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 March 31, 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
March 31, 2000
<CAPTION>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
<S>
<C>
Statements of Financial Condition
March 31, 2000 (Unaudited) and December 31, 1999 .........2
Statements of Operations for the Quarters Ended
March 31, 2000 and 1999 (Unaudited).......................3
Statements of Changes in Partners' Capital
for the Quarters Ended March 31, 2000 and
1999 (Unaudited)..........................................4
Statements of Cash Flows for the Quarters Ended
March 31, 2000 and 1999 (Unaudited).......................5
Notes to Financial Statements (Unaudited)..............6-
11
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations......12-18
Item 3. Quantitative and Qualitative Disclosures about
Market Risk ...................................... 18-30
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.................................... 31
Item 5. Other Information.................................... 31
Item 6. Exhibits and Reports on Form 8-K..................... 32
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
DWFCM INTERNATIONAL ACCESS FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
2000 1999
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in futures interests trading accounts:
Cash 34,023,367 36,135,527
Net unrealized gain on open contracts 1,897,743 608,697
Total Trading Equity 35,921,110 36,744,224
Interest receivable (DWR) 135,466 130,006
Total Assets 36,056,576 36,874,230
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 656,685 526,756
Accrued management fees (DWFCM) 89,962 92,010
Accrued administrative expenses 71,604 70,250
Total Liabilities 818,251 689,016
Partners' Capital
Limited Partners (23,783.594 and
25,255.755 Units, respectively) 34,748,286 35,710,955
General Partner (335.409 Units) 490,039 474,259
Total Partners' Capital 35,238,325 36,185,214
Total Liabilities and Partners' Capital 36,056,576 36
,874,230
NET ASSET VALUE PER UNIT 1,461.02 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 March 31,
2000 1999
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 344,767 (3,279,708)
Net change in unrealized 1,289,046 578,060
Total Trading Results 1,633,813 (2,701,648)
Interest Income (DWR) 383,881 381,969
Total Revenues 2,017,694 (2,319,679)
EXPENSES
Brokerage commissions (DWR) 554,144 572,965
Management fee (DWFCM) 267,130 319,895
Transaction fees and costs 35,628 39,901
Administrative expenses 18,000 18,000
Total Expenses 874,902 950,761
NET INCOME (LOSS) 1,142,792 (3,270,440)
NET INCOME (LOSS) ALLOCATION
Limited Partners 1,127,012
(3,232,589)
General Partner
15,780 (37,851)
NET INCOME (LOSS) PER UNIT
Limited Partners 47.05
(112.85)
General Partner 47.05
(112.85)
<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 Quarters Ended March 31, 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
- - (3,232,589) (37,851) (3,270,440)
Redemptions (955.427) (1,404,690)
- - (1,404,690)
Partners' Capital,
March 31, 1999 28,242.472 $40,312,531 $484,507
$40,797,038
Partners' Capital,
December 31, 1999 25,591.164 $35,710,955 $474,259
$36,185,214
Net Income
- - 1,127,012 15,780
1,142,792
Redemptions (1,472.161) (2,089,681)
- - (2,089,681)
Partners' Capital,
March 31, 2000 24,119.003 $34,748,286 $490,039
$35,238,325
<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 Quarters Ended March 31,
2000 1999
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income (loss) 1,142,792 (
3,270,440)
Noncash item included in net income (loss):
Net change in unrealized (1,289,046) (
578,060)
(Increase) decrease in operating assets:
Interest receivable (DWR) (5,460)
7,961
Due from DWR
- - (19,018)
Increase (decrease) in operating liabilities:
Accrued management fees (DWFCM) (2,048) (11,025)
Accrued administrative expenses
1,354 10,551
Net cash used for operating activities (152,408)
(3,860,031)
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in redemptions payable
129,929
295,214
Redemptions of Units (2,089,681)
(1,404,690)
Net cash used for financing activities (1,959,752)
(1,109,476)
Net decrease in cash (2,112,160) (
4,969,507)
Balance at beginning of period
36,135,527 46,211,886
Balance at end of period
34,023,367 41,242,379
<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 financial statements 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, 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") and an unaffiliated clearing
commodity broker, Carr Futures Inc. ("Carr"), provides clearing
and execution services. The Trading Manager is Dean Witter
Futures & Currency Management Inc. ("DWFCM" or the "Trading
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Manager"). Demeter, DWR, and DWFCM are wholly-owned subsidiaries
of Morgan Stanley Dean Witter & Co.
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr in futures
interests trading accounts to meet margin requirements as needed.
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,
1999. In June 1999, the FASB issued SFAS No. 137, "Accounting
for Derivative Instruments and Hedging Activities - Deferral of
the Effective Date of SFAS No. 133," which defers the required
implementation of SFAS No. 133 until fiscal years beginning after
June 15, 2000. However, the Partnership had previously elected
to adopt the provisions of SFAS No. 133 beginning with the fiscal
year ended December 31, 1998. SFAS No. 133 supersedes SFAS No.
119 and No. 105, which required the disclosure of average
aggregate fair values and contract/notional values, respectively,
of derivative financial instruments for an entity which carries
its assets at fair value. The application of SFAS No. 133 does
not have a significant effect on the Partnership's financial
statements.
The net unrealized gain on open contracts is reported as a
component of "Equity in futures interests trading accounts" on
the statements of financial condition and totaled $1,897,743 and
$608,697 at March 31, 2000 and December 31, 1999, respectively.
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Of the $1,897,743 net unrealized gain on open contracts at March
31, 2000, $1,509,022 related to exchange-traded futures contracts
and $388,721 related to off-exchange-traded forward currency
contracts.
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
March 31, 2000 and December 31, 1999 mature through June 2000 and
September 2000, respectively. Off-exchange-traded forward
currency contracts held by the Partnership at March 31, 2000 and
December 31, 1999 mature through July 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 and Carr act as
the futures commission merchants or the counterparties with
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
respect to most of the Partnership's assets. Exchange-traded
futures contracts are marked to market on a daily basis, with
variations in value settled on a daily basis. Each of DWR and
Carr, as a futures commission merchant for 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 $35,532,389 and $36,600,599 at
March 31, 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 Carr, the sole
counterparty on all of such contracts, to perform. The
Partnership has a netting agreement with Carr. This agreement,
which seeks to reduce both the Partnership's and Carr's exposure
on off-exchange-traded forward currency contracts, should
materially decrease the Partnership's credit risk in the event of
Carr's bankruptcy or insolvency. Carr's parent, Credit Agricole
Indosuez, has
<PAGE>
DWFCM INTERNATIONAL ACCESS FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
guaranteed to the Partnership payment of the net liquidating
value of the transactions in the Partnership's account with Carr
(including foreign currency contracts).
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership deposits its assets with DWR as non-
clearing broker and Carr as clearing broker 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
<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 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 and 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 investments 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 three months ended March
31, 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 is
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 Ended March 31, 2000
For the quarter ended March 31, 2000, the Partnership recorded
total trading revenues, including interest income, of $2,017,694
and posted an increase in Net Asset Value per Unit. The most
significant gains of approximately 5.5% were recorded in the
energy markets. During February, gains were recorded from long
positions in crude oil futures as prices rose to nine-year highs.
This price increase was due to a combination of cold weather,
declining inventories and increasing demand, as well as concerns
about future output levels from the world's leading producer
countries. Despite a dramatic move lower in the price of crude
oil during March, the Partnership profited from long positions
liquidated early in the month. In the currency markets, gains of
<PAGE>
approximately 2.6% were recorded primarily during January from
short positions in the Swedish krona, the euro and the Swiss
franc as the value of these European currencies weakened relative
to the U.S. dollar, hurt by skepticism about Europe's economic
outlook and lack of support from European officials. During
March, gains were recorded from short euro positions as
expectations for continued interest rate hikes from the European
Central Bank diminished. These gains were partially offset by
losses of approximately 2.4% recorded in the metals markets
primarily from long positions in base metal futures as the
previous upward price trend reversed sharply lower during
February in response to interest rate hikes across the globe.
Additional losses were recorded from short gold futures positions
as prices spiked sharply higher early in February following an
announcement by a major producer that it was suspending gold
hedging activities. Newly established long gold futures
positions resulted in additional losses as gold prices fell later
in February from weakness in the Australian dollar and gold sales
by the Dutch central bank. In the global stock index futures
markets, losses of approximately 1.7% were experienced throughout
a majority of the quarter from long positions in S&P 500 Index
futures as domestic stock prices declined due to volatility in
the technology sector and as economic data raised fears that the
Federal Reserve will be forced to take aggressive action to slow
the economy. In the global interest rate futures markets, losses
of approximately 1.3% were incurred primarily during February
<PAGE>
from long positions in Japanese government bond futures as prices
decreased in response to the yen's weakness, a higher Nikkei
average, and the perception in Japan that, despite a zero
interest rate policy, 10-year interest rates are too low. Total
expenses for the three months ended March 31, 2000 were $874,902,
resulting in net income of $1,142,792. The value of a Unit
increased from $1,413.97 at December 31, 1999 to $1,461.02 at
March 31, 2000.
For the Quarter Ended March 31, 1999
For the quarter ended March 31, 1999, the Partnership recorded
total trading losses net of interest income of $2,319,679 and
posted a decrease in Net Asset Value per Unit. The most
significant losses of approximately 4.0% were experienced in the
currency markets primarily earlier in the quarter from long
Australian dollar positions as its value dropped significantly
relative to the U.S. dollar on speculation regarding potential
currency devaluations in the Asian region. Losses recorded from
short British pound positions in March offset profits recorded in
February as its value strengthened versus the U.S. dollar as the
market scaled back the chances of a British interest rate cut
following an announcement of a budget that was more generous than
expected. In the global interest rate futures markets, losses of
approximately 3.9% were recorded throughout a majority of the
quarter largely from short Japanese government bond futures
positions as prices increased amid growing speculation that the
<PAGE>
Bank of Japan may underwrite Japanese government bonds. Fears
that a rise in Japanese bond yields would lead many Japanese
money managers to repatriate assets from foreign investments to
yen-denominated debt also pushed prices higher. Additional
losses were recorded during February and March from short German
government bond futures positions as prices increased on reports
that Germany's industrial production showed a sharp increase,
creating hopes that Europe's biggest economy could be
strengthening. In the metals markets, losses of approximately
1.1% were experienced during March mainly from long silver
futures positions as prices retreated after Berkshire Hathaway's
annual report failed to provide any new information on the
company's silver positions. In the global stock index futures
markets, losses of approximately 0.2% were recorded primarily
during February 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 1.9% recorded in the energy markets mostly during
March from long positions in crude and heating oil futures as
prices moved significantly higher which was largely attributed to
the news that both OPEC and non-OPEC countries had reached an
agreement to cut total output by approximately two million
barrels a day beginning April 1, 1999. Total expenses for the
three months ended March 31, 1999 were $950,761, resulting in a
<PAGE>
net loss of $3,270,440. The value of a Unit decreased from
$1,557.38 at December 31, 1998 to $1,444.53 at March 31, 1999.
Risks Associated With the Euro. On January 1, 1999, eleven
countries in the European Union established fixed conversion
rates on their existing sovereign currencies and converted to a
common single currency (the euro). During a three-year
transition period, the sovereign currencies will continue to
exist but only as a fixed denomination of the euro. Conversion
to the euro prevents the Trading Manager from trading those
sovereign currencies and thereby limits its ability to take
advantage of potential market opportunities that might otherwise
have existed had separate currencies been available to trade.
This could adversely affect the performance results of the
Partnership.
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool 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.
<PAGE>
The futures interests traded by the Partnership involve varying
degrees of market risk. Market risk is often dependent upon
changes in the level or volatility of interest rates, exchange
rates, and prices of financial instruments and commodities.
Fluctuations in market risk based upon these factors result in
frequent changes in the fair value of the Partnership's open
positions, and, consequently, in its earnings and cash flow.
The Partnership's total market risk is influenced by a wide
variety of factors, including the diversification among the
Partnership's open positions, the volatility present within the
markets, and the liquidity of the markets. At different times,
each of these factors may act to increase or decrease the market
risk associated with the Partnership.
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"
<PAGE>
within the meaning of the safe harbor from civil liability
provided for such statements by the Private Securities Litigation
Reform Act of 1995 (set forth in Section 27A of the Securities
Act of 1933 and Section 21E of the Securities Exchange Act of
1934). All quantitative disclosures in this section are deemed to
be forward-looking statements for purposes of the safe harbor,
except for statements of historical fact.
The Partnership accounts for open positions using mark-to-market
accounting principles. Any loss in the market value of the
Partnership's open positions is directly reflected in the
Partnership's earnings, whether realized or unrealized, 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,
<PAGE>
foreign exchange rates, and correlation among these variables.
The hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. The historical observation period of the Partner-
ship's VaR is approximately four years. The one-day 99%
confidence level of the Partnership's VaR corresponds to the
negative change in portfolio value that, based on observed market
risk factors, would have been exceeded once in 100 trading days.
VaR models, including the Partnership's, are continuously
evolving as trading portfolios become more diverse and modeling
techniques and systems capabilities improve. Please note that
the VaR model is used to numerically quantify market risk for
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 tables indicate the VaR associated with the
Partnership's open positions as a percentage of total Net Assets
by primary market risk category as of March 31, 2000 and 1999.
As of March 31, 2000 and 1999, the Partnership's total
capitalization was approximately $35 million and $41 million,
respectively.
<PAGE>
Primary Market March 31, 2000 March 31, 1999
Risk Cateogry Value at Risk Value at Risk
Currency (1.85)% (2.18)%
Interest Rate (1.71) (0.94)
Commodity (2.28) (1.09)
Equity (1.43) (0.75)
Aggregate Value at Risk (3.79)% (2.54)%
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 March 31, 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.
<PAGE>
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 April 1,
1999 through March 31, 2000.
Primary Market Risk Category High Low Average
Currency (3.52)% (1.85)% (2.41)%
Interest Rate (1.99) (0.94) (1.57)
Commodity (2.44) (0.97) (1.70)
Equity (1.43) (0.31)
(0.74)
Aggregate Value at Risk (4.48)% (2.52)% (3.49)%
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, gives
<PAGE>
no indication of such "risk of ruin". In addition, VaR risk
measures should be viewed in light of the methodology's
limitations, which include the following:
past changes in market risk factors will not always result
in accurate predictions of the distributions and correlations of
future market movements;
changes in portfolio value in response to market movements
may differ from those of the VaR model;
VaR results reflect past trading positions while future risk
depends on future positions;
VaR using a one-day time horizon does not fully capture the
market risk of positions that cannot be liquidated or hedged
within one day; and
the historical market risk factor data used for VaR
estimation may provide only limited insight into losses that
could be incurred under certain unusual market movements.
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 March 31, 2000 and for the end of the four
quarterly reporting periods from April 1, 1999 through March 31,
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
<PAGE>
be no assurance that the Partnership's actual losses on a
particular day will not exceed the VaR amounts indicated above or
that such losses will not occur more than 1 in 100 trading days.
Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, such balances, as well
as any market risk they may represent, are immaterial. The
Partnership also maintains a substantial portion (approximately
76%) of its available assets in cash at DWR. A decline in short-
term interest rates will result in a decline in the Partnership's
cash management income. This cash flow risk is not considered
material.
Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and the
potential losses caused by such movements, taking into account
the leverage, optionality and multiplier features of the
Partnership's market sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (A) those disclosures that are
statements of historical fact and (B) the descriptions of how the
Partnership manages its primary market risk exposures -
<PAGE>
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
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 March 31, 2000, by market sector. It may be
anticipated, however, that these market exposures will vary
materially over time.
Currency. The most significant exposure in the Partnership at
March 31, 2000 was in the currency complex. The Partnership's
<PAGE>
currency exposure is to exchange rate fluctuations, primarily
fluctuations that disrupt the historical pricing relationships
between different currencies and currency pairs. Interest rate
changes as well as political and general economic conditions
influence these fluctuations. The Partnership trades in a large
number of currencies, including cross-rates i.e., positions
between two currencies other than the U.S. dollar. For the first
quarter of 2000, the Partnership's FX exposure was in the euro
currency crosses and outright U.S. dollar positions (outright
positions consist of the U.S. dollar vs. other currencies). The
currency trading VaR figure includes foreign margin amounts
converted into U.S. dollars with an incremental adjustment to
reflect the exchange rate risk inherent to the dollar-based
Partnership in expressing VaR in a functional currency other than
dollars.
Interest Rates. Significant exposure was also evident this
quarter in the interest rate sector. Exposure was spread across
the US, Swiss, Australian, and euro-zone interest rate sectors.
Interest rate movements directly affect the price of the
sovereign bond positions held by the Partnership and indirectly
affect the value of its stock index and currency positions.
Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the
Partnership's profitability. The Partnership's primary interest
rate exposure is generally to interest rate fluctuations in the
<PAGE>
G-7 countries and Australia. Demeter anticipates that G-7 and
Australian interest rates will remain the primary interest rate
exposure of the Partnership for the foreseeable future. The
changes in interest rates, which have the most effect on the
Partnership, are changes in long-term and medium-term
instruments. Consequently, even a material change in short-term
rates would have little effect on the Partnership, were the
medium to long term rates to remain steady.
Commodity.
Metals. The next noteworthy exposure was in the base and
precious metals markets. The Partnership's metals market exposure
in the first quarter of 2000 was to fluctuations in the prices of
base metals, as well as exposure in the gold market. A
significant amount of exposure was evident in the base metals as
the Partnership held sizeable positions in aluminum and copper as
determined by the parameters of the proprietary system.
The Partnership aims to equally weight market exposure in the
metals as much as possible, however base metals, during periods
of volatility, will affect performance more dramatically than the
precious metals markets. Demeter anticipates that base metals
will remain the primary metals market exposure of the
Partnership.
<PAGE>
Energy. On March 31, 2000, the Partnership's energy exposure was
in the natural gas futures contract. Price movement in this
market results from supply/demand data, weather patterns, and
other economic fundamentals. A position in natural gas will
impact the portfolio as it is a significant portion of the
portfolio.
Equity. The Partnership's equity exposure at March 31, 2000 was
price risk in the S&P 500 futures index and was noteworthy as
prices continued their upward trend. The stock index futures
traded by the Partnership are by law limited to futures on
broadly based indices. Demeter anticipates little, if any,
trading in non G-7 stock indices. The Partnership is primarily
exposed to the risk of adverse price trends or static markets in
the U.S. and Japanese indices. (Static markets would not cause
major market changes but would make it difficult for the
Partnership to avoid being "whipsawed" into numerous small
losses.)
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the
Partnership as of March 31, 2000:
Foreign Currency Balances. The Partnership's foreign currency
balances are in Japanese yen, British pounds, euros, Swiss francs
and Australian dollars. The Partnership controls the non-trading
<PAGE>
risk of these balances by regularly converting these balances
back into dollars shortly after 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
On March 31, 2000, the plaintiffs in the New York action filed an
appeal of the order dismissing the consolidated complaint.
(Please refer to Legal Proceedings previously disclosed in the
Partnership's Form 10-K for the year ended December 31, 1999 for
a more detailed discussion.
Item 5. OTHER INFORMATION
Effective January 31, 2000, Mark J. Hawley resigned as Chairman
of the Board and a Director of Demeter and Dean Witter Futures &
Currency Management, Inc. ("DWFCM") and Robert E. Murray replaced
him as Chairman of the Board of Demeter and DWFCM.
Demeter has determined, commencing in May 2000, to transfer the
Partnership's futures and options clearing from Carr to Morgan
Stanley & Co. Incorporated ("MS&Co."), an affiliate of Demeter,
while trades on the London Metal Exchange will be cleared by
Morgan Stanley & Co. International Limited ("MSIL"), also an
affiliate of Demeter. In addition, MS&Co. and MSIL, rather than
Carr, will act as the counterparty on all of the Partnership's
foreign currency forward trades. Dean Witter Reynolds Inc. will
continue to act as the non-clearing commodity broker for the
Partnership.
<PAGE>
Item 6. EXHIBITS AND REPORTS ON FORM 8-K
(A) Exhibits - None.
(B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of
1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
DWFCM International Access Fund
L.P.
(Registrant)
By: Demeter Management Corporation
(General Partner)
May 12, 2000 By: /s/ Lewis A. Raibley, III
Lewis A. Raibley, III
Director and Chief Financial
Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no
principal executive officer, principal financial officer,
controller, or principal accounting officer and has no Board of
Directors.
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from
DWFCM International Access Fund L.P. and is qualified in its entirety
by reference to such financial statements.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-31-2000
<PERIOD-END> MAR-31-2000
<CASH> 34,023,367
<SECURITIES> 0
<RECEIVABLES> 135,466<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 36,056,576<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 36,056,576<F3>
<SALES> 0
<TOTAL-REVENUES> 2,017,694<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 874,902
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 1,142,792
<INCOME-TAX> 0
<INCOME-CONTINUING> 1,142,792
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 1,142,792
<EPS-BASIC> 0
<EPS-DILUTED> 0
<FN>
<F1>REceivables include interest receivable of $135,466.
<F2>In addition to cash and receivables, total assets include net
unrealized gain on open contracts of $1,897,743.
<F3>Liabilities include redemptions payable of $656,685, accrued
management fees of $89,962, and accrued administrative expenses
of $71,604.
<F4>Total revenue includes realized trading revenue of $344,767,
net change in unrealized of $1,289,046 and interest income of
$383,881.
</FN>
</TABLE>
