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, 2000 or
[ ] Transition report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the transition period _________________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 Corporation
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___________
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
June 30, 2000
<CAPTION>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
<S>
<C>
Statements of Financial Condition
June 30, 2000 (Unaudited) and December 31, 1999............2
Statements of Operations for the Quarters Ended
June 30, 2000 and 1999 (Unaudited).........................3
Statements of Operations for the Six Months Ended
June 30, 2000 and 1999 (Unaudited)........................ 4
Statements of Changes in Partners' Capital for
the Six Months Ended June 30, 2000 and 1999
(Unaudited)................................................5
Statements of Cash Flows for the Six Months Ended
June 30, 2000 and 1999 (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 ........................................22-33
PART II. OTHER INFORMATION
Item 1. Legal Proceedings...................................34-35
Item 5. Other Information......................................36
Item 6. Exhibits and Reports on Form 8-K....................36-37
</TABLE>
<PAGE>
<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,
2000 1999
$
$
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 7,970,916 7,643,949
Net unrealized loss on open contracts (MSIL)
(1,572) -
Net unrealized loss on open contracts (MS & Co.)
(2,951) -
Net unrealized gain (loss) on open contracts (Carr) (142,307)
358,067
Total net unrealized gain (loss) on open contracts (146,830)
358,067
Total Trading Equity 7,824,086 8,002,016
Interest receivable (DWR) 29,905 28,719
Total Assets 7,853,991 8,030,735
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 89,557 108,909
Accrued management fees (DWFCM) 19,635 20,077
Total Liabilities 109,192 128,986
Partners' Capital
Limited Partners (6,558.870 and
7,082.809 Units, respectively) 7,628,491 7,791,740
General Partner (100 Units) 116,308 110,009
Total Partners' Capital 7,744,799 7,901,749
Total Liabilities and Partners' Capital 7,853,991 8,030,735
NET ASSET VALUE PER UNIT 1,163.08 1,100.09
<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 Quarters Ended June 30,
2000 1999
$ $
REVENUES
<S>
<C> <C>
Trading profit (loss):
Realized 1,087,442 36,170
Net change in unrealized (878,740)
81,685
Total Trading Results 208,702 117,855
Interest Income (DWR) 90,976
78,641
Total Revenues 299,678
196,496
EXPENSES
Brokerage commissions (DWR) 103,270 130,381
Management fees (DWFCM) 59,781 67,878
Transaction fees and costs 6,410
10,376
Total Expenses 169,461
208,635
NET INCOME (LOSS) 130,217
(12,139)
NET INCOME (LOSS) ALLOCATION
Limited Partners 128,341 (11,960)
General Partner 1,876 (179)
NET INCOME (LOSS) PER UNIT
Limited Partners 18.76 (1.78)
General Partner 18.76 (1.78)
<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 Six Months Ended June 30,
2000 1999
$ $
REVENUES
<S>
<C> <C>
Trading profit (loss):
Realized 1,134,586 (
534,712)
Net change in unrealized (504,897)
156,877
Total Trading Results 629,689 (
377,835)
Interest Income (DWR) 175,804
161,663
Total Revenues 805,493
(216,172)
EXPENSES
Brokerage commissions (DWR) 230,937 260,101
Management fees (DWFCM) 119,149 138,672
Transaction fees and costs 15,884
21,469
Total Expenses 365,970
420,242
NET INCOME (LOSS) 439,523
(636,414)
NET INCOME (LOSS) ALLOCATION
Limited Partners 433,224 (
628,639)
General Partner 6,299 (7,775)
NET INCOME (LOSS) PER UNIT
Limited Partners 62.99 (77.75)
General Partner 62.99 (77.75)
<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 Six Months Ended June 30, 2000 and 1999
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C>
<C> <C> <C>
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
Partners' Capital,
December 31, 1999 7,182.809 $7,791,740 $110,009 $7,901,749
Net Income - 433,224 6,299 439,523
Redemptions (523.939) (596,473)
- (596,473)
Partners' Capital,
June 30, 2000 6,658.870 $7,628,491 $116,308 $7
,744,799
<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 Six Months Ended June 30,
2000 1999
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S>
<C> <C>
Net income (loss) 439,523 (
636,414)
Noncash item included in net income (loss):
Net change in unrealized 504,897 (
156,877)
(Increase) decrease in operating assets:
Interest receivable (DWR) (1,186) 3,313
Due from DWR
- (7,725)
Decrease in operating liabilities:
Accrued management fees (DWFCM) (442)
(3,067)
Net cash provided by (used for) operating activities 942,792
(800,770)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable(19,352) 53,273
Redemptions of Units (596,473)
(640,667)
Net cash used for financing activities (615,825)
(587,394)
Net increase (decrease) in cash 326,967 (
1,388,164)
Balance at beginning of period 7,643,949
9,760,647
Balance at end of period 7,970,916
8,372,483
<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, 1999 Annual Report on Form 10-K.
1. Organization
Dean Witter Multi-Market Portfolio L.P. is a Delaware 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"). Morgan Stanley & Co., Inc.
("MS & Co.") and Morgan Stanley & Co. International Limited
("MSIL") provide clearing and execution services. Prior to May
2000, Carr Futures Inc. provided clearing and execution services.
The trading advisor is Dean Witter Futures & Currency Management
Inc. ("DWFCM" or the "Trading Advisor"). Demeter, DWR, DWFCM, MS
& Co., and MSIL are wholly-owned subsidiaries of Morgan Stanley
Dean Witter & Co.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
2. Related Party Transactions
The Partnership's cash is on deposit with DWR, MS & Co., and MSIL
in futures interests trading accounts to meet margin requirements
as needed. 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 ("FASB")
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. In June 1999, the FASB issued SFAS No. 137, "Accounting
for Derivative Instruments and Hedging Activities - Deferral of
the
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Effective Date of SFAS No. 133," which defers the required
implementation of SFAS No. 133 until fiscal years beginning after
June 15, 2000. However, the Partnership had previously elected
to adopt the provisions of SFAS No. 133 beginning with the fiscal
year 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 SFAS No. 133 does
not have a significant effect on the Partnership's financial
statements.
The net unrealized gain (loss) on open contracts are reported as
a component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $(146,830) and
$358,067 at June 30, 2000 and December 31, 1999, respectively.
Of the $146,830 net unrealized loss on open contracts at June 30,
2000, $320,048 related to exchange-traded futures contracts and
$(466,878) related to off-exchange-traded forward currency
contracts.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Of the $358,067 net unrealized gain on open contracts at December
31, 1999, $327,051 related to exchange-traded futures contracts
and $31,016 related to off-exchange-traded forward currency
contracts.
Exchange-traded futures contracts held by the Partnership at June
30, 2000 and December 31, 1999 mature through December 2000 and
September 2000, respectively. Off-exchange-traded forward
currency contracts held by the Partnership at June 30, 2000 and
December 31, 1999 mature through September 2000 and March 2000,
respectively.
The Partnership has credit risk associated with counterparty
nonperformance. 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.
The Partnership also has credit risk because DWR, MS & Co., and
MSIL 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. DWR,
MS & Co., and MSIL each as a futures commission merchant for the
Partnership's exchange-traded futures contracts, are required,
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
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 (loss) on all open
futures contracts, which funds, in the aggregate, totaled
$8,290,964 and $7,971,000 at June 30, 2000 and December 31, 1999,
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 (loss) 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 MS & Co., the sole counterparty on all of such
contracts, to perform. The Partnership has a netting agreement
with MS & Co. This agreement, which seeks to reduce both the
Partnership's and MS & Co.'s exposure on off-exchange-traded
forward currency contracts, should materially decrease the
Partnership's credit risk in the event of MS & Co.'s bankruptcy
or insolvency.
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership deposits its assets with DWR as non-
clearing broker and MS & Co. and MSIL as clearing brokers in
separate futures trading accounts established for the Trading
Advisor, which assets are used as margin to engage in trading.
The assets are held in either non-interest-bearing bank accounts
or in securities and instruments permitted by the CFTC for
investment of customer segregated or secured funds. The
Partnership's assets held by the commodity brokers may be used as
margin solely for the Partnership's trading. Since the
Partnership's sole purpose is to trade in futures and forwards,
it is expected that the Partnership will continue to own such
liquid assets for margin purposes.
The Partnership's investment in futures and forwards may, from
time to time, be illiquid. Most U.S. futures exchanges limit
fluctuations in prices during a single day by regulations
referred to as "daily price fluctuations limits" or "daily
limits". Trades may not be executed at prices beyond the daily
limit. If the price for a particular futures contract has
increased or decreased by an amount equal to the daily limit,
positions in that futures contract can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Futures prices have occasionally moved
the daily limit for several consecutive days with little or no
trading. These market
<PAGE>
conditions could prevent the Partnership from promptly
liquidating its futures contracts and result in restrictions on
redemptions.
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets, subjecting it to
substantial losses. Either of these market conditions could
result in restrictions on redemptions.
The Partnership has never had illiquidity affect a material
portion of its assets.
Capital Resources. The Partnership does not have, or expect to
have, any capital assets. Redemptions of additional units of
limited partnership interest ("Unit(s)") in the future will
affect the amount of funds available for investment in futures
interests in subsequent periods. It is not possible to estimate
the amount and therefore, the impact of future redemptions of
Units.
Results of Operations
General. The Partnership's results depend on its Trading Advisor
and the ability of the Trading Advisor's trading programs to take
<PAGE>
advantage of price movements or other profit opportunities in the
futures and forwards markets. The following presents a summary
of the Partnership's operations for the quarter and six months
ended June 30, 2000 and 1999, respectively, and a general
discussion of its trading activities during each period. It is
important to note, however, that the Trading Advisor trades in
various markets at different times and that prior activity in a
particular market does not mean that such market will be actively
traded by the Trading Advisor or will be profitable in the
future. Consequently, the results of operations of the
Partnership are difficult to discuss other than in the context of
its Trading Advisor's trading activities on behalf of the
Partnership as a whole and how the Partnership has performed in
the past.
For the Quarter and Six Months Ended June 30, 2000
For the quarter ended June 30, 2000, the Partnership recorded
total trading revenues including interest income of $299,678 and
posted an increase in Net Asset Value per Unit. The most
significant gains of approximately 9.9% were recorded in the
energy markets primarily during May from long positions in
natural gas futures as prices continued their upward trend on
fears that inventory levels remain low and that U.S. demand will
outstrip production this summer, when inventories are typically
refilled for the winter. Additional gains were recorded during
May and June from long futures positions in crude oil and its
<PAGE>
related products as the previous upward movement in oil prices re-
emerged amid rising concerns regarding supplies and production
levels. In the agricultural markets, gains of approximately 1.2%
were recorded primarily during June from short corn futures
positions as corn prices were pressured lower by a damp weather
forecast in the U.S. Midwest. In soft commodities, gains of
approximately 0.4% were recorded primarily during June from short
coffee futures positions as prices decreased amid continued
pressure from bearish technical factors and large warehouse
supplies. These gains were partially offset by losses of
approximately 6.5% recorded throughout a majority of the quarter
primarily from long positions in U.S. interest rate futures as
prices declined on inflation fears provoked by stronger-than-
forecasted U.S. economic data. Losses were also recorded
throughout the majority of the quarter from short positions in
German bund futures as prices were pushed higher by the rise in
U.S. prices. In the global stock index futures markets, losses
of approximately 1.6% were incurred primarily during April from
long positions in S&P 500 Index futures as fears of inflation
negatively impacted domestic equity prices. In the currency
markets, losses of approximately 1.2% were experienced primarily
during April and early May from long positions in the Japanese
yen as its value weakened relative to the U.S. dollar amid fears
of an additional Bank of Japan intervention and as Japanese
consumer confidence remained sluggish. In the metals markets,
<PAGE>
losses of approximately 0.7% were recorded primarily during June
from short aluminum futures positions as prices increased on
consumer and speculative buying. Total expenses for the three
months ended June 30, 2000 were $169,461, resulting in net income
of $130,217. The value of a Unit increased from $1,144.32 at
March 31, 2000 to $1,163.08 at June 30, 2000.
For the six months ended June 30, 2000, the Partnership recorded
total trading revenues including interest income of $805,493 and
posted an increase in Net Asset Value per Unit. The most
significant gains of approximately 15.4% were recorded in the
energy markets primarily during May from long positions in
natural gas futures as prices continued their upward trend on
fears that inventory levels remain low and that U.S. demand will
outstrip production this summer, when inventories are typically
refilled for the winter. Additional gains were recorded during
February from long positions in crude oil futures as prices
increased due to a combination of cold weather, declining
inventories and increasing demand. Oil prices also increased
during June in reaction to the dismissal by OPEC of a price
setting mechanism and a promise of a modest production increase.
In the currency markets, gains of approximately 1.2% were
recorded primarily during January from short positions in the
Swedish krona, the euro and the Swiss franc as the value of these
European currencies weakened relative to the U.S. dollar, hurt by
<PAGE>
skepticism about Europe's economic outlook and lack of support
from European officials. During April, profits were recorded
from short positions in the euro as the value of the European
common currency dropped to record lows versus the U.S. dollar and
British pound. In the agricultural markets, gains of
approximately 1.0% were recorded primarily during June from short
corn futures positions as corn prices were pressured lower by a
damp weather forecast in the U.S. Midwest. These gains were
partially offset by losses of approximately 7.7% recorded
throughout a majority of the second quarter from long positions
in U.S. interest rate futures as prices declined on inflation
fears provoked by stronger-than-forecasted U.S. economic data.
Losses were also recorded throughout the majority of the second
quarter from short positions in German bund futures as prices
were pushed higher by the rise in U.S. prices. In the global
stock index futures markets, losses of approximately 2.8% were
incurred throughout a majority of the first quarter and during
April from long positions in S&P 500 Index futures as domestic
stock prices declined due to volatility in the technology sector
and fears that the Federal Reserve will be forced to take
aggressive action to slow the economy. In the metals markets,
losses of approximately 2.0% were experienced primarily from long
positions in base metal futures as a previous upward price trend
reversed sharply lower during February in response to interest
rate hikes across the globe. During June, smaller losses were
<PAGE>
recorded from short aluminum futures positions as prices
increased on consumer and speculative buying. Total expenses for
the six months ended June 30, 2000 were $365,970, resulting in
net income of $439,523. The value of a Unit increased from
$1,100.09 at December 31, 2000 to $1,163.08 at June 30, 2000.
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 of approximately 3.7%
were experienced in the metals markets primarily 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 warehouse
stocks. In the global stock index futures markets, losses of
approximately 0.7% were recorded primarily 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 of approximately 0.1%
<PAGE>
were experienced primarily 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 of approximately 1.9%
recorded in the currency markets primarily 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 of approximately
1.0% were recorded primarily 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 of
approximately 0.6% were recorded primarily 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 of approximately 0.5% were recorded primarily
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 from $1,129.89 at
March 31, 1999 to $1,128.11 at June 30, 1999.
<PAGE>
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 of approximately 4.4% were experienced in the
metals markets primarily 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 of approximately 3.0% were recorded primarily
from short Japanese bond futures positions throughout a majority
of the first quarter 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 of
approximately 2.3% were experienced primarily from long
Australian dollar positions throughout a majority of the first
quarter as its value dropped significantly relative to the U.S.
<PAGE>
dollar on speculation regarding potential currency 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 of
approximately 0.8% were experienced primarily 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 of approximately 2.7%
recorded in the energy markets primarily 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 for 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.
<PAGE>
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool involved in the speculative
trading of futures interests. The market-sensitive instruments
held by the Partnership are acquired for speculative trading
purposes only and, as a result, all or substantially all of the
Partnership's assets are at risk of trading loss. Unlike an
operating company, the risk of market-sensitive instruments is
central, not incidental, to the Partnership's main business
activities.
The futures interests traded by the Partnership involve varying
degrees of market risk. Market risk is often dependent upon
changes in the level or volatility of interest rates, exchange
rates, and prices of financial instruments and commodities.
Fluctuations in market risk based upon these 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 among the
Partnership's open positions, the volatility present within the
markets, and the liquidity of the markets. At different times,
each of these factors may act to increase or decrease the market
risk associated with the Partnership.
<PAGE>
The Partnership's past performance is not necessarily indicative
of its future results. Any attempt to numerically quantify the
Partnership's market risk is limited by the uncertainty of its
speculative trading. The Partnership's speculative trading may
cause future losses and volatility (i.e. "risk of ruin") that far
exceed the Partnership's experiences to date or any reasonable
expectations based upon historical changes in market value.
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.
The Partnership accounts for open positions using mark-to-market
accounting principles. Any loss in the market value of the
Partnership's open positions is directly reflected in
the Partnership's earnings, whether realized or unrealized, and
cash flow. Profits and losses on open positions of exchange-
traded futures interests are settled daily through variation
margin.
<PAGE>
The Partnership's risk exposure in the market sectors traded by
the Trading Advisor is estimated below in terms of Value at Risk
("VaR"). The VaR model used by the Partnership includes many
variables that could change the market value of the Partnership's
trading portfolio. The Partnership estimates VaR using a model
based upon historical simulation with a confidence level of 99%.
Historical simulation involves constructing a distribution of
hypothetical daily changes in the value of a trading portfolio.
The VaR model 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, and correlation among these variables.
The hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. The historical observation period of the Partner-
ship's VaR is approximately four years. The one-day 99%
confidence level of the Partnership's VaR corresponds to the
negative change in portfolio value that, based on observed market
risk factors, would have been exceeded once in 100 trading days.
VaR models, including the Partnership's, are continuously
evolving as trading portfolios become more diverse and modeling
techniques and systems capabilities improve. Please note that
the VaR model is used to numerically quantify market risk for
<PAGE>
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 tables indicate the VaR associated with the
Partnership's open positions as a percentage of total Net Assets
by primary market risk category as of June 30, 2000 and 1999. As
of June 30, 2000 and 1999, the Partnership's total capitalization
was approximately $8 million and $9 million, respectively.
Primary Market June 30, 2000 June 30, 1999
Risk Category Value at Risk Value at Risk
Currency (1.42)% (1.92)%
Interest Rate (1.55) (1.87)
Commodity (1.71) (0.88)
Equity (0.08) (0.40)
Aggregate Value at Risk (2.59)% (3.05)%
Aggregate Value at Risk represents the aggregate VaR of all the
Partnership's open positions and not the sum of the VaR of the
individual Market 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, 2000 and 1999 only and is not necessarily
representative of either the historic or future risk of an
<PAGE>
investment in the Partnership. Because the Partnership's only
business is the speculative trading of futures interests, the
composition of its trading portfolio can change significantly
over any given time period, or even within a single trading day.
Any changes in open positions could positively or negatively
materially impact market risk as measured by VaR.
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,
1999 through June 30, 2000.
Primary Market Risk Category High Low Average
Currency (1.94)% (1.42)% (1.72)%
Interest Rate (1.87) (0.76) (1.42)
Commodity (1.97) (0.88) (1.41)
Equity (1.16) (0.08) (0.59)
Aggregate Value at Risk (3.23)% (2.28)% (2.79)%
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
requirements. Margin requirements generally range between 2% and
15% of contract face value. Additionally, the use of leverage
causes the face value of the market sector instruments held by
the Partnership to typically be many times the total
capitalization of
<PAGE>
the Partnership. The value of the Partnership's open positions
thus creates a "risk of ruin" not typically found in other
investments. The relative size of the positions held may cause
the Partnership to incur losses greatly in excess of VaR within a
short period of time, given the effects of the leverage employed
and market volatility. The VaR tables above, as well as the past
performance of the Partnership, gives no indication of such "risk
of ruin". In addition, VaR risk measures should be viewed in
light of the methodology's limitations, which include the
following:
past changes in market risk factors will not always result
in accurate predictions of the distributions and correlations of
future market movements;
changes in portfolio value in response to market movements
may differ from those of the VaR model;
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 VaR tables above present the results of the Partnership's VaR
for each of the Partnership's market risk exposures and on an
- 27 -
aggregate basis at June 30, 2000 and for the end of the four
quarterly reporting periods from July 1, 1999 through June 30,
2000. 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 or monitor risk. There can
be no assurance that the Partnership's actual losses on a
particular day will not exceed the VaR amounts indicated above 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. At June
30, 2000 the Partnership's cash balance at DWR was approximately
94% of its total Net Asset Value. 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.
<PAGE>
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (A) those disclosures that are
statements of historical fact and (B) 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, 2000 by market sector. It may be
<PAGE>
anticipated however, that these market exposures will vary
materially over time.
Currency. The Partnership's currency exposure at June 30, 2000
was to exchange rate fluctuations, primarily fluctuations which
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 second quarter of
2000, the Partnership's major exposures were in the euro currency
crosses and outright U.S. dollar positions. Outright positions
consist 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 next largest market exposure on June 30, 2000
was in the interest rate complex. Exposure was spread across
German and Japanese interest rate sectors. Interest rate
<PAGE>
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 United States
and the other G-7 countries. The G-7 countries consist of
France, U.S., Britain, Germany, Japan, Italy and Canada.
However, the Partnership also takes futures positions in the
government debt of smaller nations - e.g. 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, as
opposed to short-term rates. Most of the speculative interest
rate futures positions held by the Partnership are in medium- to
long-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.
Commodity.
Energy. On June 30, 2000, the Partnership's energy exposure was
shared primarily by futures contracts in the crude oil and
natural gas markets. Price movements in these markets result
from political developments in the Middle East, weather patterns,
<PAGE>
and other economic fundamentals. It is possible that volatility
will remain high. Significant profits and losses, which have
been experienced in the past, are expected to continue to be
experienced in this market. Natural gas has exhibited volatility
in prices resulting from weather patterns and supply and demand
factors and may continue in this choppy pattern.
Metals. The Partnership's primary metals market exposure at
June 30, 2000 was to fluctuations in the price of Aluminum and
Nickel.
Equity. Exposure to stock indices on June 30, 2000 was limited
to a small position in the Nikkei stock index.
Soft Commodities and Agriculturals. On June 30, 2000, the
Partnership had exposure in the markets that comprise these
sectors. Exposure was in the corn, soybean, cotton and coffee
markets. 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, 2000:
<PAGE>
Foreign Currency Balances. The Partnership's primary foreign
currency balances were in euros and Japanese yen. 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 Partnership and the Trading Advisor, separately, attempt to
manage the risk of the Partnership's open positions in
essentially the same manner in all market categories traded.
Demeter attempts to manage market exposure by diversifying the
Partnership's assets among different market sectors and trading
approaches, and monitoring the performance of the Trading Advisor
daily. In addition, the Trading Advisor establishes
diversification 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. Cash 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 Form 10-Q for the quarter ended March 31,
2000 and Form 10-K for the year ended December 31, 1999:
On October 25, 1996, the Market Surveillance Committee (the
"Committee") of the National Association of Securities Dealers
("NASD") filed a formal complaint against MS & Co. and seven
current and former traders, alleging violations of certain NASD
rules relating to manipulative and deceptive practices, locked
and crossed markets, and failure to supervise. Hearings were
held in June and July 1997. On April 13, 1998 the Committee
ruled that MS & Co. and the seven traders had engaged in
manipulative and deceptive practices and improperly locked or
crossed markets, but not that MS & Co. had failed to supervise
its traders. The Committee levied a fine of $1,000,000 on MS &
Co., a fine of $100,000 and a 90-day suspension on one of its
former traders, and fines of $25,000 and 30-day suspensions on
each of the remaining current and former traders. On January 18,
2000 the National Adjudicatory Council, which heard the appeal,
issued a ruling which upheld the Committee's April 1998 decision,
however, the National Adjudicatory Council reduced the firm's
fine to $495,000,
<PAGE>
reversed all previously imposed suspensions against the traders,
reduced the fine for each of six traders to $2,500 and dismissed
all charges against the seventh trader.
On January 11, 1999, the Securities and Exchange Commission
brought an action against 28 NASDAQ market makers, including MS &
Co., and 51 individuals, including one current and one former
trader employed by MS & Co., for certain conduct during 1994.
The core of the charges against MS & Co. concern improper or
undisclosed coordination of price quotes with other broker-
dealers and related reporting, recordkeeping and supervisory
deficiencies in violation of Sections 15(b)(4)(E), 15(c)(1) and
(2) and 17(a) of the Securities Exchange Act and Rules 15c1-2,
15c2-7 and 17a-3 promulgated thereunder. Without admitting or
denying the charges, MS & Co. consented to the entry of a cease
and desist order and to the payment of a civil penalty of
$350,000, disgorgement of $4,170 and to submit certain of its
procedures to an independent consultant for review. In addition,
one current and one former trader employed by MS & Co. accepted
suspensions of less than two months each and were fined $25,000
and $30,000 respectively.
<PAGE>
Item 5. OTHER INFORMATION
Effective July 1, 2000, Lewis A. Raibley, III resigned as Chief
Financial Officer and a Director of Demeter and DWFCM. Effective
July 10, 2000, Raymond E. Koch replaced Lewis A. Raibley, III as
Chief Financial Officer of Demeter.
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
(A) Exhibits
3.01 Limited Partnership Agreement of the Partnership, dated as
of June 24, 1988 is incorporated by reference to Exhibit 3.01 and
Exhibit 3.02 of the Partnership's Registration Statement on Form
S-1 (File No. 33-21532).
10.03 Amended and Restated Customer Agreement dated as of
December 1, 1997, between the Partnership and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit 10.03 of
the Partnership's Quarterly Report on Form 10-Q for the quarter
ended March 31, 2000, File No. 0-17178.
10.04 Customer Agreement dated as of December 1, 1997,
between the Partnership, Carr Futures, Inc., and Dean
Witter Reynolds Inc. is incorporated by reference to
Exhibit 10.04 of the Partnership's Quarterly Report on
Form 10-Q for the quarter ended March 31, 2000, File
No. 0-17178.
10.05 International Foreign Exchange Master Agreement
dated as of August 1, 1997, between the Partnership
and Carr Futures, Inc. is incorporated by reference to
Exhibit 10.05 of the Partnership's Quarterly Report on
Form 10-Q for the quarter ended March 31, 2000, File
No. 0-17178.
10.06 Customer Agreement, dated as of May 1, 2000 between
Morgan Stanley & Co. Incorporated, the Partnership and
Dean Witter Reynolds Inc. is filed herewith.
<PAGE>
19.01 Supplemental Information Regarding DWFCM dated August
27, 1993 is incorporated by reference to Exhibit 19 of
the Partnership's Annual Report on Form 10-K for the
fiscal year ended December 31, 1993.
(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 10, 2000 By:/s/Raymond E. Koch __________
Raymond E. Koch
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.
