recorded during June from short South
African rand positions as its value also trended lower versus the
U.S. dollar despite intervention by the South African government.
Currency gains were also recorded from trading the Swedish krona
and Australian dollar throughout the quarter. In soft
commodities, gains were recorded from short coffee futures
positions as prices moved lower during April and June. Smaller
gains were recorded during the second quarter in the agricultural
and metals markets from short positions in corn, wheat and
aluminum futures. A portion of these gains was offset by losses
in the financial futures markets during April and June. In
April, losses were recorded from long global bond futures
positions as Australian, Japanese and European interest rate
futures prices reversed lower after trending higher previously.
The previous trend higher in global interest rate futures prices
reemerged during May. However, additional losses were recorded
during June as this upward move reversed sharply lower during mid-
month in reaction to the Federal Reserve's intervention to halt
the downward slide of the Japanese yen. Additional losses were
recorded from trading global stock index futures during April and
June. Smaller losses were recorded in the energy markets from
short natural gas futures positions as prices reversed higher
during June after trending lower previously. Total expenses for
the three months ended June 30, 1998 were $236,022, resulting in
net income of $145,710. The value of a
<PAGE>
Unit increased from $1,084.30 at March 31, 1998 to $1,100.64 at
June 30, 1998.
For the six months ended June 30, 1998, the Partnership recorded
total trading revenues including interest income of $80,593, and
after expenses posted a decrease in Net Asset Value per Unit.
The most significant net trading losses were recorded in the
metals markets during the first quarter from long silver futures
positions as silver prices reversed lower in February after
rallying higher during January. Additional losses were recorded
from trading gold futures during much of the first half of the
year. Smaller losses were recorded from trading base metals
futures during March and May. In financial futures, losses
recorded during the second quarter from short Nikkei Index
futures positions, as well as from long Australian bond futures
positions more than offset profits recorded during the first
quarter from long European bond futures positions. In currency
trading, significant losses recorded during the first quarter due
primarily to short-term volatility in the value of the Japanese
yen were offset during the second quarter by gains from short
Japanese yen positions as its value moved dramatically lower
during May. Additional currency gains recorded in the second
quarter from trading the Swedish krona and South African Rand
offset losses recorded in European currencies during the first
six months of the year. Additionally, trendless movement in
soybean futures prices during January and March resulted in
smaller losses for the Partnership. A portion of the
Partnership's overall losses for the first half of the year was
<PAGE>
offset by gains in soft commodities as profits were recorded from
short sugar futures positions as prices trended lower during
January and February and from short coffee futures positions as
prices trended lower during April and June. Total expenses for
the six months ended June 30, 1998 were $473,773, resulting in a
net loss of $393,180. The value of a Unit decreased from
$1,141.63 at December 31, 1997 to $1,100.64 at June 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
<PAGE>
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
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
<PAGE>
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
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.
<PAGE>
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.
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
<PAGE>
market risk exposures contain "forward-looking statements" within
the meaning of the safe harbor from civil liability provided for
such statements by the Private Securities Litigation Reform Act
of 1995 (set forth in Section 27A of the Securities Act of 1933
and Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-
looking statements for purposes of the safe harbor, except for
statements of historical fact.
The Partnership accounts for open positions on the basis of mark-
to-market accounting principles. 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
<PAGE>
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
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 June 30, 1999. As of June 30, 1999, the
Partnership's total capitalization was approximately $8 million.
Primary Market June 30, 1999
Risk Category Value at Risk
Currency (1.92)%
Interest Rate (1.87)
<PAGE>
Equity (0.40)
Commodity (0.88)
Aggregate Value at Risk (3.05)%
<PAGE>
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.
The table above represents the VaR of the Partnership's open
positions at June 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 July 1,
1998 through June 30, 1999.
Primary Market Risk Category High Low Average
Currency (2.07)% (0.95)% (1.72)%
Interest Rate (1.87) (0.50) (1.22)
Equity (0.72) (0.19) (0.40)
Commodity (1.08) (0.64) (0.91)
Aggregate Value at Risk (3.05)% (1.37)% (2.35)%
<PAGE>
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
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.
<PAGE>
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 June 30, 1999 and for the end of the four
quarterly reporting periods from July 1, 1998 through June 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 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
82%) 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
<PAGE>
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,
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 June 30, 1999, by market sector. It may be
anticipated however, that these market exposures will vary
materially over time.
Currency. The primary trading risk exposure in the Partnership
is in the currency complex. The Partnership's currency exposure is
to exchange rate fluctuations, primarily fluctuations that disrupt
<PAGE>
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 second quarter of 1999, the Partnership's major
exposures were in the euro currency crosses and outright U.S.
dollar positions (outright positions consists of 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 second largest trading risk exposure at
June 30, 1999 was in the interest rate sector. Exposure was spread
across the US, European, Swiss, Australian, and Japanese interest
rate sectors. Interest rate movements directly affect the price of
the sovereign bond futures positions held by the Partnership 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 <PAGE> 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.
Equity. The Partnership's equity exposure on June 30, 1999
was limited to price risk in the Nikkei index (Japan). 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).
Commodity.
Metals. The next largest exposure was in the base and
precious metals markets. 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 the base metals will remain the primary metals market exposure
of the Partnership.
Energy. On June 30, 1999, the Partnership's energy exposure
was shared by futures contracts in the New York and London crude
oil futures markets. Price movements in these markets result from
<PAGE>
political developments in the Middle East, weather patterns, and
other economic fundamentals. As oil prices continue to break out
of low price ranges achieved in 1998, it is possible that
volatility will continue as well.
Soft Commodities and Agriculturals. On June 30, 1999, the
Partnership had a reasonable amount of exposure in the markets that
comprise these sectors. Most of the exposure, however, was in the
soft commodities. Supply and demand inequalities, severe weather
disruption and market expectations affect price movements in these
markets.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the
Partnership as of June 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
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
<PAGE>
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 instruments, 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:
With respect to the plaintiffs' consolidated action in
California, on July 1, 1999, the Superior Court of the State of
California, ruling from the bench, denied the plaintiffs' motion
to have their lawsuit certified as a class action, stating, among
other things, that plaintiffs' lawsuit did not present common
questions of fact.
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)
August 13, 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> 6-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-END> JUN-30-1999
<CASH> 8,372,483
<SECURITIES> 0
<RECEIVABLES> 34,653<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 8,827,663<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 8,827,663<F3>
<SALES> 0
<TOTAL-REVENUES> (216,172)<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 420,242
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> (636,414)
<INCOME-TAX> 0
<INCOME-CONTINUING> (636,414)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (636,414)
<EPS-BASIC> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $26,714 and due from
DWR of $7,939.
<F2>In addition to cash and receivables, total assets include net
unrealized gain on open contracts of $420,527.
<F3>Liabilities include redemptions payable of $110,555 and accrued
management fees of $22,069.
<F4>Total revenue includes realized trading revenue of $(534,712), net
change in unrealized of $156,877 and interest income of $161,663.
</FN>
</TABLE>
