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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
[X] Annual report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934 [No Fee Required]
For the year ended December 31, 2000 or
[ ] Transition report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934 [No Fee Required]
For the transition period from
________________to___________________
Commission File Number 0-25605
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
(Exact name of registrant as specified in its Limited Partnership
Agreement)
DELAWARE 13-4018065
(State or other jurisdiction of (I.R.S.
Employer
incorporation or organization)
Identification No.)
c/o Demeter Management Corporation
Two World Trade Center, - 62nd Flr., New York, N.Y.
10048 (Address of principal executive offices)
(Zip Code)
Registrant's telephone number, including area code (212)
392-5454
Securities registered pursuant to Section 12(b) of the Act:
Name of each
exchange
Title of each class on which
registered
None None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
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 _____
Indicate by check-mark if disclosure of delinquent filers
pursuant to Item 405 of Regulation S-K (section 229.405 of this
chapter) is not contained herein, and will not be contained, to
the best of registrant's knowledge, in definitive proxy or
information statements incorporated by reference in Part III of
this Form 10-K or any amendment of this Form 10-K. [X]
State the aggregate market value of the Units of Limited
Partnership Interest held by non-affiliates of the registrant.
The aggregate market value shall be computed by reference to the
price at which units were sold as of a specified date within 60
days prior to the date of filing: $29,635,961 at January 31,
2001.
DOCUMENTS INCORPORATED BY REFERENCE
(See Page 1)
MORGAN STANLEY DEAN WITTER CHARTER MILLBURN L.P.
INDEX TO ANNUAL REPORT ON FORM 10-K
DECEMBER 31, 2000
Page No.
DOCUMENTS INCORPORATED BY REFERENCE. . . . . . . . . . . . .
. . . . 1
Part I .
Item 1.Business. . . . . . . . . . . . . . . . . . . . . . .
. 2-5
Item 2.Properties. . . . . . . . . . . . . . . . . . . . . . .
. .5
Item 3.Legal Proceedings. . . . . . . . . . . . . . . . . . .
5-6
Item 4.Submission of Matters to a Vote of Security Holders. .
. ..6
Part II.
Item 5.Market for the Registrant's Partnership Units
and Related Security Holder Matters. . . . . . . . . .
. 7-8
Item 6.Selected Financial Data. . .. .. . . . . . . . . . . .
. ..9
Item 7.Management's Discussion and Analysis of Financial
Condition and Results of Operations. . . . . . . . . .
10-20
Item 7A. Quantitative and Qualitative Disclosures About
Market Risk . . . . . . . . . . . . . . . . . . . . .
20-33
Item 8. Financial Statements and Supplementary Data. . . . . .
. .33
Item 9.Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure. . . . . . . . . .
. .33
Part III.
Item 10.Directors and Executive Officers of the Registrant .
34-38
Item 11. Executive Compensation . . . . . . . . . . . . . . . .
. .38
Item 12.Security Ownership of Certain Beneficial Owners
and Management . . . . . . . . . . . . . . . . . . .
. .38
Item 13. Certain Relationships and Related Transactions . . . .
38-39
Part IV.
Item 14. Exhibits,
Financial Statement Schedules, and
Reports on Form 8-K. . . . . . . . . . . . . . . . .
. .40
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the following documents are incorporated by
reference as follows:
Documents Incorporated Part of Form 10-K
Partnership's Prospectus dated
October 11, 2000 I
Annual Report to Morgan Stanley
Dean Witter Charter Series Limited
Partners for the year ended
December 31, 2000 II, III and IV
PART I
Item 1. BUSINESS
(a) General Development of Business. Morgan Stanley Dean Witter
Charter Millburn L.P. ("the Partnership") is a Delaware limited
partnership organized to engage primarily in the speculative
trading of futures and forward contracts, options on futures
contracts and on physical commodities, and other commodity
interests, including foreign currencies, financial instruments,
metals, energy and agricultural products. The Partnership
commenced operations on March 1, 1999. The Partnership is one of
the Morgan Stanley Dean Witter Charter Series of funds, comprised
of the Partnership, Morgan Stanley Dean Witter Charter Graham
L.P., Morgan Stanley Dean Witter Charter Welton L.P. and Morgan
Stanley Dean Witter Charter DWFCM L.P. (formerly, "DWFCM
International Access Fund L.P.").
The general partner is Demeter Management Corporation
("Demeter"). The non-clearing commodity broker is Dean Witter
Reynolds, Inc. ("DWR"). The clearing commodity brokers are
Morgan Stanley & Co. Incorporated ("MS & Co.") and Morgan Stanley
& Co. International Limited ("MSIL"). Prior to November 2000,
Carr Futures Inc. provided clearing and execution services.
Demeter, DWR, MS & Co. and MSIL are wholly-owned subsidiaries of
Morgan Stanley Dean Witter & Co. ("MSDW"). Millburn Ridgefield
Corporation (the "Trading Advisor"), is the trading advisor to
the Partnership.
The Partnership registered an additional 6,000,000 units of
limited partnership interest ("Unit(s)") pursuant to a new
Registration Statement on Form S-1 (SEC File Number 333-91569),
which became effective on March 27, 2000.
Units are sold at monthly closings at a price equal to 100% of
the net asset value per Unit as of the close of business on the
last day of each month. The managing underwriter for the
Partnership is DWR.
The Partnership's net asset value per Unit at December 31, 2000
was $10.40, representing an increase of 12.1 percent from the net
asset value per Unit of $9.28 at December 31, 1999. For a more
detailed description of the Partnership's business, see
subparagraph (c).
(b) Financial Information about Segments. For financial
information reporting purposes the Partnership is deemed to
engage in one industry segment, the speculative trading of
futures, forwards and options. The relevant financial
information is presented in Items 6 and 8.
(c) Narrative Description of Business. The Partnership is in the
business of speculative trading of futures, forwards, and options
pursuant to trading instructions provided by the Trading Advisor.
For a detailed description of the different facets of the
Partnership's business, see those portions of the Partnership's
prospectus, dated October 11, 2000 (the "Prospectus"),
incorporated by reference in this Form 10-K, set forth below.
Facets of Business
1. Summary 1. "Summary" (Pages 1-9
of the Prospectus).
2. Futures, Options, and 2. "The Futures, Options,
and Forwards Markets Forwards Markets" (Pages
121-125 of the
Prospectus).
3. Partnership's Trading 3. "Use of Proceeds, Investment
Arrangements and Objectives, and Trading
Policies Policies" (Pages 23-29
of the Prospectus). "The
Trading Advisors"
(Pages 60-98 of the
Prospectus).
4. Management of the Part- 4. "The Management Agree-
nership ments" (Page 60 of
the Prospectus). "The
General Partner" (Pages
55-58 of the
Prospectus).
"The Commodity
Brokers"
(Page 100-102 of the
Prospectus) and "The
Limited Partnership
Agreements" (Pages 104-
107 of the Prospectus).
5. Taxation of the Partner- 5. "Material Federal Income
ship's Limited Partners Tax Considerations" and
"State and Local Income Tax
Aspects" (Pages 113-120
of the Prospectus).
(d) Financial Information about Geographic Areas.
The Partnership has not engaged in any operations in foreign
countries; however, the Partnership (through the commodity
brokers) enters into forward contract transactions where foreign
banks are the contracting party and trades in futures interests
on foreign exchanges.
Item 2. PROPERTIES
The executive and administrative offices are located within the
offices of DWR. The DWR offices utilized by the Partnership are
located at Two World Trade Center, 62nd Floor, New York, NY
10048.
Item 3. LEGAL PROCEEDINGS
Similar class actions were filed in 1996 in California and New
York State courts. Each of these actions were dismissed in 1999.
However, the New York State class action discussed below is still
pending because plaintiffs appealed the trial court's dismissal
of their case on March 3, 2000.
On September 18 and 20, 1996, purported class actions were filed
in the Supreme Court of the State of New York, New York County,
on behalf of all purchasers of interests in limited partnership
commodity pools sold by DWR. Named defendants include DWR,
Demeter, MSDW, certain limited partnership commodity pools of
which Demeter is the general partner and certain trading advisors
to those pools. A consolidated and amended complaint in the
action pending in the Supreme Court of the State of New York was
filed on August 13, 1997, alleging that the defendants committed
fraud, breach of fiduciary duty, and negligent misrepresentation
in the sale and operation of the various limited partnership
commodity pools. The complaints sought unspecified amounts of
compensatory and punitive damages and other relief. The New York
Supreme Court dismissed the New York action in November 1998, but
granted plaintiffs leave to file an amended complaint, which they
did in early December 1998. The defendants filed a motion to
dismiss the amended complaint with prejudice on February 1, 1999.
By decision dated December 21, 1999, the New York Supreme Court
dismissed the case with prejudice. However, on March 3, 2000,
plaintiffs appealed the trial court's dismissal of their case.
Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
PART II
Item 5. MARKET FOR THE REGISTRANT'S PARTNERSHIP UNITS AND
RELATED SECURITY HOLDER MATTERS
(a) Market Information
There is no established public trading market for Units of the
Partnership.
(b) Holders
The number of holders of Units at December 31, 2000 was
approximately 1,511.
(c) Distributions
No distributions have been made by the Partnership since it
commenced trading operations on March 1, 1999. Demeter has sole
discretion to decide what distributions, if any, shall be made to
investors in the Partnership. Demeter currently does not intend
to make any distribution of Partnership profits.
(d) Use of Proceeds
The Partnership registered 3,000,000 Units pursuant to a
Registration Statement on Form S-1 (SEC File Number 333-60103),
which became effective on November 6, 1998. The Partnership
registered an additional 6,000,000 Units pursuant to a new
Registration Statement on Form S-1 (SEC File Number 333-91569),
which became effective on March 27, 2000. Units are sold at
monthly closings at a price equal to 100% of the net asset value
per Unit as of the close of business on the last day of each
month.
Through December 31, 2000, 3,525,765.859 Units were sold, leaving
5,474,234.141 Units unsold at December 31, 2000. The aggregate
price of the Units sold through December 31, 2000 was
$34,247,219. The managing underwriter for the Partnership is DWR.
Since no expenses are chargeable against proceeds, 100% of the
proceeds of the offering have been applied to the working capital
of the Partnership for use in accordance with the "Use of
Proceeds, Investment Objectives, and Trading Policies" section of
the Prospectus.
Item 6. SELECTED FINANCIAL DATA (in dollars)
For the Period from
March 1, 1999
(commencement
For the year ended of operations) to
December 31, 2000 December 31, 1999
Total Revenues
(including interest) 5,531,141 (653,797)
Net Income (Loss) 3,345,779 (1,929,953)
Net Income (Loss)
Per Unit (Limited
& General Partners) 1.12 (.72)
Total Assets 30,595,019 23,708,029
Total Limited
Partners' Capital 29,457,979 23,039,629
Net Asset Value
Per Unit 10.40 9.28
Item 7. 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, forwards and options 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 Commodity Futures Trading Commission ("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, forwards, and
options, it is expected that the Partnership will continue to own
such liquid assets for margin purposes.
The Partnership's investment in futures, forwards, and options
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 or options contract
has increased or decreased by an amount equal to the daily limit,
positions in that futures or options 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 prevent the Partnership
from promptly liquidating its futures or options 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 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, exchanges and sales of
additional Units in the future will affect the amount of funds
available for investments in futures, forwards, and options in
subsequent periods. It is not possible to estimate the amount
and therefore the impact of future redemptions.
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
advantage of price movements or other profit opportunities in the
futures, forwards, and options markets. The following presents a
summary of the Partnership's operations for the year ended
December 31, 2000 and the period from March 1, 1999 through
December 31, 1999 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 and how the Partnership
has performed in the past.
At December 31, 2000, the Partnership's total capital was
$29,782,599, an increase of $6,478,879 from the Partnership's
total capital of $23,303,720 at December 31, 1999. For the year
ended December 31, 2000, the Partnership generated net income of
$3,345,779, total subscriptions aggregated $8,818,482 and total
redemptions aggregated $5,685,382.
For the year ended December 31, 2000, the Partnership recorded
total trading revenues, including interest income, of $5,531,141
and posted an increase in net asset value per Unit. The most
significant gains of approximately 11.1% were recorded in the
energy markets primarily during February, May, June, August,
October and November from long positions in crude oil futures and
its refined products as oil prices increased on concerns about
future output levels from the world's leading producer countries
amid increasing demand and rising concerns regarding supplies and
production levels. Additional gains were recorded during May,
August, September and December from long positions in natural gas
futures as prices trended higher on supply and storage concerns.
In the global interest rate futures markets, gains of
approximately 8.1% were recorded primarily during August,
November and December from long positions in U.S. interest rate
futures as prices climbed higher amid a drop in stock prices and
as fears of an economic slowdown drew investors to the perceived
safety of government securities. Additional gains were recorded
during December from long positions in European interest rate
futures as prices rose amid speculation that the U.S. Federal
Reserve would lower interest rates. A portion of the
Partnership's overall gains was partially offset by losses of
approximately 3.3% recorded in the global stock index futures
markets primarily from long futures positions in the Hang Seng
Index as most global equity prices reversed lower in early
January amid fears of interest rate hikes. During March and
June, additional losses were recorded from trading Hang Seng
Index futures due to trendless price movement within most of the
world's stock markets. Total expenses for the year were
$2,185,362, resulting in net income of $3,345,779. The net asset
value of a Unit increased from $9.28 at December 31, 1999 to
$10.40 at December 31, 2000.
At December 31, 1999, the Partnership's total capital was
$23,303,720, an increase of $18,468,837 from the Partnership's
total capital of $4,834,883 at February 26, 1999. For the period
from March 1, 1999 (commencement of operations) through December
31, 1999, the Partnership generated a net loss of $1,929,953,
total subscriptions aggregated $20,903,854 and total redemptions
aggregated $505,064.
For the period ended December 31, 1999, the Partnership recorded
total trading losses net of interest income of $653,797 and
posted a decrease in net asset value per Unit. The most
significant losses (approximately 4.27%) were recorded in the
global interest rate futures markets. The Partnership
experienced losses in the third and fourth quarters from short
positions in Japanese interest rate futures as prices moved
higher amid fears that a strong yen may slow that nation's
budding recovery. Losses were also recorded during April and May
from long U.S. interest rate futures positions as prices dropped
in reaction to Federal Reserve Chairman Alan Greenspan's warnings
that a strong economy
could reignite inflation. Fears that the Federal Reserve
eventually could boost target interest rates pushed down domestic
bond prices during the first and second quarters and forced
yields higher. During July and August, long U.S. interest rate
futures positions resulted in additional losses as domestic bond
prices moved temporarily lower after Federal Reserve Chairman
Alan Greenspan commented that central bankers must consider stock
prices when setting monetary policy and as economic reports added
to concern that the U.S. Federal Reserve will raise interest
rates. Additional losses of approximately 2.98% were experienced
in the currency markets primarily during the third quarter from
short positions in the Swiss franc and the euro as the value of
these currencies moved higher relative to the U.S. dollar. A
portion of the overall losses was offset by gains of
approximately 1.69% recorded in the metals markets primarily from
long gold and aluminum futures positions. An announcement by a
group of European central banks abruptly reversed gold prices
higher late in the third quarter resulting in gains for long gold
futures positions. Aluminum prices also increased during the
year on technical factors and a healthy economic outlook for most
industrialized nations economies in the year ahead. Trading in
the energy markets produced gains of approximately 1.15% as OPEC
cooperated with other major global oil producing countries to
rein in production, thus pushing prices higher. Crude oil and
its refined products all benefited from the improving global
demand for energy and the decreased supply of crude oil. Total
expenses for the period were $1,276,156, resulting in a net loss
of $1,929,953. The net asset value of a Unit decreased from
$10.00 at inception of trading on March 1, 1999 to $9.28 at
December 31, 1999.
The Partnership's overall performance record represents varied
results of trading in different futures, forwards, and options
markets. For a further description of 2000 trading results,
refer to the letter to the Limited Partners in the accompanying
Annual Report to Limited Partners for the year ended December 31,
2000, which is incorporated by reference to Exhibit 13.01 of this
Form 10-K. The Partnership's gains and losses are allocated
among its partners for income tax purposes.
Credit Risk.
Financial Instruments. The Partnership is a party to financial
instruments with elements of off-balance sheet market and credit
risk. The Partnership may trade futures, forwards, and options
in agricultural and energy products, currencies, metals, and
stock indices. In entering into these contracts, the Partnership
is subject to the market risk that such contracts may be
significantly influenced by market conditions, such as interest
rate volatility, resulting in such contracts being less valuable.
If the markets should move against all of the positions held by
the Partnership at the same time, and if the Trading Advisor was
unable to offset positions of the Partnership, the Partnership
could lose all of its assets and investors would realize a 100%
loss.
In addition to the Trading Advisor's internal controls, the
Trading Advisor must comply with the trading policies of the
Partnership. These trading policies include standards for
liquidity and leverage with which the Partnership must comply.
The Trading Advisor and Demeter monitor the Partnership's trading
activities to ensure compliance with the trading policies.
Demeter may require a Trading Advisor to modify positions of the
Partnership if Demeter believes they violate the Partnership's
trading policies.
In addition to market risk, in entering into futures, forwards,
and options contracts there is a credit risk to the Partnership
that the counterparty on a contract will not be able to meet its
obligations to the Partnership. The ultimate counterparty or
guarantor of the Partnership for futures contracts traded in the
United States and the foreign exchanges on which the Partnership
trades is the clearinghouse associated with such exchange. In
general, a clearinghouse is backed by the membership of the
exchange and will act in the event of non-performance by one of
its members or one of its member's customers, which should
significantly reduce this credit risk. For example, a
clearinghouse may cover a default by drawing upon a defaulting
member's mandatory contributions and/or non-defaulting members'
contributions to a clearinghouse guarantee fund, established
lines or letters of credit with banks, and/or the clearinghouse's
surplus capital and other available assets of the exchange and
clearinghouse, or assessing its members. In cases where the
Partnership trades off-exchange forward contracts with a
counterparty, the sole recourse of the Partnership will be the
forward contracts counterparty.
There is no assurance that a clearinghouse or exchange will meet
its obligations to the Partnership, and Demeter and the commodity
brokers will not indemnify the Partnership against a default by
such parties. Further, the law is unclear as to whether a
commodity broker has any obligation to protect its customers from
loss in the event of an exchange or clearinghouse defaulting on
trades effected for the broker's customers. Any such obligation
on the part of a broker appears even less clear where the default
occurs in a non-U.S. jurisdiction.
Demeter deals with these credit risks of the Partnership in
several ways. First, it monitors the Partnership's credit
exposure to each exchange on a daily basis, calculating not only
the amount of margin required for it but also the amount of its
unrealized gains at each exchange, if any. The commodity brokers
inform the Partnership, as with all their customers, of its net
margin requirements for all its existing open positions, but do
not break that net figure down, exchange by exchange. Demeter,
however, has installed a system which permits it to monitor the
Partnership's potential margin liability, exchange by exchange.
As a result, Demeter is able to monitor the Partnership's
potential net credit exposure to each exchange by adding the
unrealized trading gains on that exchange, if any, to the
Partnership's margin liability thereon.
Second, the Partnership's trading policies limit the amount of
its net assets that can be committed at any given time to futures
contracts and require, in addition, a minimum amount of
diversification in the Partnership's trading, usually over
several different products. One of the aims of such trading
policies has been to reduce the credit exposure of the
Partnership to a single exchange and, historically, the
Partnership's exposure to any one exchange has typically amounted
to only a small percentage of its total net assets. On those
relatively few occasions where the Partnership's credit exposure
may climb above such level, Demeter deals with the situation on a
case by case basis, carefully weighing whether the increased
level of credit exposure remains appropriate. Material changes
to the trading policies may be made only with the prior written
approval of the limited partners owning more than 50% of Units
then outstanding.
Third, with respect to forward contract trading, the Partnership
trades with only those counterparties which Demeter, together
with DWR, have determined to be creditworthy. The Partnership
presently deals with MS & Co. as the sole counterparty on forward
contracts.
See "Financial Instruments" under Notes to Financial Statements
in the Partnership's Annual Report to Limited Partners for the
year ended December 31, 2000, which is incorporated by reference
to Exhibit 13.01 of this Form 10-K.
Item 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK
Introduction
The Partnership is a commodity pool involved in the speculative
trading of futures, forwards, and options. 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, forwards, and options traded by the Partnership
involve varying degrees of related 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
Partnership's market risk exposures contain "forward-looking
statements" within
the meaning of the safe harbor from civil liability provided for
such statements by the Private Securities Litigation Reform Act
of 1995 (set forth in Section 27A of the Securities Act of 1933
and Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-
looking statements for purposes of the safe harbor, except for
statements of historical fact.
The Partnership accounts for open positions using mark-to-market
accounting principles. Any loss in the market value of the
Partnership's open positions is directly reflected in the
Partnership's earnings, whether realized or unrealized, and 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 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
Partnership'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 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 December 31, 2000 and 1999.
At December 31, 2000 and 1999, the Partnership's total
capitalization was approximately $30 million and $23 million,
respectively.
Primary Market December 31, 2000 December 31, 1999
Risk Category Value at Risk Value at Risk
Currency (1.76)% (0.92)%
Interest Rate (2.27) (0.80)
Equity (0.44) (0.75)
Commodity (0.84) (0.74)
Aggregate Value at Risk (3.03)% (1.71)%
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 December 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, forwards and
options, 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 December 31, 2000 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 January 1, 2000 through December 31, 2000.
Primary Market Risk Category High Low Average
Currency (1.77)% (0.92)% (1.52)%
Interest Rate (2.27) (0.61) (1.39)
Equity (0.88) (0.34) (0.59)
Commodity (1.42) (0.59) (1.01)
Aggregate Value at Risk (3.03)% (1.77)% (2.43)%
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
usually 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;
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 December 31, 2000 and 1999 and for the end of
the four quarterly reporting periods during the calendar year
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 December 31, 2000, the
Partnership's cash balance at DWR was approximately 84% 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 to be 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 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 December 31, 2000, by market sector. It may be
anticipated however, that these market exposures will vary
materially over time.
Currency. The primary market exposure of the Partnership at
December 31, 2000 was in the currency sector. 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 December
31, 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 major and minor currencies. Demeter
does not anticipate that the risk profile of the Partnership's
currency sector will change significantly in the future. The
currency trading VaR figure includes foreign margin amounts
converted into U.S. dollars with an incremental adjustment to
reflect the exchange rate risk inherent to the dollar-based
Partnership in expressing VaR in a functional currency other than
dollars.
Interest Rate. The second largest market exposure at December
31, 2000 was in the interest rate sector. The Partnership's
exposure to the interest rate market complex was primarily spread
across the U.S., German, and Japanese interest rate sectors.
Interest rate movements directly affect the price of the
sovereign bond futures positions held by the Partnership and
indirectly affect the value of its stock index and currency
positions. Interest rate movements in one country as well as
relative interest rate movements between countries materially
impact the Partnership's profitability. The Partnership's
primary interest rate exposure is generally to interest rate
fluctuations in the United States and the other G-7 countries.
The G-7 countries consist of France, U.S., Britain, Germany,
Japan, Italy and Canada. Demeter anticipates that G-7 interest
rates will remain the primary interest rate exposure of the
Partnership for the foreseeable future. The changes in interest
rates, that have the most effect on the Partnership are changes
in long-term, as opposed to short-term, rates. Most of the
speculative futures positions held by the Partnership are in
medium- to long-term instruments. Consequently, even a material
change in short-term rates would have little effect on the
Partnership, were the medium- to long-term rates to remain
steady.
Equity. The primary equity exposure is to equity price risk in
the G-7 countries. The stock index futures traded by the
Partnership are by law limited to futures on broadly based
indices. As of December 31, 2000, the Partnership's primary
exposures were to the TOPIX (Japan), DAX (Germany), and Nikkei
(Japan) stock indices. The Partnership is primarily exposed to
the risk of adverse price trends or static markets in the U.S.
and Japanese indices. Static markets would not cause major
market changes but would make it difficult for the Partnership to
avoid being "whipsawed" into numerous small losses.
Commodity.
Energy. On December 31, 2000, the Partnership's energy exposure
was shared primarily by futures contracts in the crude oil and
natural gas markets. Price movements in these markets result
from political developments in the Middle East, weather patterns,
and other economic fundamentals. It is possible that volatility
will remain high. Significant profits and losses, which have
been experienced in the past, are expected to continue to be
experienced in this market. Natural gas has exhibited volatility
in prices resulting from weather patterns and supply and demand
factors and may continue in this choppy pattern.
Metals. The Partnership's primary metals market exposure is to
fluctuations in the price of gold. Although the Trading Advisor
will from time to time trade base metals such as zinc and copper,
the principal market exposures of the Partnership have
consistently been to gold. Gold prices continued to be volatile
during the quarter. Demeter anticipates that precious metals
will remain the primary metals market exposure of the
Partnership.
Soft Commodities and Agriculturals. On December 31, 2000, the
Partnership had exposure to the markets that comprise these
sectors. Most of the exposure, however, was to the coffee and
corn markets. Supply and demand inequalities, severe weather
disruption, and market expectations affect price movements in
these markets.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the
Partnership as of December 31, 2000:
Foreign Currency Balances. The Partnership's primary
foreign currency balances at December 31, 2000 were in euros
and Japanese yen. The Partnership controls the non-trading
risk of these balances by regularly converting these
balances back into dollars upon liquidation of the
respective position.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The Partnership and the Trading Advisor, separately, attempt to
manage the risk of the Partnership's open positions in
essentially the same manner in all market categories traded.
Demeter attempts to manage market exposure by diversifying the
Partnership's assets among different market sectors and trading
approaches, and monitoring the performance of the Trading Advisor
daily. In addition, the Trading Advisor establishes
diversification guidelines, often set in terms of the maximum
margin to be committed to positions in any one market sector or
market-sensitive instrument.
Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash. Cash is the only Partnership
investment directed by Demeter, rather than the Trading Advisor.
Item 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
The Financial Statements are incorporated by reference to the
Partnership's Annual Report, which if filed as Exhibit 13.01
hereto.
Supplementary data specified by Item 302 of Regulation S-K:
Summary of Quarterly Results (Unaudited)
Net
Income/
(Loss) Per
Quarter Net Unit of Limited
Ended Revenue Income/(Loss)
Partnership Interest
2000
March 31 $ (702,882) $ (1,243,143) $(0.46)
June 30 (988,574) (1,542,703) (0.55)
September 30 362,262 (173,618) (0.06)
December 31 6,860,335 6,305,243 2.19
Total $ 5,531,141 $ 3,345,779 $ 1.12
1999
March 31 $ 11,129 $ (25,133) $(0.05)
June 30 998,179 663,290 0.65
September 30 69,864 (342,234) (0.28)
December 31 (1,732,969) (2,225,876) (1.04)
Total $ (653,797) $ (1,929,953) $(0.72)
Item 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACOUNTING AND FINANCIAL DISCLOSURE
None.
PART III
Item 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
There are no directors or executive officers of the Partnership.
The Partnership is managed by Demeter.
Directors and Officers of the General Partner
The directors and officers of Demeter are as follows:
Robert E. Murray, age 40, is Chairman of the Board, President and
a Director of Demeter. Mr. Murray is also Chairman of the Board,
President and a Director of Dean Witter Futures & Currency
Management Inc. ("DWFCM"). Mr. Murray is currently a Senior Vice
President of DWR's Managed Futures Department. Mr. Murray began
his career at DWR in 1984 and is currently the Director of the
Managed Futures Department. In this capacity, Mr. Murray is
responsible for overseeing all aspects of the firm's Managed
Futures Department. Mr. Murray previously served as Vice
Chairman and a Director of the Managed Funds Association, an
industry association for investment professionals in futures,
hedge funds and other alternative investments. Mr. Murray
graduated from Geneseo State University in May 1983 with a B.A.
degree in Finance.
Mitchell M. Merin, age 47, is a Director of Demeter. Mr. Merin
is also a Director of DWFCM. Mr. Merin was appointed the Chief
Operating Officer of Individual Asset Management for MSDW in
December 1998 and the President and Chief Executive Officer of
Morgan Stanley Dean Witter Advisors in February 1998. He has
been an Executive Vice President of DWR since 1990, during which
time he has been Director of DWR's Taxable Fixed Income and
Futures divisions, Managing Director in Corporate Finance and
Corporate Treasurer. Mr. Merin received his Bachelor's degree
from Trinity College in Connecticut and his M.B.A. degree in
Finance and Accounting from the Kellogg Graduate School of
Management of Northwestern University in 1977.
Joseph G. Siniscalchi, age 55, is a Director of Demeter. Mr.
Siniscalchi joined DWR in July 1984 as a First Vice President,
Director of General Accounting and served as a Senior Vice
President and Controller for DWR's Securities Division through
1997. He is currently Executive Vice President and Director of
the Operations Division of DWR. From February 1980 to July 1984,
Mr. Siniscalchi was Director of Internal Audit at Lehman Brothers
Kuhn Loeb, Inc.
Edward C. Oelsner, III, age 59, is a Director of Demeter. Mr.
Oelsner is currently an Executive Vice President and head of the
Product Development Group at Morgan Stanley Dean Witter Advisors.
Mr. Oelsner joined DWR in 1981 as a Managing Director in DWR's
Investment Banking Department specializing in coverage of
regulated industries and, subsequently, served as head of the DWR
Retail Products Group. Prior to joining DWR, Mr. Oelsner held
positions at The First Boston Corporation as a member of the
Research and Investment Banking Departments from 1967 to 1981.
Mr. Oelsner received his M.B.A. in Finance from the Columbia
University Graduate School of Business in 1966 and an A.B. in
Politics from Princeton University in 1964.
Richard A. Beech, age 49, is a Director of Demeter. Mr. Beech
has been associated with the futures industry for over 23 years.
He has been at DWR since August 1984 where he is presently Senior
Vice President and head of Branch Futures. Mr. Beech began his
career at the Chicago Mercantile Exchange, where he became the
Chief Agricultural Economist doing market analysis, marketing and
compliance. Prior to joining DWR, Mr. Beech also had worked at
two investment banking firms in operations, research, managed
futures and sales management.
Raymond A. Harris, age 44, is a Director of Demeter. Mr. Harris
is currently Executive Vice President, Planning and
Administration for Morgan Stanley Dean Witter Asset Management
and has worked at DWR or its affiliates since July 1982, serving
in both financial and administrative capacities. From August
1994 to January 1999, he worked in two separate DWR affiliates,
Discover Financial Services and Novus Financial Corp.,
culminating as Senior Vice President. Mr. Harris received his
B.A. degree from Boston College and his M.B.A. in finance from
the University of Chicago.
Anthony J. DeLuca, age 38, became a Director of Demeter on
September 14, 2000. Mr. DeLuca is also a Director of DWFCM. Mr.
DeLuca was appointed the Controller of Asset Management for MSDW
in June 1999. Prior to that, Mr. DeLuca was a partner at the
accounting firm of Ernst & Young LLP, where he had MSDW as a
major client. Mr. DeLuca had worked continuously at Ernst &
Young LLP ever since 1984, after he graduated from Pace
University with a B.B.A. degree in Accounting.
Raymond E. Koch, age 45, is Chief Financial Officer of Demeter.
Effective July 10, 2000, Mr. Koch replaced Mr. Raibley as Chief
Financial Officer of Demeter. Mr. Koch began his career at MSDW
in 1988, has overseen the Managed Futures Accounting function
since 1992, and is currently First Vice President, Director of
Managed Futures and Realty Accounting. From November 1979 to
June 1988, Mr. Koch held various positions at Thomson McKinnon
Securities, Inc. culminating as Manager, Special Projects in the
Capital Markets Division. From August 1977 to November 1979 he
was an auditor, specializing in financial services at Deloitte
Haskins and Sells. Mr. Koch received his B.B.A. in accounting
from Iona College in 1977, an M.B.A. in finance from Pace
University in 1984 and is a Certified Public Accountant.
Lewis A. Raibley, III, age 38, served as Vice President, Chief
Financial Officer, and a Director of Demeter and DWFCM until his
resignation from MSDW on July 1, 2000.
All of the foregoing directors have indefinite terms.
Item 11. EXECUTIVE COMPENSATION
The Partnership has no directors and executive officers. As a
limited partnership, the business of the Partnership is managed
by Demeter which is responsible for the administration of the
business affairs of the Partnership but receives no compensation
for such services.
Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND
MANAGEMENT
(a) Security Ownership of Certain Beneficial Owners - At December
31, 2000, there were no persons known to be beneficial owners of
more than 5 percent of the Units.
(b) Security Ownership of Management - At December 31, 2000,
Demeter owned 31,221.881 Units of General Partnership Interest
representing a 1.09 percent interest in the Partnership.
(c) Changes in Control - None
Item 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Refer to Note 2 - "Related Party Transactions" of "Notes to
Financial Statements", in the accompanying Annual Report to
Limited Partners for the year ended December 31, 2000, which is
incorporated by reference to Exhibit 13.01 of this Form 10-K. In
its capacity as the Partnership's retail commodity broker, DWR
received commodity brokerage fees (paid and accrued by the
Partnership) of $1,699,726 for the year ended December 31, 2000.
PART IV
Item 14.EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON
FORM 8-K
(a) 1. Listing of Financial Statements
The following financial statements and reports of independent
auditors, all appearing in the accompanying Annual Report to
Limited Partners for the year ended December 31, 2000 are
incorporated by reference to Exhibit 13.01 of this Form 10-K:
- - Report of Deloitte & Touche LLP, independent auditors, for
the year ended December 31, 2000 and the period from March 1,
1999 (commencement of operations) to December 31, 1999.
- - Statements of Financial Condition as of December 31, 2000 and
1999.
- - Statements of Operations, Changes in Partners' Capital, and
Cash Flows for the year ended December 31, 2000 and the period
from March 1, 1999 (commencement of operations) to December 31,
1999.
- Notes to Financial Statements.
With the exception of the aforementioned information and the
information incorporated in Items 7, 8, and 13, the Annual Report
to Limited Partners for the year ended December 31, 2000 is not
deemed to be filed with this report.
2. Listing of Financial Statement Schedules
No financial statement schedules are required to be filed with
this report.
(b) Reports on Form 8-K
No reports on Form 8-K have been filed by the Partnership during
the last quarter of the period covered by this report.
(c) Exhibits
Refer to Exhibit Index on Pages E-1 to E-3.
SIGNATURES
Pursuant to the requirements of Sections 13 or 15(d) 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.
MORGAN STANLEY DEAN WITTER
CHARTER MILLBURN L.P.
(Registrant)
BY: Demeter Management
Corporation,
General Partner
March 30, 2001 BY: /s/ Robert E. Murray .
Robert E. Murray, Director,
Chairman of the Board and
President
Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf
of the registrant and in the capacities and on the dates indicated.
Demeter Management Corporation.
BY: /s/ Robert E. Murray March 30, 2001
Robert E. Murray, Director,
Chairman of the Board and
President
/s/ Mitchell M. Merin March 30, 2001
Mitchell M. Merin, Director
/s/ Joseph G. Siniscalchi March 30, 2001
Joseph G. Siniscalchi, Director
/s/ Edward C. Oelsner III March 30, 2001
Edward C. Oelsner III, Director
/s/ Richard A. Beech March 30, 2001
Richard A. Beech, Director
/s/ Raymond A. Harris March 30, 2001
Raymond A. Harris, Director
/s/ Anthony J. DeLuca March 30, 2001
Anthony J. DeLuca, Director
/s/ Raymond E. Koch March 30,
2001
Raymond E. Koch, Chief
Financial Officer and Principal
Accounting Officer
EXHIBIT INDEX
ITEM
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.
3.02 Certificate of Limited Partnership, dated July 15, 1998,
is incorporated by reference to Exhibit 3.02 of the
Partnership's Registration Statement on Form S-1 (File No.
333-91569) filed with the Securities and Exchange
Commission on September 22, 2000.
10.01 Customer Agreement, dated as of November 6, 1998, between
the Partnership and Dean Witter Reynolds Inc. is
incorporated by reference to Exhibit 10.01 of the
Partnership's Registration Statement on Form S-1 (File No.
333-91569) filed with the Securities and Exchange
Commission on September 22, 2000.
10.02 Management Agreement, dated as of November 6, 1998, among
the Partnership, Demeter Management Corpor-ation, and
Millburn Ridgefield Corporation is incorporated by
reference to Exhibit 10.02 of the Partnership's
Registration Statement on Form S-1 (File No. 333-91569)
filed with the Securities and Exchange Commission on
September 22, 2000.
10.03 Customer Agreement, dated as of November 6, 1998, among
the Partnership, Carr Futures, Inc., and Dean Witter
Reynolds Inc. is incorporated by reference to Exhibit
10.01 (a) of the Partnership's Registration Statement on
Form S-1 (File No. 333-91569) filed with the Securities
and Exchange Commission on September 22, 2000.
10.04 International Foreign Exchange Master Agreement, dated
as of November 6, 1998, between the Partnership and Carr Futures,
Inc. is incorporated by reference to Exhibit 10.01 (b) of the
Partnership's Registration Statement on Form S-1 (File No. 333-
91569) filed with the Securities and Exchange Commission on
September 22, 2000.
10.05 Subscription and Exchange Agreement and Power of
Attorney to be executed by each purchase of Units is incorporated
by reference to Exhibit B 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.
10.06 Escrow Agreement, dated November 6, 1998, among the
Partnership, Demeter Management Corporation, Dean Witter Reynolds
Inc., and Chemical Bank is incorporated by reference to Exhibit
10.04 (a) of the Partnership's Registration Statement on form S-1
(File No. 333-91569) filed with the Securities and Exchange
Commission on September 22, 2000.
10.07 Form of Amended and Restated Escrow Agreement among the
Partnership, Morgan Stanley Dean Witter Charter Graham L.P.,
Morgan Stanley Dean Witter Charter Welton L.P., Morgan Stanley
Dean Witter Charter DWFCM L.P., Dean Witter Reynolds, Inc., and
the Chase Manhattan Bank is incorporated by reference to Exhibit
10.04(a) of the Partnership's Registration Statement on Form S-1
(File No. 333-91569) filed with the Securities and Exchange
Commission on September 22, 2000.
10.08 Form of Amended and Restated Customer Agreement among
the Partnership and Dean Witter Reynolds, Inc., is incorporated
by reference to Exhibit 10.05 of the Partnership's Registration
Statement on Form S-1 (File No. 333-91569) filed with the
Securities and Exchange Commission on September 22, 2000.
10.09 Form of Customer Agreement among the Partnership,
Morgan Stanley & Co., Inc., and Dean Witter Reynolds, Inc., is
incorporated by reference to Exhibit 10.06 of the Partnership's
Registration Statement on Form S-1 (File No. 333-91569) filed
with the Securities and Exchange Commission on September 22,
2000.
10.10 Form of Customer Agreement among the Partnership,
Morgan Stanley & Co. International Limited, and Morgan Stanley &
Co., Inc., is incorporated by reference to Exhibit 10.07 of the
Partnership's Registration Statement on Form S-1 (File No. 333-
91569) filed with the Securities and Exchange Commission on
September 22, 2000.
10.11 Form of Foreign Exchange and Options Master Agreement
among the Partnership and Morgan Stanley & Co., Inc. is
incorporated by reference to Exhibit 10.08 of the Partnership's
Registration Statement on Form S-1 (File No. 333-91569) filed
with the Securities and Exchange Commission on September 22,
2000.
10.12 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.
13.01 December 31, 2000 Annual Report to Limited Partners is
filed herewith.
Morgan Stanley
Dean Witter
Charter Series
December 31, 2000
Annual Report
MORGAN STANLEY DEAN WITTER
Morgan Stanley Dean Witter Charter Series
Historical Fund Performance
Presented below is the percentage change in Net Asset Value per Unit from the
start of every calendar year for each Fund in the Morgan Stanley Dean Witter
Charter Series. Also provided is the inception-to-date return and the
annualized return since inception for each Fund. PAST PERFORMANCE IS NOT NECES-
SARILY INDICATIVE OF FUTURE RESULTS.
- --------------------------------------------------------------------------------
CHARTER DWFCM
Year Return
- ---- ------
1994 (10 months) -7.3%
1995 21.9%
1996 4.0%
1997 26.2%
1998 5.1%
1999 -9.2%
2000 23.8%
Inception-to-Date Return: 75.0%
Annualized Return: 8.5%
- ---------------------------------
CHARTER GRAHAM
Year Return
- ---- ------
1999 (10 months) 2.9%
2000 22.0%
Inception-to-Date Return: 25.5%
Annualized Return: 13.1%
- ---------------------------------
CHARTER MILLBURN
Year Return
- ---- ------
1999 (10 months) -7.2%
2000 12.1%
Inception-to-Date Return: 4.0%
Annualized Return: 2.2%
- ---------------------------------
CHARTER WELTON
Year Return
- ---- ------
1999 (10 months) -10.7%
2000 -8.2%
Inception-to-Date Return: -18.0%
Annualized Return: -10.2%
Demeter Management Corporation
Two World Trade Center
62nd Floor
New York, NY 10048
Telephone (212) 392-8899
Morgan Stanley Dean Witter Charter Series
Annual Report
2000
Dear Limited Partner:
This marks the second annual report for Morgan Stanley Dean Witter Charter Gra-
ham, Charter Millburn and Charter Welton. It also marks the seventh annual re-
port for Morgan Stanley Dean Witter Charter DWFCM (formerly known as DWFCM In-
ternational Access Fund L.P.). The Net Asset Value per Unit for each of the
four Charter Series Funds on December 31, 2000 was as follows:
% change
Funds N.A.V. for year
----- ------ --------
Charter DWFCM $17.50 23.8%
Charter Graham $12.55 22.0%
Charter Millburn $10.40 12.1%
Charter Welton $ 8.20 -8.2%
Charter DWFCM
The Fund recorded profits primarily in the energy sector from long positions in
natural gas and crude oil futures as prices rose on a combination of cold
weather, declining inventories and increasing demand. Additional gains were al-
so recorded throughout the first three quarters of the year in the currency
markets from short positions in the euro, Swiss franc and Swedish krona as the
value of these European currencies weakened relative to the U.S. dollar amid
skepticism about Europe's economic outlook. Later in the year, as the direction
of the U.S. dollar reversed, additional gains were recorded from long positions
in the euro, Swiss franc and Swedish krona versus the U.S. dollar as a result
of new confidence in the European economy and an overall skepticism regarding
the U.S. economy. A portion of these profits was offset by losses incurred in
the Fund primarily in the metals markets during the last half of the year from
long positions in aluminum futures as prices declined after concerns mounted
that demand would weaken amid a cooling of the U.S. economy. Additional losses
were posted in the global stock index futures markets as the S&P 500 Index
moved in a very choppy pattern resulting in losses for both long and short po-
sitions.
Charter Graham
The Fund recorded gains primarily in the currency markets from short positions
in the euro and Swiss franc as their respective values weakened relative to the
U.S. dollar amid skepticism about Europe's economic outlook. In the global in-
terest rate futures markets, additional gains were recorded later in the year
from long positions in U.S. interest rate futures as prices climbed higher amid
a drop in stock prices and on fears of an economic slowdown in the U.S. Profits
were also posted in the energy markets from long positions in natural gas
futures as prices moved higher amid supply and storage concerns. A portion of
the Fund's gains was offset by losses incurred in the metals markets from long
positions in copper and aluminum futures as prices declined later in the year
after concerns mounted that demand would weaken amid a cooling of the U.S.
economy. Additional losses were recorded in the agricultural markets from long
positions in corn and soybean futures as prices declined throughout a majority
of the second quarter due to forecasts for heavy rain in the U.S. growing re-
gions.
Charter Millburn
The Fund produced gains primarily in the energy markets from long futures posi-
tions in crude oil and its related products as prices increased amid increasing
demand and rising concerns regarding supplies and production levels. Additional
gains were recorded later in the year in the global interest rate futures mar-
kets from long positions in U.S. interest rate futures as prices climbed higher
amid a drop in stock prices and on fears of an economic slowdown in the U.S. A
portion of these gains was offset by losses experienced primarily in the global
stock index futures markets from long futures positions in the Hang Seng Index
as most global equity prices reversed lower in early January amid fears of in-
terest rate hikes and during March and June due to trendless price movement
within most of the world's stock markets.
Charter Welton
The Fund experienced losses primarily in the global stock index futures markets
from long positions in U.S. stock index futures due to price volatility in the
U.S. equity markets and on fears of an interest rate hike. Additional losses
were recorded in the metals markets from short aluminum futures positions as
prices reversed sharply higher during mid-June on institutional
buying and fears that U.S. capacity could be hit further by power shortages.
Additional losses were incurred in the metals markets throughout the fourth
quarter from long positions in copper and aluminum futures as prices declined
after concerns mounted that demand would weaken amid a cooling of the U.S.
economy. These losses were mitigated by profits recorded in the energy markets
from long positions in natural gas and crude oil futures as prices rose on a
combination of severe winter weather in the Northeast, falling supply levels
and rising demand. Additional gains were generated in the global interest rate
futures markets from long positions in U.S. interest rate futures as prices
climbed higher amid a drop in stock prices and on fears of an economic slowdown
in the U.S.
Should you have any questions concerning this report, please feel free to con-
tact Demeter Management Corporation at Two World Trade Center, 62nd Floor, New
York, NY 10048, or your Morgan Stanley Dean Witter Financial Advisor.
I hereby affirm, that to the best of my knowledge and belief, the information
contained in this report is accurate and complete. Past performance is not a
guarantee of future results.
Sincerely,
/s/ Robert E. Murray
Robert E. Murray
Chairman
Demeter Management Corporation
General Partner
Morgan Stanley Dean Witter Charter Series
Independent Auditors' Report
The Limited Partners and the General Partner of
Morgan Stanley Dean Witter Charter DWFCM L.P. (formerly, DWFCM International
Access Fund L.P.) Morgan Stanley Dean Witter Charter Graham L.P. Morgan Stanley
Dean Witter Charter Millburn L.P.
Morgan Stanley Dean Witter Charter Welton L.P.:
We have audited the accompanying statements of financial condition of Morgan
Stanley Dean Witter Charter DWFCM L.P., Morgan Stanley Dean Witter Charter Gra-
ham L.P., Morgan Stanley Dean Witter Charter Millburn L.P. and Morgan Stanley
Dean Witter Charter Welton L.P. (collectively, the "Partnerships") as of Decem-
ber 31, 2000 and 1999 and the related statements of operations, changes in
partners' capital, and cash flows for each of the three years in the period
ended December 31, 2000 for Morgan Stanley Dean Witter Charter DWFCM L.P., and
for the year ended December 31, 2000 and period from March 1, 1999 (commence-
ment of operations) to December 31, 1999 for Morgan Stanley Dean Witter Charter
Graham L.P., Morgan Stanley Dean Witter Charter Millburn L.P., and Morgan Stan-
ley Dean Witter Charter Welton L.P. These financial statements are the respon-
sibility of the Partnerships' management. Our responsibility is to express an
opinion on these financial statements based on our audits.
We conducted our audits in accordance with auditing standards generally accept-
ed in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall fi-
nancial statement presentation. We believe that our audits provide a reasonable
basis for our opinion.
In our opinion, such financial statements present fairly, in all material re-
spects, the financial position of Morgan Stanley Dean Witter Charter DWFCM
L.P., Morgan Stanley Dean Witter Charter Graham L.P., Morgan Stanley Dean Wit-
ter Charter Millburn L.P. and Morgan Stanley Dean Witter Charter Welton L.P. at
Decem-
Morgan Stanley Dean Witter Charter Series
Independent Auditors' Report
ber 31, 2000 and 1999 and the results of operations and cash flows for each of
the three years in the period ended December 31, 2000 for Morgan Stanley Dean
Witter Charter DWFCM L.P., and for the year ended December 31, 2000 and period
from March 1, 1999 (commencement of operations) to December 31, 1999 for Morgan
Stanley Dean Witter Charter Graham L.P., Morgan Stanley Dean Witter Charter
Millburn L.P., and Morgan Stanley Dean Witter Charter Welton L.P. in conformity
with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
February 16, 2001
Morgan Stanley Dean Witter Charter DWFCM L.P.
(formerly, DWFCM International Access Fund L.P.)
Statements of Financial Condition
December 31,
----------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 34,507,098 36,135,527
Net unrealized gain on open contracts (MS&Co.) 4,714,032 --
Net unrealized loss on open contracts (MSIL) (842,031) --
Net unrealized gain on open contracts (Carr) -- 608,697
---------- ----------
Total net unrealized gain on open contracts 3,872,001 608,697
---------- ----------
Total Trading Equity 38,379,099 36,744,224
Subscriptions receivable 193,359 --
Interest receivable (DWR) 182,914 130,006
---------- ----------
Total Assets 38,755,372 36,874,230
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 930,780 526,756
Accrued incentive fees 205,168 --
Accrued brokerage fees (DWR) 184,421 --
Accrued management fees (DWFCM) 52,692 92,010
Accrued administrative expenses -- 70,250
---------- ----------
Total Liabilities 1,373,061 689,016
---------- ----------
PARTNERS' CAPITAL
Limited Partners (2,102,258.734 and 2,525,575.500
Units, respectively) 36,795,254 35,710,955
General Partner (33,540.900 Units) 587,057 474,259
---------- ----------
Total Partners' Capital 37,382,311 36,185,214
---------- ----------
Total Liabilities and Partners' Capital 38,755,372 36,874,230
========== ==========
NET ASSET VALUE PER UNIT (Note 1) 17.50 14.14
========== ==========
Statements of Operations
For the Years Ended
December 31,
----------------------------------
2000 1999 1998
---------- ----------- ----------
$ $ $
REVENUES
Trading profit (loss):
Realized 5,655,002 (3,118,414) 10,745,170
Net change in unrealized 3,263,304 1,054,886 (6,135,777)
---------- ----------- ----------
Total Trading Results 8,918,306 (2,063,528) 4,609,393
Interest income (DWR) 1,611,060 1,492,539 1,722,659
---------- ----------- ----------
Total Revenues 10,529,366 (570,989) 6,332,052
---------- ----------- ----------
EXPENSES
Brokerage fees (DWR) 1,821,573 2,089,386 2,293,998
Management fees (DWFCM) 982,932 1,194,754 1,365,216
Incentive fees (DWFCM) 205,168 -- 284,832
Transaction fees and costs 83,748 134,354 154,590
Administrative expenses 66,000 72,000 74,000
---------- ----------- ----------
Total Expenses 3,159,421 3,490,494 4,172,636
---------- ----------- ----------
NET INCOME (LOSS) 7,369,945 (4,061,483) 2,159,416
========== =========== ==========
Net Income (Loss) Allocation:
Limited Partners 7,257,147 (4,013,384) 2,098,465
General Partner 112,798 (48,099) 60,951
Net Income (Loss) per Unit (Note 1):
Limited Partners 3.36 (1.43) .75
General Partner 3.36 (1.43) .75
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Graham L.P.
Statements of Financial Condition
December 31,
----------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 26,570,361 19,067,800
Net unrealized gain on open contracts (MS&Co.) 3,586,880 --
Net unrealized loss on open contracts (MSIL) (160,517) --
Net unrealized gain (loss) on open contracts (Carr) (10,863) 1,070,531
---------- ----------
Total net unrealized gain on open contracts 3,415,500 1,070,531
---------- ----------
Total Trading Equity 29,985,861 20,138,331
Subscriptions receivable 252,518 811,200
Interest receivable (DWR) 142,031 78,774
---------- ----------
Total Assets 30,380,410 21,028,305
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Accrued incentive fees payable 860,827 --
Redemptions payable 556,261 228,143
Accrued brokerage fees (DWR) 149,461 108,150
Accrued management fees 42,703 30,900
---------- ----------
Total Liabilities 1,609,252 367,193
---------- ----------
PARTNERS' CAPITAL
Limited Partners (2,265,759.190 and 1,984,358.367
Units, respectively) 28,446,182 20,424,608
General Partner (25,884.600 and 22,977.618 Units,
respectively) 324,976 236,504
---------- ----------
Total Partners' Capital 28,771,158 20,661,112
---------- ----------
Total Liabilities andPartners' Capital 30,380,410 21,028,305
========== ==========
NET ASSET VALUE PER UNIT 12.55 10.29
========== ==========
Statements of Operations
For the Period from
For the Year March 1, 1999
Ended (commencement of
December 31, operations) to
2000 December 31, 1999
------------ -------------------
$ $
REVENUES
Trading profit:
Realized 4,638,274 839,458
Net change in unrealized 2,344,969 1,070,531
--------- ---------
Total Trading Results 6,983,243 1,909,989
Interest income (DWR) 1,242,395 444,815
--------- ---------
Total Revenues 8,225,638 2,354,804
--------- ---------
EXPENSES
Brokerage fees (DWR) 1,517,906 723,042
Incentive fees 950,165 --
Management fees 433,688 206,583
--------- ---------
Total Expenses 2,901,759 929,625
--------- ---------
NET INCOME 5,323,879 1,425,179
========= =========
Net Income Allocation:
Limited Partners 5,265,407 1,408,675
General Partner 58,472 16,504
Net Income per Unit:
Limited Partners 2.26 .29
General Partner 2.26 .29
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Millburn L.P.
Statements of Financial Condition
December 31,
-----------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading accounts:
Cash 25,080,303 21,677,769
Net unrealized gain on open contracts (MS&Co.) 5,085,160 --
Net unrealized loss on open contracts (MSIL) (114,319) --
Net unrealized gain on open contracts (Carr) -- 920,823
---------- ----------
Total net unrealized gain on open contracts 4,970,841 920,823
---------- ----------
Total Trading Equity 30,051,144 22,598,592
Subscriptions receivable 402,325 1,013,235
Interest receivable (DWR) 141,550 96,202
---------- ----------
Total Assets 30,595,019 23,708,029
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 619,297 237,975
Accrued brokerage fees (DWR) 150,207 129,371
Accrued management fees 42,916 36,963
---------- ----------
Total Liabilities 812,420 404,309
---------- ----------
PARTNERS' CAPITAL
Limited Partners (2,833,265.854 and 2,481,763.344
Units, respectively) 29,457,979 23,039,629
General Partner (31,221.881 and 28,447.087 Units,
respectively) 324,620 264,091
---------- ----------
Total Partners' Capital 29,782,599 23,303,720
---------- ----------
Total Liabilities andPartners' Capital 30,595,019 23,708,029
========== ==========
NET ASSET VALUE PER UNIT 10.40 9.28
========== ==========
Statements of Operations
For the Period from
For the Year March 1, 1999
Ended (commencement of
December 31, operations) to
2000 December 31, 1999
------------ -------------------
$ $
REVENUES
Trading profit (loss):
Realized 76,367 (2,134,562)
Net change in unrealized 4,050,018 920,823
--------- ----------
Total Trading Results 4,126,385 (1,213,739)
Interest income (DWR) 1,404,756 559,942
--------- ----------
Total Revenues 5,531,141 (653,797)
--------- ----------
EXPENSES
Brokerage fees (DWR) 1,699,726 912,182
Management fees 485,636 260,624
Incentive fees -- 103,350
--------- ----------
Total Expenses 2,185,362 1,276,156
--------- ----------
NET INCOME (LOSS) 3,345,779 (1,929,953)
========= ==========
Net Income (Loss) Allocation:
Limited Partners 3,310,250 (1,909,044)
General Partner 35,529 (20,909)
Net Income (Loss) per Unit:
Limited Partners 1.12 (.72)
General Partner 1.12 (.72)
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Welton L.P.
Statements of Financial Condition
December 31,
----------------------
2000 1999
---------- ----------
$ $
ASSETS
Equity in futures interests trading
accounts:
Cash 19,614,103 20,297,239
Net unrealized gain on open contracts
(MS&Co.) 3,456,472 --
Net unrealized loss on open contracts
(MSIL) (155,033) --
Net unrealized gain on open contracts
(Carr) -- 1,722,849
---------- ----------
Total net unrealized gain on open
contracts 3,301,439 1,722,849
Net option premiums (55,994) 403,312
---------- ----------
Total Trading Equity 22,859,548 22,423,400
Subscriptions receivable 265,050 948,424
Interest receivable (DWR) 110,806 83,547
---------- ----------
Total Assets 23,235,404 23,455,371
========== ==========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES
Redemptions payable 771,830 222,634
Accrued brokerage fees (DWR) 119,881 120,848
Accrued management fees 34,252 34,528
---------- ----------
Total Liabilities 925,963 378,010
---------- ----------
PARTNERS' CAPITAL
Limited Partners (2,688,816.221 and
2,554,572.061 Units, respectively) 22,043,879 22,813,660
General Partner (32,392.072 and
29,528.110 Units, respectively) 265,562 263,701
---------- ----------
Total Partners' Capital 22,309,441 23,077,361
---------- ----------
Total Liabilities andPartners' Capital 23,235,404 23,455,371
========== ==========
NET ASSET VALUE PER UNIT 8.20 8.93
========== ==========
Statements of Operations
For the Period from
For the Year March 1, 1999
Ended (commencement of
December 31, operations) to
2000 December 31, 1999
------------ -------------------
$ $
REVENUES
Trading profit (loss):
Realized (2,859,783) (1,636,293)
Net change in unrealized 1,578,590 1,722,849
---------- ----------
Total Trading Results (1,281,193) 86,556
Interest income (DWR) 1,274,899 521,699
---------- ----------
Total Revenues (6,294) 608,255
---------- ----------
EXPENSES
Brokerage fees (DWR) 1,547,098 852,522
Management fees 442,028 243,578
---------- ----------
Total Expenses 1,989,126 1,096,100
---------- ----------
NET LOSS (1,995,420) (487,845)
========== ==========
Net Loss Allocation:
Limited Partners (1,972,281) (481,546)
General Partner (23,139) (6,299)
Net Loss per Unit:
Limited Partners (0.73) (1.07)
General Partner (0.73) (1.07)
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Partners' Capital
For the Years Ended December 31, 2000, 1999 and 1998
Units of
Partnership Limited General
Interest Partners Partner Total
------------- ---------- --------- ----------
(Note 1) $ $ $
Morgan Stanley Dean Witter Charter DWFCM L.P. (formerly, DWFCM
International Access Fund L.P.)
Partners' Capital,
December 31, 1997 3,238,553.900 46,949,644 1,052,985 48,002,629
Net income -- 2,098,465 60,951 2,159,416
Redemptions (318,764.000) (4,098,299) (591,578) (4,689,877)
------------- ---------- --------- ----------
Partners' Capital,
December 31, 1998 2,919,789.900 44,949,810 522,358 45,472,168
Net loss -- (4,013,384) (48,099) (4,061,483)
Redemptions (360,673.500) (5,225,471) -- (5,225,471)
------------- ---------- --------- ----------
Partners' Capital,
December 31, 1999 2,559,116.400 35,710,955 474,259 36,185,214
Offering of Units 21,412.187 343,831 -- 343,831
Net income -- 7,257,147 112,798 7,369,945
Redemptions (444,728.953) (6,516,679) -- (6,516,679)
------------- ---------- --------- ----------
Partners' Capital,
December 31, 2000 2,135,799.634 36,795,254 587,057 37,382,311
============= ========== ========= ==========
Statements of Changes in Partners' Capital
For the Year Ended December 31, 2000 and for the Period from March 1, 1999
(commencement of operations) to December 31, 1999
Units of
Partnership Limited General
Interest Partners Partner Total
-------------------------------------- -----------
Morgan Stanley Dean Witter Charter Graham L.P.
Partners' Capital,
Initial Offering 436,313.664 4,303,136 60,000 4,363,136
Offering of Units 1,612,075.766 15,122,352 160,000 15,282,352
Net income -- 1,408,675 16,504 1,425,179
Redemptions (41,053.445) (409,555) -- (409,555)
-------------- ------------ -------- -----------
Partners' Capital,
December 31, 1999 2,007,335.985 20,424,608 236,504 20,661,112
Offering of Units 768,712.178 7,657,343 30,000 7,687,343
Net income -- 5,265,407 58,472 5,323,879
Redemptions (484,404.373) (4,901,176) -- (4,901,176)
-------------- ------------ -------- -----------
Partners' Capital,
December 31, 2000 2,291,643.790 28,446,182 324,976 28,771,158
============== ============ ======== ===========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Series
Statements of Changes in Partners' Capital
For the Year Ended December 31, 2000 and for the Period from
March 1, 1999 (commencement of operations) to December 31,
1999
Units of
Partnership Limited General
Interest Partners Partner Total
-------------------------------------- ----------
$ $ $
Morgan Stanley Dean Witter Charter Millburn L.P.
Partners' Capital,
Initial Offering 483,488.295 4,774,883 60,000 4,834,883
Offering of Units 2,079,748.071 20,678,854 225,000 20,903,854
Net loss -- (1,909,044) (20,909) (1,929,953)
Redemptions (53,025.935) (505,064) -- (505,064)
--------------- ------------ ------- ----------
Partners' Capital,
December 31, 1999 2,510,210.431 23,039,629 264,091 23,303,720
Offering of Units 993,751.374 8,793,482 25,000 8,818,482
Net income -- 3,310,250 35,529 3,345,779
Redemptions (639,474.070) (5,685,382) -- (5,685,382)
--------------- ------------ ------- ----------
Partners' Capital,
December 31, 2000 2,864,487.735 29,457,979 324,620 29,782,599
=============== ============ ======= ==========
Morgan Stanley Dean Witter Charter Welton L.P.
Partners' Capital,
Initial Offering 580,145.052 5,731,450 70,000 5,801,450
Offering of Units 2,067,456.248 18,109,078 200,000 18,309,078
Net loss -- (481,546) (6,299) (487,845)
Redemptions (63,501.129) (545,322) -- (545,322)
--------------- ------------ ------- ----------
Partners' Capital,
December 31, 1999 2,584,100.171 22,813,660 263,701 23,077,361
Offering of Units 866,731.444 7,100,282 25,000 7,125,282
Net loss -- (1,972,281) (23,139) (1,995,420)
Redemptions (729,623.322) (5,897,782) -- (5,897,782)
--------------- ------------ ------- ----------
Partners' Capital,
December 31, 2000 2,721,208.293 22,043,879 265,562 22,309,441
=============== ============ ======= ==========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter DWFCM L.P.
(formerly, DWFCM International Access Fund L.P.)
Statements of Cash Flows
For the Years Ended
December 31,
-----------------------------------
2000 1999 1998
---------- ----------- ----------
$ $ $
CASH FLOWS FROM
OPERATING ACTIVITIES
Net income (loss) 7,369,945 (4,061,483) 2,159,416
Noncash item included in net income
(loss):
Net change in unrealized (3,263,304) (1,054,886) 6,135,777
(Increase) decrease in operating assets:
Interest receivable (DWR) (52,908) 8,818 16,471
Increase (decrease) in operating
liabilities:
Incentive fees payable (DWFCM) 205,168 -- (437,418)
Accrued brokerage fees (DWR) 184,421 -- --
Accrued management fees (39,318) (22,557) (7,697)
Accrued administrative expenses (70,250) (7,619) (7,476)
---------- ----------- ----------
Net cash provided by (used for)
operating activities 4,333,754 (5,137,727) 7,859,073
---------- ----------- ----------
CASH FLOWS FROM
FINANCING ACTIVITIES
Increase (decrease) in redemptions
payable 404,024 286,839 (103,533)
Offering of Units 343,831 -- --
Redemptions of Units (6,516,679) (5,225,471) (4,689,877)
Increase in subscriptions receivable (193,359) -- --
---------- ----------- ----------
Net cash used for financing activities (5,962,183) (4,938,632) (4,793,410)
---------- ----------- ----------
Net increase (decrease) in cash (1,628,429) (10,076,359) 3,065,663
Balance at beginning of period 36,135,527 46,211,886 43,146,223
---------- ----------- ----------
Balance at end of period 34,507,098 36,135,527 46,211,886
========== =========== ==========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Graham L.P.
Statements of Cash Flows
For the
Period from March
1, 1999
For the Year (commencement
Ended of operations) to
December 31, December 31,
2000 1999
------------ -----------------
$ $
CASH FLOWS FROM
OPERATING ACTIVITIES
Net income 5,323,879 1,425,179
Noncash item included in net income:
Net change in unrealized (2,344,969) (1,070,531)
Increase in operating assets:
Interest receivable (DWR) (63,257) (78,774)
Increase in operating liabilities:
Incentive fees payable 860,827 --
Accrued brokerage fees (DWR) 41,311 108,150
Accrued management fees 11,803 30,900
---------- ----------
Net cash provided by operating activities 3,829,594 414,924
---------- ----------
CASH FLOWS FROM FINANCING ACTIVITIES
Initial Offering -- 4,363,136
Offering of Units 7,687,343 15,282,352
(Increase) decrease in subscriptions receivable 558,682 (811,200)
Increase in redemptions payable 328,118 228,143
Redemptions of Units (4,901,176) (409,555)
---------- ----------
Net cash provided by financing activities 3,672,967 18,652,876
---------- ----------
Net increase in cash 7,502,561 19,067,800
Balance at beginning of period 19,067,800 --
---------- ----------
Balance at end of period 26,570,361 19,067,800
========== ==========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Millburn L.P.
Statements of Cash Flows
For the
Period from
March 1, 1999
For the Year (commencement
Ended of operations) to
December 31, December 31,
2000 1999
------------ -----------------
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss) 3,345,779 (1,929,953)
Noncash item included in net income (loss):
Net change in unrealized (4,050,018) (920,823)
Increase in operating assets:
Interest receivable (DWR) (45,348) (96,202)
Increase in operating liabilities:
Accrued brokerage fees (DWR) 20,836 129,371
Accrued management fees 5,953 36,963
---------- ----------
Net cash used for operating activities (722,798) (2,780,644)
---------- ----------
CASH FLOWS FROM FINANCING ACTIVITIES
Initial offering -- 4,834,883
Offering of Units 8,818,482 20,903,854
(Increase) decrease in subscriptions receivable 610,910 (1,013,235)
Increase in redemptions payable 381,322 237,975
Redemptions of Units (5,685,382) (505,064)
---------- ----------
Net cash provided by financing activities 4,125,332 24,458,413
---------- ----------
Net increase in cash 3,402,534 21,677,769
Balance at beginning of period 21,677,769 --
---------- ----------
Balance at end of period 25,080,303 21,677,769
========== ==========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Welton L.P.
Statements of Cash Flows
For the
Period from
March 1, 1999
For the Year (commencement
Ended of operations) to
December 31, December 31,
2000 1999
------------ -----------------
$ $
CASH FLOWS FROM OPERATING
ACTIVITIES
Net loss (1,995,420) (487,845)
Noncash item included in net loss:
Net change in unrealized (1,578,590) (1,722,849)
(Increase) decrease in operating assets:
Net option premiums 459,306 (403,312)
Interest receivable (DWR) (27,259) (83,547)
Increase (decrease) in operating liabilities:
Accrued brokerage fees (DWR) (967) 120,848
Accrued management fees (276) 34,528
---------- ----------
Net cash used for operating activities (3,143,206) (2,542,177)
---------- ----------
CASH FLOWS FROM FINANCING
ACTIVITIES
Initial offering -- 5,801,450
Offering of Units 7,125,282 18,309,078
(Increase) decrease in subscriptions receivable 683,374 (948,424)
Increase in redemptions payable 549,196 222,634
Redemptions of Units (5,897,782) (545,322)
---------- ----------
Net cash provided by financing activities 2,460,070 22,839,416
---------- ----------
Net increase (decrease) in cash (683,136) 20,297,239
Balance at beginning of period 20,297,239 --
---------- ----------
Balance at end of period 19,614,103 20,297,239
========== ==========
The accompanying notes are an integral part of these financial statements.
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements
1. Summary of Significant Accounting Policies
Organization--Morgan Stanley Dean Witter Charter DWFCM L.P. ("Charter DWFCM")
(formerly, DWFCM International Access Fund L.P.), Morgan Stanley Dean Witter
Charter Graham L.P. ("Charter Graham"), Morgan Stanley Dean Witter Charter
Millburn L.P. ("Charter Millburn"), and Morgan Stanley Dean Witter Charter
Welton L.P. ("Charter Welton"), (individually, a "Partnership", or collective-
ly, the "Partnerships") are limited partnerships organized to engage primarily
in the speculative trading of futures and forward contracts, options on futures
contracts and on physical commodities and other commodity interests, including
foreign currencies, financial instruments, metals, energy and agricultural
products (collectively, "futures interests").
The general partner for each 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. Inter-
national Limited ("MSIL") provide clearing and execution services. The trading
advisor for Charter DWFCM is Dean Witter Futures & Currency Management Inc.
("DWFCM"). Prior to November 2000, Carr Futures Inc. ("Carr") provided clearing
and execution services to the Partnerships. Demeter, DWR, MS&Co., MSIL and
DWFCM are wholly-owned subsidiaries of Morgan Stanley Dean Witter & Co.
Charter DWFCM became one of the Charter Series of funds effective December 1,
2000. Each outstanding unit of limited partnership interest ("Unit(s)") in
DWFCM International Access Fund L.P. was converted to 100 Units of Charter
DWFCM. The number of Units outstanding, net income or loss per Unit and Net As-
set Value per Unit have been adjusted for all reporting periods prior to this
conversion.
Demeter is required to maintain a 1% minimum interest in the equity of each
Partnership and income (losses) are shared by Demeter and the Limited Partners
based on their proportional ownership interests.
Use of Estimates--The financial statements are prepared in accordance with ac-
counting principles generally accepted in the United States of America, which
require management to make estimates and assumptions that affect the reported
amounts in the financial statements and related disclosures. Management be-
lieves that the estimates utilized in the preparation of the financial state-
ments are prudent and reasonable. Actual results could differ from those esti-
mates.
Revenue Recognition--Futures interests are open commitments until settlement
date. They are valued at market on a daily basis and the resulting net change
in unrealized gains and losses is reflected in the change in unrealized profit
(loss)
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Continued)
on open contracts from one period to the next in the statement of operations.
Monthly, DWR credits each Partnership with interest income on 100% of its aver-
age daily funds held at DWR. In addition, DWR will credit each Partnership with
100% of the interest income DWR receives from MS&Co. and MSIL with respect to
such Partnership's assets deposited as margin. The interest rates used are
equal to that earned by DWR on its U.S. Treasury bill investments. Prior to De-
cember 1, 2000 Charter DWFCM was credited with interest income based on 80% of
the average daily Net Assets for the month at a rate equal to the average yield
on 13-week U.S. Treasury bills. For purposes of such interest payments Net As-
sets do not include monies due the Partnerships on forward contracts and other
futures interests, but not actually received.
Net Income (Loss) per Unit--Net income (loss) per unit of limited partnership
interest ("Unit(s)") is computed using the weighted average number of Units
outstanding during the period.
Equity in Futures Interests Trading Accounts--The Partnerships' asset "Equity
in futures interests trading accounts," reflected in the statements of finan-
cial condition, consists of (A) cash on deposit with DWR, MS&Co. and MSIL to be
used as margin for trading; (B) net unrealized gains or losses on open con-
tracts, which are valued at market, and calculated as the difference between
original contract value and market value, and (C) net option premiums, which
represent the net of all monies paid and/or received for such option premiums.
The Partnerships, in their normal course of business, enter into various con-
tracts with MS&Co. acting as their commodity broker. Pursuant to brokerage
agreements with MS&Co., to the extent that such trading results in unrealized
gains or losses, these amounts are offset and reported on a net basis in the
Partnerships' statements of financial condition.
The Partnerships have offset the fair value amounts recognized for forward con-
tracts executed with the same counterparty as allowable under terms of the
master netting agreements with MS&Co., the sole counterparty on such contracts.
The Partnerships have consistently applied their right to offset.
Brokerage and Related Transaction Fees and Costs--Each Partnership pays a flat-
rate monthly brokerage fee of 1/12 of 7% of the Partnership's Net Assets as of
the first day of each month (a 7% annual rate). Such fees currently cover all
brokerage commissions, transaction fees and costs and ordinary administrative
and offering expenses.
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Continued)
Prior to December 1, 2000, Charter DWFCM accrued brokerage commissions on a
half-turn basis at 80% of DWR's published non-member rates and transaction fees
and costs were accrued on a half-turn basis. Brokerage commissions and transac-
tion fees chargeable to the Partnership were capped at 13/20 of 1% per month (a
maximum 7.8% annual rate) of the Partnership's adjusted month-end Net Assets.
Operating Expenses--Each of the Partnerships incur monthly management fees and
may incur incentive fees. Demeter bears all other operating expenses.
Prior to December 1, 2000, Charter DWFCM paid all operating expenses related to
its trading activities, to a maximum 1/4 of 1% annually of its average month-
end Net Assets. Charter DWFCM's operating expenses included filing fees, legal,
auditing, accounting, mailing, printing and other incidental expenses as per-
mitted by its Limited Partnership Agreement.
Income Taxes--No provision for income taxes has been made in the accompanying
financial statements, as partners are individually responsible for reporting
income or loss based upon their respective share of each Partnership's revenues
and expenses for income tax purposes.
Distributions--Distributions, other than redemptions of Units, are made on a
pro-rata basis at the sole discretion of Demeter. No distributions have been
made to date.
Continuing Offering--Units of each Partnership are offered at a price equal to
100% of the Net Asset Value per Unit at monthly closings held as of the last
day of each month.
Redemptions--Limited Partners may redeem some or all of their Units as of the
last day of the sixth month following the closing at which a person first be-
comes a Limited Partner. Redemptions may only be made in whole Units, with a
minimum of 100 Units required for each redemption, unless a Limited Partner is
redeeming his entire interest in the Partnerships.
Units redeemed on or prior to the last day of the twelfth month from the date
of purchase will be subject to a redemption charge equal to 2% of the Net Asset
Value of a Unit on the Redemption Date. Units redeemed after the last day of
the twelfth month and on or prior to the last day of the twenty-fourth month
from the date of purchase will be subject to a redemption charge equal to 1% of
the Net Asset Value of a Unit on the Redemption Date. Units redeemed after the
last day of the twenty-fourth month from the date of purchase will not be
subject to a redemption charge.
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Continued)
Exchanges--On the last day of the first month which occurs more than 180 days
after a person first becomes a Limited Partner in any of the Partnerships, and
at the end of each month thereafter, Limited Partners may transfer their
investment among the Partnerships (subject to certain restrictions outlined in
the Limited Partnership Agreements) without paying additional charges.
Dissolution of the Partnerships--Charter DWFCM will terminate on December 31,
2025 and Charter Graham, Charter Millburn and Charter Welton will terminate on
December 31, 2035 or at an earlier date if certain conditions occur as defined
in each Partnership's Limited Partnership Agreement.
2. Related Party Transactions
Each Partnership pays brokerage fees to DWR as described in Note 1. Each Part-
nership'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 as described in Note 1.
Demeter, on behalf of Charter DWFCM and itself, entered into a management
agreement with DWFCM to make all trading decisions for the Partnership. Charter
DWFCM pays management and incentive fees (if any) to DWFCM.
3. Trading Advisors
Demeter, on behalf of Charter DWFCM, Charter Graham, Charter Millburn and Char-
ter Welton, retains certain commodity trading advisors to make all trading de-
cisions for the Partnerships. The trading advisors for each Partnership as of
December 31, 2000 were as follows:
Morgan Stanley Dean Witter Charter DWFCM L.P.
Dean Witter Futures & Currency Management Inc.
Morgan Stanley Dean Witter Charter Graham L.P.
Graham Capital Management L.P.
Morgan Stanley Dean Witter Charter Millburn L.P.
Millburn Ridgefield Corporation
Morgan Stanley Dean Witter Charter Welton L.P.
Welton Investment Corporation
Compensation to the trading advisors by the Partnerships consists of a manage-
ment fee and an incentive fee as follows:
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Continued)
Management Fee--Each Partnership pays a flat-rate monthly fee of 1/12 of 2% of
the Net Assets under management by each trading advisor as of the first day of
each month (a 2% annual rate).
Prior to December 1, 2000, Charter DWFCM paid a monthly management fee equal to
1/4 of 1% (a 3% annual rate) of the Partnership's adjusted Net Assets, as de-
fined in the management agreement, as of the last day of each month.
Incentive Fee--Each Partnership's incentive fee is equal to 20% of trading
profits, which is paid on a quarterly basis for Charter DWFCM, and paid on a
monthly basis for Charter Graham, Charter Millburn, and Charter Welton.
Prior to December 1, 2000, Charter DWFCM paid a quarterly incentive fee equal
to 15% of the trading profits earned by the Partnership as of the end of each
calendar quarter.
Trading profits represent the amount by which profits from futures, forward and
options trading exceed losses after brokerage and management fees are deducted.
When a trading advisor experiences losses with respect to Net Assets as of the
end of a calendar month, the trading advisor must earn back such losses before
that trading advisor is eligible for an incentive fee in the future.
4. Financial Instruments
The Partnerships trade futures and forward contracts, options on futures con-
tracts and on physical commodities and other commodity 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 un-
der the terms of the contracts. There are numerous factors which may signifi-
cantly influence the market value of these contracts, including interest rate
volatility.
In June 1998, the Financial Accounting Standards Board ("FASB") issued State-
ment of Financial Accounting Standard ("SFAS") No. 133, "Accounting for Deriva-
tive Instruments and Hedging Activities" effective for fiscal years beginning
after June 15, 2000, as amended by SFAS No. 137. Charter DWFCM adopted the pro-
visions of SFAS No. 133 beginning with the fiscal year ended December 31, 1998
and Charter Graham, Charter Millburn and Charter Welton adopted SFAS No. 133
beginning with their first fiscal year ended December 31, 1999. SFAS No. 133
superceded SFAS Nos. 119 and 105, which required the disclosure of average ag-
gregate 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 sur-
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Continued)
rounding 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 and SFAS No. 138, did not have a significant effect on the Partner-
ships' 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.
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 "Eq-
uity in futures interests trading accounts" on the statements of financial con-
dition and totaled $3,872,001 and $608,697 for Charter DWFCM, $3,415,500 and
$1,070,531 for Charter Graham, $4,970,841 and $920,823 for Charter Millburn,
and $3,301,439 and $1,722,849 for Charter Welton at December 31, 2000 and 1999,
respectively.
For Charter DWFCM, of the $3,872,001 net unrealized gain on open contracts at
December 31, 2000, $2,307,848 related to exchange-traded futures contracts and
$1,564,153 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-ex-
change-traded forward currency contracts.
For Charter Graham, of the $3,415,500 net unrealized gain on open contracts at
December 31, 2000, $3,043,579 related to exchange-traded future contracts and
$371,921 related to off-exchange-traded forward currency contracts. Of the
$1,070,531 net unrealized gain on open contracts at December 31, 1999,
$1,133,461 related to exchange-traded futures contracts and $(62,930) related
to off-exchange-traded forward currency contracts.
For Charter Millburn, of the $4,970,841 net unrealized gain on open contracts
at December 31, 2000, $2,734,201 related to exchange-traded future contracts
and $2,236,640 related to off-exchange-traded forward currency contracts. Of
the $920,823 net unrealized gain on open contracts at December 31, 1999,
$983,771 related to exchange-traded futures contracts and $(62,948) related to
off-exchange-traded forward currency contracts.
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Continued)
For Charter Welton, the net unrealized gain of $3,301,439 and $1,722,849 on
open contracts at December 31, 2000 and 1999, respectively, related to ex-
change-traded futures and futures-styled options contracts.
Exchange-traded contracts and off-exchange-traded forward currency contracts
held by the Partnerships at December 31, 2000 and 1999 mature as follows:
2000 1999
-------------- --------------
Charter DWFCM
Exchange-Traded Contracts June 2002 September 2000
Off-Exchange-Traded Forward Currency Contracts March 2001 March 2000
Charter Graham
Exchange-Traded Contracts June 2002 June 2001
Off-Exchange-Traded Forward Currency Contracts March 2001 April 2000
Charter Millburn
Exchange-Traded Contracts June 2001 June 2000
Off-Exchange-Traded Forward Currency Contracts March 2001 March 2000
Charter Welton
Exchange-Traded Contracts September 2001 May 2000
The Partnerships have credit risk associated with counterparty nonperformance.
The credit risk associated with the instruments in which the Partnerships are
involved is limited to the amounts reflected in the Partnerships' statements of
financial condition.
The Partnerships also have credit risk because DWR, MS&Co. and MSIL act as the
futures commission merchants or the counterparties, with respect to most of the
Partnerships' assets. Exchange-traded futures and futures-styled options con-
tracts 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 each Partnership's exchange-traded futures and futures-styled options con-
tracts, are required, pursuant to regulations of the Commodity Futures Trading
Commission, 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 and futures-styled options contracts, including an amount equal
to the net unrealized gain on all open futures and futures-styled options con-
tracts, which funds, in the aggregate, totaled $36,814,946 and $36,600,599 for
Charter DWFCM, $29,613,940 and $20,201,261 for Charter Graham, $27,814,504 and
$22,661,540 for Charter Millburn, and $22,915,542 and $22,020,088 for Charter
Welton at December 31, 2000 and 1999, respectively. With respect to each Part-
nership'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
Morgan Stanley Dean Witter Charter Series
Notes to Financial Statements--(Concluded)
on open forward contracts be segregated. With respect to those off-exchange-
traded forward currency contracts, the Partnerships are at risk to the ability
of MS&Co., the sole counterparty on all such contracts, to perform. Each Part-
nership has a netting agreement with MS&Co. These agreements, which seek to re-
duce both the Partnerships' and MS&Co.'s exposure on off-exchange-traded for-
ward currency contracts, should materially decrease the Partnerships' credit
risk in the event of MS&Co.'s bankruptcy or insolvency.
5. Legal Matters
Similar class actions were filed in 1996 in California and New York State
courts. Each of the actions were dismissed in 1999. However, the New York State
class action discussed below is still pending because plaintiffs appealed the
trial court's dismissal of their case on March 3, 2000.
On September 18 and 20, 1996, purported class actions were filed in the Supreme
Court of the State of New York, New York County, on behalf of all purchasers of
interests in limited partnership commodity pools sold by DWR. Named defendants
include DWR, Demeter, DWFCM, MSDW, certain limited partnership commodity pools
of which Demeter is the general partner and certain trading advisors to those
pools. A consolidated and amended complaint in the action pending in the Su-
preme Court of the State of New York was filed on August 13, 1997, alleging
that the defendants committed fraud, breach of fiduciary duty, and negligent
misrepresentation in the sale and operation of the various limited partnership
commodity pools. The complaints sought unspecified amounts of compensatory and
punitive damages and other relief. The New York Supreme Court dismissed the New
York action in November 1998, but granted plaintiffs leave to file an amended
complaint, which they did in early December 1998. The defendants filed a motion
to dismiss the amended complaint with prejudice on February 1, 1999. By deci-
sion dated December 21, 1999, the New York Supreme Court dismissed the case
with prejudice. However, on March 3, 2000, plaintiffs appealed the trial
court's dismissal of their case.
MORGAN STANLEY DEAN WITTER & CO.
Two World Trade Center
62nd Floor
New York, NY 10048
Presorted
First Class Mail
U.S. Postage Paid
Brooklyn, NY
Permit No. 529