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 from to_________________
Commission File No. 0-26282
DWFCM INTERNATIONAL ACCESS FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3775071
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>
DWFCM INTERNATIONAL ACCESS FUND 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......13-23
Item 3. Quantitative and Qualitative Disclosures about
Market Risk ...................................... 23-34
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.....................................35
Item 5. Other Information.....................................35
Item 6. Exhibits and Reports on Form 8-K...................35-36
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
DWFCM INTERNATIONAL ACCESS FUND 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 27,949,076 36,135,527
Net unrealized gain on open contracts (MS & Co.)
2,698,533 -
Net unrealized gain on open contracts (MSIL)
448,022 - Net
unrealized gain on open contracts (Carr)
- 608,697
Total net unrealized gain on open contracts 3,146,555
608,697
Total Trading Equity 31,095,631 36,744,224
Interest receivable (DWR) 124,160 130,006
Total Assets 31,219,791 36,874,230
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 377,847 526,756
Accrued administrative expenses 89,153 70,250
Accrued management fees (DWFCM) 77,827 92,010
Total Liabilities 544,827 689,016
Partners' Capital
Limited Partners (21,985.437 and
25,255.755 Units, respectively) 30,214,020 35,710,955
General Partner (335.409 Units) 460,944 474,259
Total Partners' Capital 30,674,964 36,185,214
Total Liabilities and Partners' Capital 31,219,791 3
6,874,230
NET ASSET VALUE PER UNIT 1,374.27 1,413.97
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended September 30,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (7,210,846)
1,814,621 Net
change in unrealized
5,465,820 543,643
Total Trading Results (1,745,026) 2,358,264
Interest Income (DWR) 389,107 376,284
Total Revenues (1,355,919) 2,734,548
EXPENSES
Brokerage commissions (DWR) 400,799 576,658
Management fees (DWFCM) 237,175 299,346
Administrative expenses 18,000 18,000
Transaction fees and costs 16,665 36,198
Total Expenses 672,639 930,202
NET INCOME (LOSS) (2,028,558) 1,804,346
NET INCOME (LOSS) ALLOCATION
Limited Partners (1,999,335) 1,782,045
General Partner (29,223) 22,301
NET INCOME (LOSS) PER UNIT
Limited Partners
(87.13) 66.49
General Partner
(87.13) 66.49
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Nine Months Ended September 30,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized (2,291,402) (1,836,387)
Net change in unrealized
2,537,858 1,545,321
Total Trading Results 246,456 (291,066)
Interest Income (DWR) 1,181,959 1,116,904
Total Revenues 1,428,415 825,838
EXPENSES
Brokerage commissions (DWR) 1,376,050 1,672,769
Management fees (DWFCM) 771,889 923,076
Transaction fees and costs 75,576 109,403
Administrative expenses 54,000 54,000
Total Expenses 2,277,515 2,759,248
NET LOSS (849,100) (1,933,410)
NET LOSS ALLOCATION
Limited Partners (835,785) (1,912,194)
General Partner (13,315) (21,216)
NET LOSS PER UNIT
Limited Partners
(39.70) (63.26)
General Partner
(39.70) (63.26)
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DWFCM INTERNATIONAL ACCESS FUND 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 29,197.899 $44,949,810 $522,358
$45,472,168
Net Loss
- (1,912,194) (21,216)
(1,933,410)
Redemptions (2,863.023) (4,191,256)
- (4,191,256)
Partners' Capital,
September 30, 1999 26,334.876 $38,846,360 $501,142
$39,347,502
Partners' Capital,
December 31, 1999 25,591.164 $35,710,955 $474,259
$36,185,214
Net Loss
- (835,785) (13,315) (849,100)
Redemptions (3,270.318) (4,661,150)
- (4,661,150)
Partners' Capital,
September 30, 2000 22,320.846 $30,214,020 $460,944
$30,674,964
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DWFCM INTERNATIONAL ACCESS FUND 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 (849,100)
(1,933,410)
Noncash item included in net loss:
Net change in unrealized (2,537,858) (
1,545,321)
Decrease in operating assets:
Interest receivable (DWR) 5,846 15,969
Increase (decrease) in operating liabilities:
Accrued administrative expenses 18,903
17,569
Accrued management fees (DWFCM) (14,183)
(14,932)
Net cash used for operating activities (3,376,392)
(3,460,125)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase (decrease) in redemptions payable(148,909) 166,792
Redemptions of Units (4,661,150)
(4,191,256)
Net cash used for financing activities (4,810,059)
(4,024,464)
Net decrease in cash (8,186,451) (
7,484,589)
Balance at beginning of period 36,135,527
46,211,886
Balance at end of period 27,949,076 38,727,297
<FN>
The accompanying notes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND 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 DWFCM International Access Fund 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
DWFCM International Access Fund L.P. is a Delaware limited
partnership organized to engage primarily in the speculative
trading of futures and forward contracts on physical commodities,
and other commodity interests including foreign currencies,
financial instruments, metals, energy and agricultural products
(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
manager is Dean Witter Futures & Currency Management Inc.
("DWFCM" or the "Trading Manager"). Demeter, DWR, DWFCM, MS &
Co. and MSIL are
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co.
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 and incentive fees (if any)
incurred by the Partnership are paid to DWFCM.
3. Financial Instruments
The Partnership trades futures and forward contracts, physical
commodities and other commodities interests including foreign
currencies, financial instruments, metals, energy, and
agricultural products. 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.
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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
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:
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
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 gain on open contracts is reported as a
component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $3,146,555 and
$608,697 at September 30, 2000 and December 31, 1999,
respectively.
Of the $3,146,555 net unrealized gain on open contracts at
September 30, 2000, $336,566 related to exchange-traded futures
contracts and $2,809,989 related to off-exchange-traded forward
currency contracts.
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Of the $608,697 net unrealized gain on open contracts at December
31, 1999, $465,072 related to exchange-traded futures contracts
and $143,625 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 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 non-
performance. The credit risk associated with the instruments in
which the Partnership is involved is limited to the amounts
reflected in the Partnership's statements of financial condition.
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
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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 $28,285,642 and $36,600,599 at
September 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 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
Manager, 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 conditions could
<PAGE>
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 currency. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or 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 Manager
and the ability of the Trading Manager's trading programs to take
advantage of price movements or other profit opportunities in the
<PAGE>
futures and forwards markets. The following presents a summary
of the Partnership's operations for the quarters 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 Manager 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 Manager 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 Manager'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
$1,355,919 and posted a decrease in Net Asset Value per Unit.
The most significant losses of approximately 4.3% were recorded
in the energy markets primarily 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 prices.
Additional losses were experienced 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
<PAGE>
to boost production. In the global interest rates futures
markets, losses of approximately 3.4% 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 bond futures as
prices declined mirroring a recent drop in U.S. Treasury prices.
In the global stock index futures markets, losses of
approximately 2.9% were recorded primarily 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 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 recorded 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
4.2% 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.
Additional gains were recorded during July and September from a
short Japanese yen position as its value weakened versus the U.S.
<PAGE>
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 $672,639, resulting in
a net loss of $2,028,558. The value of a Unit decreased from
$1,461.40 at June 30, 2000 to $1,374.27 at September 30, 2000.
For the nine months ended September 30, 2000, the Partnership
recorded total trading revenues including interest income of
$1,428,415 and, after expenses, posted a decrease in Net Asset
Value per Unit. The most significant losses of approximately
11.7% were recorded in the global interest rate futures markets
primarily throughout a majority of the second quarter and 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 that, despite a
zero interest rate policy, 10-year interest rates were 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 6.3% 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 the
<PAGE>
metals markets, losses of approximately 3.4% 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 were partially offset by gains of approximately 12.7%
recorded in the energy markets primarily during May from long
positions in natural gas futures as prices trended higher on
fears that inventory levels remain low. 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 only a modest production
increase. In the currency markets, gains of approximately 5.2%
were recorded primarily during March, April and September from
short positions in the euro as the value of the European common
currency weakened versus the U.S. dollar and British pound on a
lack of European support for the common currency. 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 the 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. Total expenses for the nine months
ended September 30, 2000 were $2,277,515, resulting in a net loss
<PAGE>
of $849,100. The value of a Unit decreased from $1,413.97 at
December 31, 1999 to $1,374.27 at September 30, 2000.
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
$2,734,548 and posted an increase in Net Asset Value per Unit.
The most significant gains of approximately 5.3% 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.
In the energy markets, gains of approximately 4.6% 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 3.6%
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. Offsetting gains in this market complex resulted from
short positions in German bond futures as prices declined during
<PAGE>
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. Additional losses were experienced from long
positions in the European common currency, 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 due to continued optimism over Japan's economic recovery.
Total expenses for the three months ended September 30, 1999 were
$930,202, resulting in net income of $1,804,346. The value
<PAGE>
of a Unit increased from $1,427.63 at June 30, 1999 to $1,494.12
at September 30, 1999.
For the nine months ended September 30, 1999, the Partnership
recorded total trading revenues including interest income of
$825,838 and, after expenses, posted a decrease in Net Asset
Value per Unit. The most significant losses of approximately
6.1% were experienced in the global interest rate futures markets
primarily 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. Additional losses were recorded from short Australian
interest rate futures positions as prices increased during July
and August on the temporary strength in U.S. bonds and weaker-
than-expected business spending data out of Australia. In the
currency markets, losses of approximately 3.0% 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 in this currency due to depressed
commodities prices, emerging market concerns and on-going talks
that China may eventually devalue its currency. Newly
established short positions resulted in additional losses during
<PAGE>
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 1.8% 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. These losses were partially offset by gains
of approximately 6.4% 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 next year. In the metals
markets, small gains were recorded during the third quarter 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
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 the European and Swiss central banks to
<PAGE>
restrict sales of their gold reserves for five years. Total
expenses for the nine months ended September 30, 1999 were
$2,759,248, resulting in a net loss of $1,933,410. The value of
a Unit decreased from $1,557.38 at December 31, 1998 to $1,494.12
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 Partner-
ship'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 its
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 Manager 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%
<PAGE>
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
historic reporting purposes only and is not utilized by either
Demeter or the Trading Manager 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 $31 million and $39 million,
respectively.
Primary Market September 30, 2000 September 30, 1999
Risk Category Value at Risk Value at Risk
Currency (3.06)% (3.52)%
Commodity (2.60) (2.44)
Interest Rate (0.53) (1.62)
Equity - (0.31)
Aggregate Value at Risk (3.67)% (4.48)%
<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 (3.06)% (0.91)% (1.86)%
Commodity (2.60) (0.81) (1.95)
Interest Rate (1.82) (0.24) (1.07)
Equity (1.43) (0.07) (0.55)
Aggregate Value at Risk (3.79)% (1.35)% (2.94)%
<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;
<PAGE>
VaR results reflect past trading positions while future risk
depends on future positions;
VaR using a one-day time horizon does not fully capture the
market risk of positions that cannot be liquidated or hedged
within one day; and
the historical market risk factor data used for VaR
estimation may provide only limited insight into losses that
could be incurred under certain unusual market movements.
The 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
<PAGE>
the Partnership's cash balance at DWR was approximately 82% 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 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 Manager 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
<PAGE>
strategies. Government interventions, defaults and
expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical
price relationships, an influx of new market participants,
increased regulation and many other factors could result in
material losses as well as in material changes to the risk
exposures and the risk management strategies of the Partnership.
Investors must be prepared to lose all or substantially all of
their investment in the Partnership.
The following were the primary trading risk exposures of the
Partnership as of September 30, 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. At September 30, 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
<PAGE>
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.
Commodity
Metals. The Partnership's second largest exposure at September
30, 2000 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. At 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
and that 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.
<PAGE>
Interest Rate. The third largest market exposure at 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 may 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 significant effect on the
Partnership are in short to medium-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
<PAGE>
Partnership as of September 30, 2000:
Foreign Currency Balances. The Partnership's primary foreign
currency balances 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 Manager, 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 Manager
daily. In addition, the Trading Manager establishes diversi-
fication guidelines, often set in terms of the maximum margin to
be committed to positions in any one market sector or market-
sensitive instrument.
Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash. Cash is the only Partnership
investment directed by Demeter, rather than the Trading Manager.
<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 5. OTHER INFORMATION
Effective November 30, 2000, the Partnership's name will change
to Morgan Stanley Dean Witter Charter DWFCM L.P., in conjunction
with becoming available for investment and series exchange as an
addition to the Charter Series of funds. The Partnership
registered 1,750,000 Units which will be available for sale each
month-end at a price equal to 100% of its Net Asset Value per
Unit beginning November 30, 2000.
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
(A) Exhibits
3.01 Form of Amended and Restated Limited Partnership Agreement
of the Partnership, dated as of October 31, 2000, is
incorporated by reference to Exhibit A of the Partnership's
Prospectus, dated October 11, 2000, filed with the
Securities and Exchange Commission pursuant to Rule
424(b)(3) under the Securities Act of 1933, as amended, on
October 13, 2000.
10.01Management Agreement among the Partnership, Demeter
Management Corporation and DWFCM dated as of March 1, 1994
is incorporated by reference to Exhibit 10.02 of the
Partnership's Registration Statement on Form S-1 (File No.
33-71654).
<PAGE>
10.02Amended and Restated Customer Agreement, dated as of
December 1, 1997, between the Partnership and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit 10.02
of the Partnership's Annual Report on Form 10-K for the
fiscal year ended December 31, 1998 (File No. 0-26282).
10.03 Customer Agreement, dated as of December 1, 1997, among
the Partnership, Carr Futures, Inc., and Dean Witter Reynolds
Inc. is incorporated by reference to Exhibit 10.03 of the
Partnership's Annual Report on Form 10-K for the fiscal year
ended December 31, 1998 (File No. 0-26282).
10.04International Foreign Exchange Master Agreement, dated as
of August 1, 1997, between the Partnership and Carr
Futures, Inc. is incorporated by reference to Exhibit 10.04
of the Partnership's Annual Report on Form 10-K for the
fiscal year ended December 31, 1998 (File No. 0-26282).
10.05Customer 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 10.05
of the Partnership's Quarterly Report on Form 10-Q for the
quarter ended June 30, 2000 (File No. 0-26282).
10.07 Subscription Agreement Update Form is incorporated by
reference to Exhibit C of the Partnership's Prospectus dated
October 11, 2000, filed with the Securities and Exchange
Commission pursuant to Rule 424(b)(3) under the Securities Act of
1933, as amended, on October 13, 2000.
(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.
DWFCM International Access Fund 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.
