UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X] Quarterly report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the quarterly period ended September 30, 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
September 30, 2000
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
September 30, 2000 (Unaudited) and December 31, 1999.......2
Statements of Operations for the Quarters Ended
September 30, 2000 and 1999 (Unaudited)....................3
Statements of Operations for the Nine Months Ended
September 30, 2000 and 1999 (Unaudited)....................4
Statements of Changes in Partners' Capital for
the Nine Months Ended September 30, 2000 and 1999
(Unaudited)................................................5
Statements of Cash Flows for the Nine Months Ended
September 30, 2000 and 1999 (Unaudited)....................6
Notes to Financial Statements (Unaudited).............. 7-12
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations..........................................13-24
Item 3. Quantitative and Qualitative Disclosures about
Market Risk ........................................24-35
PART II. OTHER INFORMATION
Item 1. Legal Proceedings......................................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>
September 30, December 31,
2000 1999
$
$
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 6,182,248 7,643,949
Net unrealized gain on open contracts (MS&Co.) 757,929
-
Net unrealized gain on open contracts (MSIL)81,876 -
Net unrealized gain on open contracts (Carr) -
358,067
Total net unrealized gain on open contracts 839,805
358,067
Total Trading Equity 7,022,053 8,002,016
Interest receivable (DWR) 28,001 28,719
Total Assets 7,050,054 8,030,735
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 131,347 108,909
Accrued management fees (DWFCM) 17,625 20,077
Total Liabilities 148,972 128,986
Partners' Capital
Limited Partners (6,319.686 and
7,082.809 Units, respectively)6,793,583 7,791,740
General Partner (100 Units) 107,499 110,009
Total Partners' Capital 6,901,082 7,901,749
Total Liabilities and Partners' Capital7,050,054 8,030,735
NET ASSET VALUE PER UNIT 1,074.99 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 September 30,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (1,512,033) 305,192
Net change in unrealized 986,635
59,191
Total Trading Results (525,398) 364,383
Interest Income (DWR) 87,854
81,546
Total Revenues (437,544) 445,929
EXPENSES
Brokerage commissions (DWR) 91,114 130,939
Management fees (DWFCM) 53,479 66,081
Transaction fees and costs 3,732
9,144
Total Expenses 148,325
206,164
NET INCOME (LOSS) (585,869)
239,765
NET INCOME (LOSS) ALLOCATION
Limited Partners (577,060) 236,629
General Partner (8,809) 3,136
NET INCOME (LOSS) PER UNIT
Limited Partners (88.09) 31.36
General Partner (88.09) 31.36
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized
(377,447) (229,520)
Net change in unrealized 481,738
216,068
Total Trading Results 104,291
(13,452)
Interest Income (DWR) 263,658
243,209
Total Revenues 367,949
229,757
EXPENSES
Brokerage commissions (DWR) 322,051 391,040
Management fees (DWFCM) 172,628 204,753
Transaction fees and costs 19,616
30,613
Total Expenses 514,295
626,406
NET LOSS (146,346)
(396,649)
NET LOSS ALLOCATION
Limited Partners (143,836)
(392,010)
General Partner (2,510)
(4,639)
NET LOSS PER UNIT
Limited Partners (25.10)
(46.39)
General Partner (25.10)
(46.39)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 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 - (392,010) (4,639) (396,6
49)
Redemptions (772.515) (882,648)
- (882,648)
Partners' Capital,
September 30, 1999 7,497.224 $8,576,876 $115,947 $8
,692,823
Partners' Capital,
December 31, 1999 7,182.809 $7,791,740 $110,009 $7,901,749
Net Loss - (143,836)
(2,510) (146,346)
Redemptions (763.123) (854,321)
- (854,321)
Partners' Capital,
September 30, 2000 6,419.686 $6,793,583 $107,499 $6,901,082
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
2000 1999
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net loss (146,346) (
396,649)
Noncash item included in net loss:
Net change in unrealized (481,738) (
216,068)
(Increase) decrease in operating assets:
Interest receivable (DWR) 718 3,210
Due from DWR
- (5,149)
Decrease in operating liabilities:
Accrued management fees (DWFCM) (2,452)
(3,108)
Net cash used for operating activities (629,818)
(617,764)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable
22,438
38,954
Redemptions of Units (854,321)
(882,648)
Net cash used for financing activities (831,883)
(843,694)
Net decrease in cash (1,461,701) (
1,461,458)
Balance at beginning of period 7,643,949
9,760,647
Balance at end of period 6,182,248
8,299,189
<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 unaudited financial statements contained herein 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. 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,
2000, as amended by SFAS No. 137. The Partnership adopted the
provisions of SFAS No. 133 beginning with the fiscal year ended
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
December 31, 1998. SFAS No. 133 superceded SFAS Nos. 119 and 105,
which required the disclosure of average aggregate fair values
and contract/notional values, respectively, of derivative
financial instruments for an entity that carries its assets at
fair value. SFAS No. 133 was further amended by SFAS No. 138,
which clarifies issues surrounding interest rate risk, foreign
currency denominations, normal purchases and sales and net
hedging. The application of SFAS No. 133, as amended by SFAS No.
137, did not have a significant effect on the Partnership's
financial statements, nor will the application of the provisions
of SFAS No. 138 have a significant effect on the Partnership's
financial statements.
SFAS No. 133 defines a derivative as a financial instrument or
other contract that has all three of the following
characteristics:
1) One or more underlying notional amounts or payment
provisions;
2) Requires no initial net investment or a smaller initial net
investment than would be required relative to changes in market
factors;
3) Terms require or permit net settlement.
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
Generally derivatives include futures, forwards, swaps or option
contracts, or other financial instruments with similar
characteristics such as caps, floors and collars.
The net unrealized gains on open contracts are reported as a
component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $839,805 and
$358,067 at September 30, 2000 and December 31, 1999,
respectively.
Of the $839,805 net unrealized gain on open contracts at
September 30, 2000, $274,381 related to exchange-traded futures
contracts and $565,424 related to off-exchange-traded forward
currency contracts.
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
September 30, 2000 and December 31, 1999 mature through December
2001 and September 2000, respectively. Off-exchange-traded
forward
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
currency contracts held by the Partnership at September 30, 2000
and December 31, 1999 mature through November 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,
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 $6,456,629 and
$7,971,000 at September 30, 2000 and December 31, 1999,
<PAGE>
DEAN WITTER MULTI-MARKET PORTFOLIO L.P.
NOTES TO FINANCIAL STATEMENTS - (CONCLUDED)
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
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 nine months
ended September 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 Nine Months Ended September 30, 2000
For the quarter ended September 30, 2000, the Partnership
recorded total trading losses net of interest income of $437,544
and posted a decrease in Net Asset Value per Unit. The most
significant losses of approximately 3.8% were recorded in the
energy markets primarily during July from long futures positions
in crude oil as prices reversed lower amid growing conviction
that Saudi Arabia would follow through with a pledge to boost
production. Additional losses were experienced during July and
August from long positions in natural gas futures as prices
retreated on higher-than-expected inventory numbers, mild weather
and technical selling attributed to the decline in crude oil
<PAGE>
prices. In soft commodities, losses of approximately 3.2% were
incurred primarily during July from previously established short
positions and subsequent long positions in coffee futures as
prices traded in an extremely volatile pattern on weather related
concerns for Brazil. Additional losses were recorded primarily
during July from short positions in cotton futures as prices
moved higher amid fears that the dryness and heat in Texas would
slash the size of the U.S. crop. In the global interest rates
futures markets, losses of approximately 2.9% were experienced
primarily during September from short positions in Japanese
interest rate futures as bond prices surged as investors sought
refuge from declining stock prices in the U.S. and Japan.
Additional losses were recorded from long positions in Australian
interest rate futures as prices declined mirroring a drop in U.S.
Treasury prices. In the global stock index futures markets,
losses of approximately 2.0% were recorded during late July from
long positions in S&P 500 Index futures as prices declined on
fears of additional interest rate hikes in the U.S. and Europe
and during September due to jitters in the technology industry as
well as from an overall concern regarding the oil markets. In
the metals markets, losses of approximately 0.1% were recorded
throughout a majority of the quarter from long aluminum futures
positions as prices declined amid currency and oil price
fluctuations and on fears that the global economy could be set
for a growth slowdown. These losses were mitigated by gains
<PAGE>
recorded primarily during mid-September from long copper futures
positions as prices rose higher due to a rise in COMEX copper
stocks. A portion of the Partnership's overall losses was offset
by gains of approximately 3.8% recorded in the currency markets
primarily during September from short positions in the euro
relative to the British pound as prices were pushed lower on a
lack of European support for the euro. Additional gains were
recorded during July and September from a short Japanese yen
position as its value weakened versus the U.S. dollar on a weaker
Japanese stock market, corporate failures and overall
strengthening of the U.S dollar. Total expenses for the three
months ended September 30, 2000 were $148,325, resulting in a net
loss of $585,869. The value of a Unit decreased from $1,163.08
at June 30, 2000 to $1,074.99 at September 30, 2000.
For the nine months ended September 30, 2000, the Partnership
recorded total trading revenues including interest income of
$367,949 and, after expenses, posted a decrease in Net Asset
Value per Unit. The most significant losses of approximately
10.5% were recorded in the global interest rate futures markets
primarily throughout a majority of the second quarter, as well as
during July, from short positions in German bund futures as
prices were pushed higher by a rise in U.S. prices. Additional
losses were incurred primarily during February from long
positions in Japanese government bond futures as prices decreased
in response to the yen's weakness and the perception in Japan
<PAGE>
that, despite a zero interest rate policy, 10 year interest rates
are too low. During September, losses were also recorded from
short positions in Japanese interest rate futures as bond prices
surged as investors sought refuge from declining stock prices in
the U.S. and Japan. In the global stock index futures markets,
losses of approximately 4.9% were incurred throughout a majority
of the first quarter and during April, late July and September
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 soft commodities, losses of
approximately 3.6% were incurred primarily during July from short
positions in cotton futures as prices moved higher amid fears
that the dryness and heat in Texas would slash the size of the
U.S. crop. In the metals markets, losses of approximately 2.1%
were recorded throughout a majority of the third quarter from
long aluminum futures positions as prices declined amid currency
and oil price fluctuations and on fears that the global economy
could be set for a growth slowdown. A portion of the
Partnership's overall losses was offset by gains of approximately
11.7% 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. Additional gains were
recorded during February from long positions in crude oil futures
as prices increased due to a combination of cold weather,
<PAGE>
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 only a modest production
increase. In the currency markets, gains of approximately 4.9%
were recorded primarily during March, April and September from
short positions in the euro as its value weakened versus the U.S.
dollar and British pound on a lack of European support.
Offsetting currency losses were experienced during March as the
value of the Japanese yen reversed higher versus the U.S. dollar,
despite dollar buying intervention by the Bank of Japan on two
occasions during that month. During April and early May,
additional losses were recorded 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
agricultural markets, gains of approximately 1.4% were recorded
primarily during June and July from short corn futures positions
as corn prices were pressured lower by a damp weather forecast in
the U.S. Midwest. Total expenses for the nine months ended
September 30, 2000 were $514,295, resulting in a net loss of
$146,346. The value of a Unit decreased from $1,100.09 at
December 31, 1999 to $1,074.99 at September 30, 2000.
<PAGE>
For the Quarter and Nine Months Ended September 30, 1999
For the quarter ended September 30, 1999, the Partnership
recorded total trading revenues including interest income of
$445,929 and posted an increase in Net Asset Value per Unit. The
most significant gains of approximately 5.6% were recorded in the
metals markets primarily from short gold futures positions as
prices dropped during early July amid disappointment over low
prices at the U.K. auction. Newly established long gold futures
positions also produced gains as prices skyrocketed due to the
results of the Bank of England's second gold auction on September
21 and the announcement of a plan by several European central
banks to restrict sales of their gold reserves for five years.
Additional gains were recorded during August from long aluminum
futures positions as prices increased on bullish technical
factors and speculative buying. In the energy markets, gains of
approximately 3.7% were recorded primarily from long crude oil
futures positions as oil prices moved higher after OPEC ministers
confirmed that they would uphold their global cutbacks until
April of next year. These gains were partially offset by losses
of approximately 3.8% recorded in the global interest rate
futures markets primarily from short Australian interest rate
futures positions as prices increased during July and August on
the temporary strength in U.S. bonds and weaker-than-expected
business spending data out of Australia. Additional losses were
recorded from short U.S. interest rate futures positions as
domestic bond prices moved temporarily higher on the release of
<PAGE>
benign inflation data and diminished fears of another interest
rate increase by the Federal Reserve. Offsetting gains resulted
from short positions in German bond futures as prices declined
during July on comments by Bundesbank President designate Welteke
that he has started to see signs of a resurgence in the European
economy. In the currency markets, losses of approximately 0.9%
were experienced early in the quarter primarily from long
Australian dollar positions as its value weakened versus the U.S.
dollar due to depressed commodities prices, emerging market
concerns and on-going talks that China may eventually devalue its
currency. Newly established short positions in this currency
resulted in additional losses during September as its value
strengthened relative to the U.S. dollar following the rally in
gold prices. Losses were also experienced from long positions in
the euro and the Swiss franc as the value of these currencies
declined sharply versus the U.S. dollar on September 10 as an
intervention by the Bank of Japan temporarily strengthened the
U.S. dollar versus most major currencies. As a result, new short
positions were established in the euro and the Swiss franc only
to result in additional losses as these currencies strengthened
versus the U.S. dollar during the latter half of September after
U.S. trade figures reflected a record deficit. Offsetting
currency gains were recorded from long positions in the Japanese
yen as the value of the yen climbed to a 44-month high versus the
U.S. dollar amid optimism over Japan's economic recovery. Total
expenses for the three months ended September 30, 1999 were
<PAGE>
$206,164, resulting in net income of $239,765. The value of a
Unit increased from $1,128.11 at June 30, 1999 to $1,159.47 at
September 30, 1999.
For the nine months ended September 30, 1999, the Partnership
recorded total trading revenues including interest income of
$229,757 and, after expenses, posted a decrease in Net Asset
Value per Unit. The most significant losses of approximately
6.4% were experienced in the global interest rate futures markets
primarily from short Australian interest rate futures positions
as prices increased during July and August on the temporary
strength in U.S. bonds and weaker-than-expected business spending
data out of Australia. Additional losses were recorded from
short Japanese bond futures positions as prices increased during
the first quarter amid growing speculation that the Bank of Japan
may underwrite Japanese government bonds and during the third
quarter on the strength of the Japanese yen and expectations that
additional monetary easing in that country will come. In the
currency markets, losses of approximately 3.1% were recorded
throughout a majority of the first quarter primarily from long
Australian dollar positions as its value dropped significantly
relative to the U.S. dollar on speculation regarding potential
currency devaluations in the Asian region. Early in the third
quarter, losses were recorded from long positions in this
currency due to depressed commodities prices, emerging market
concerns and on-going talks that China may eventually devalue its
<PAGE>
currency. Newly established short positions in the Australian
dollar resulted in additional losses during September as its
value strengthened relative to the U.S. dollar following the
rally in gold prices. Offsetting currency gains were recorded
during the third quarter from long positions in the Japanese yen
as the value of the yen climbed to a 44-month high versus the
U.S. dollar due to continued optimism over Japan's economic
recovery. In the global stock index futures markets, losses of
approximately 1.5% 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. These losses were partially offset by gains of
approximately 6.0% 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
beginning April 1st. Gains were also recorded during the third
quarter after OPEC ministers confirmed that they would uphold
their global cutbacks until April of 2000. In the metals
markets, gains of approximately 0.5% were recorded primarily from
short gold futures positions as prices dropped to 20 year lows
during early July amid disappointment over low prices at the U.K.
auction. Newly established long gold futures positions also
resulted in gains as prices skyrocketed due to the results of the
Bank of England's second gold auction on September 21 and an
<PAGE>
announcement by several European central banks that they plan to
restrict sales of their gold reserves for five years. Total
expenses for the nine months ended September 30, 1999 were
$626,406, resulting in a net loss of $396,649. The value of a
Unit decreased from $1,205.86 at December 31, 1998 to $1,159.47
at September 30, 1999.
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.
<PAGE>
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.
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.
<PAGE>
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.
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
<PAGE>
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
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 primary market risk category as of September 30, 2000 and
1999. As of September 30, 2000 and 1999, the Partnership's total
capitalization was approximately $7 million and $9 million,
respectively.
Primary Market September 30, 2000 September 30, 1999
Risk Category Value at Risk Value at Risk
Currency (2.74)% (1.70)%
Commodity (2.41) (1.32)
Interest Rate (0.57) (0.84)
Equity - (0.16)
Aggregate Value at Risk (3.30)% (2.40)%
<PAGE>
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 September 30, 2000 and 1999 only and is not
necessarily representative of either the historic or future risk
of an 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 October
1, 1999 through September 30, 2000.
Primary Market Risk Category High Low Average
Currency (2.74)% (0.79)% (1.64)%
Commodity (2.41) (0.81) (1.73)
Interest Rate (1.55) (0.22) (0.96)
Equity (1.16) (0.08) (0.47)
Aggregate Value at Risk (3.30)% (1.26)% (2.59)%
<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
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 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, give
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;
<PAGE>
VaR using a one-day time horizon does not fully capture the
market risk of positions that cannot be liquidated or hedged
within one day; and
the historical market risk factor data used for VaR
estimation may provide only limited insight into losses that
could be incurred under certain unusual market movements.
The VaR tables above present the results of the Partnership's VaR
for each of the Partnership's market risk exposures and on an
aggregate basis at September 30, 2000 and for the end of the four
quarterly reporting periods from October 1, 1999 through
September 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. These balances and any market
risk they may represent are immaterial. At September 30, 2000
the Partnership's cash balance at DWR was approximately 84% of
its total Net Asset Value. A decline in short-term interest
rates
<PAGE>
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 any
associated potential losses, taking into account the leverage,
optionality and multiplier features of the Partnership's market-
sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (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,
<PAGE>
increased regulation and many other factors could result in
material losses as well as in material changes to the risk
exposures and the risk management strategies of the Partnership.
Investors must be prepared to lose all or substantially all of
their investment in the Partnership.
The following were the primary trading risk exposures of the
Partnership as of September 30, 2000 by market sector. It may be
anticipated, however, that these market exposures will vary
materially over time.
Currency. The Partnership's currency exposure is 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 third 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
<PAGE>
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.
Commodity
Metals. The Partnership's second largest exposure as of the end
of the third quarter was in the metals complex. This included
positions in aluminum, copper and gold. Prices in these markets
are influenced by general economic conditions, warehouse stocks
and in the case of gold, central bank sales.
Energy. On September 30, 2000 the Partnership's energy exposure
was in futures contracts in the natural gas market. Price
movement in this market results from political developments in
the Middle East, weather patterns 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.
Soft Commodities and Agriculturals. On September 30, 2000 the
Partnership had exposure in the corn, cotton and coffee markets.
Supply and demand inequalities, severe weather disruption and
market expectations affect price movements in these markets.
<PAGE>
Interest Rate. The third largest market exposure on September
30, 2000 was in the interest rate complex. Exposure was spread
across United States 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 exposures 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 exposures of
the Partnership for the foreseeable future. The changes which
have the most effect on the Partnership are in short to
intermediate term as opposed to long term rates as most of the
speculative interest rate futures positions held by the
Partnership are in short term and medium term instruments.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the
Partnership as of September 30, 2000:
<PAGE>
Foreign Currency Balances. The Partnership's primary foreign
currency balances at September 30, 2000 were in 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
Please refer to Legal Proceedings previously disclosed in the
Partnership's Form 10-Q(s) for the quarters ended March 31, 2000
and June 30, 2000 and Form 10-K for the year ended December 31,
1999.
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).
<PAGE>
10.06 Customer Agreement, dated as of May 1, 2000 between
Morgan Stanley & Co. Incorporated, the Partnership and
Dean Witter Reynolds Inc. is incorporated by reference
to Exhibit 10.06 of the Partnership's Quarterly Report
on Form 10-Q for the quarter ended June 30, 2000 (File
No. 0-17178).
- 36 -
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)
November 14, 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.
