EFTA01144269.pdf

BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED FINANCIAL STATEMENTS AND INDEPENDENT AUDITORS' REPORT FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 EFTA01144269 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONTENTS Independent Auditors' Report 1 Consolidated Financial Statements Consolidated Statement of Financial Condition 2 Consolidated Statement of Operations 3 Consolidated Statement of Changes in Partners' Capital 4 Consolidated Statement of Cash Flows 5 Consolidated Condensed Schedule of Investments 6 - 26 Notes to Consolidated Financial Statements 27 - 44 EFTA01144270  KPMG LLP 4 Becker Farm Road Roseland. NJ 07068 Independent Auditors' Report To the Partners of Boothbay Absolute Return Strategies, LP: We have audited the accompanying consolidated financial statements of Boothbay Absolute Return Strategies, LP (the "Fund"), which comprise the consolidated statement of financial condition and consolidated condensed schedule of investments as of December 31, 2014, and the related consolidated statements of operations, changes in partners' capital, and cash flows for the period July 1, 2014 (commencement of operations) through December 31, 2014 and the related notes to the consolidated financial statements. Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these consolidated financial statements in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. Auditors' Responsibility Our responsibility is to express an opinion on these consolidated financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the consolidated financial statements. The procedures selected depend on the auditors' judgment, including the assessment of the risks of material misstatement of the consolidated financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the consolidated financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the consolidated financial statements referred to above present fairly in all material respects, the financial position of Boothbay Absolute Return Strategies, LP as of December 31, 2014, and the results of its operations, changes in its partners' capital and its cash flows for the period July I, 2014 (commencement of operations) through December 31, 2014 in accordance with U.S. generally accepted accounting principles. KePtvfG LCP April 30, 2015 1 KPMG LIP a a Wangs 'mead Iatday pannerahip, the U.S. member IIrmal KPMG lawmaeortal Cooperate,* CKPMG Imernationalli, a Syne, wally. EFTA01144271 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF FINANCIAL CONDITION DECEMBER 31, 2014 Assets Investments in securities, at fair value (cost $310,595,375) $ 313,731,863 Derivative assets, at fair value 2,526,946 Cash and cash equivalents 329,816 Due from brokers 22,882,353 Dividends and interest receivable 1,660,300 Capital contributions receivable 227,496 Capital withdrawals receivable 496,878 Other assets 98,857 Total assets 341,954,509 Liabilities and partners' capital Securities sold short, at fair value (proceeds $167,924,773) 167,794,401 Derivative liabilities, at fair value 3,091,060 Due to brokers 51,564,506 Advance capital contributions 839,018 Capital withdrawals payable 1,681,203 Dividends and interest payable 406,876 Accrued expenses and other liabilities 1,374,994 Total liabilities 226,752,058 Partners' capital $ 115,202,451 See accompanying notes to consolidated financial statements. 2 EFTA01144272 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 Investment income Interest $ 1,604,756 Dividends (net of foreign withholding taxes of $32,800) 1,499,041 Other income 307 Swap 85,028 Total investment income 3,189,132 Expenses Interest 1,956,266 Dividends 1,441,782 Management fees 385,473 Administrative fees 220,972 Professional fees 175,950 Clearance and custody fees 344,261 Other expense 1,952,837 Total expenses 6,477,541 Net investment loss (3,288,409) Realized and unrealized gain (loss) on investments Net realized loss on investments (274,011) Net realized gain on derivative contracts 1,202,993 Net realized gain on foreign currency 522,382 Net change in unrealized appreciation on investments 3,266,860 Net change in unrealized depreciation on derivative contracts (607,472) Net change in unrealized appreciation on foreign currency 230,177 Net gain on investments 4,340,929 Net income $ 1,052,520 See accompanying notes to consolidated financial statements. 3 EFTA01144273 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF CHANGES IN PARTNERS' CAPITAL FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 Total General Limited Partners' Partner Partners Capital Capital contributions $ 175,192 $ 118,035,371 $ 118,210,563 Capital withdrawals (4,060,632) (4,060,632) Allocation of net income Pro rata allocation 3,918 1,048,602 1,052,520 Reallocation to General Partner 131,510 (131,510) 135,428 917,092 1,052,520 Partners' capital, end of period $ 310,620 $ 114,891,831 $ 115,202,451 See accompanying notes to consolidated financial statements. 4 EFTA01144274 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF CASH FLOWS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 Cash flows from operating activities Net income 1,052,520 Adjustments to reconcile Net income from operations to net cash used in operating activities: Net realized gain on investments 274,011 Net change in unrealized depreciation on investments (3,266,860) Amortization of premiums and discounts on debt securities 378,940 Changes in operating assets and liabilities: Purchases of investments in securities (2,187,567,523) Payments to cover securities sold short (1,460,277,974) Proceeds from sale of investments in securities 1,960,946,018 Proceeds from securities sold short 1,550,822,995 Derivative contracts 564,114 Due from brokers (22,882,353) Dividends and interest receivable (1,660,300) Capital contributions receivable (227,496) Capital withdrawals receivable (496,878) Other assets (98,857) Due to brokers 51,564,506 Capital withdrawals payable 1,681,203 Dividends and interest payable 406,876 Accrued expenses and other liabilities 1,374,994 Net cash used in operating activities: (107,412,064) Cash flows from financing activities Capital contributions, net of change in advance capital contributions 111,802,512 Capital withdrawals (4,060,632) Net cash provided by financing activities: 107,741,880 Net change in cash and cash equivalents 329,816 Cash and cash equivalents, beginning of period Cash and cash equivalents, end of period S 329,816 Supplemental disclosure of cash flow information Cash paid during the period for interest $ 1,750,092 Supplemental disclosure of noncash financing activities Contribution of securities, at fair value (cost basis of $7,247,069) 7,247,069 See accompanying notes to consolidated financial statements. 5 EFTA01144275 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Investments In Securities, At Fair Value American Depositary Receipt Argentina Consumer Non-cyclical 0.00 % 30 30 Financial 0.00 712 743 0.00 742 773 Brazil Basic Materials 0.00 2,751 2,685 Financial 0.03 32,445 31,495 0.03 35,196 34.180 China Basic Materials 0.04 69,646 46,042 Communications 1.60 1.875,212 1,847,384 Consumer Cyclical 0.27 271,741 309,417 Energy 0.19 232,571 213,693 Financial 0.02 20,465 20,359 Technology 0.00 3,248 3,245 Utilities 0.00 2,620 2,708 2.12 2.475,503 2,442,848 Denmark Consumer Non-cyclical 0.00 4,768 4,749 England Consumer Non-cyclical 0.42 457,510 484,307 Energy 0.09 125,124 103,610 0.51 582,634 587,917 Finland Communications 0.07 80,143 79.103 Ireland Consumer Cyclical 0.19 168,312 221,865 Consumer Non•cyclical 0.01 7,967 8,282 0.20 176,279 230.147 Israel Communications 0.23 229,057 268.445 Mexico Industrial 0.12 144,585 140,638 Panama Consumer Cyclical 0.01 7,552 7,883 South Korea Communications 0.28 327,120 320.397 Switzerland Financial 0.15 174,728 170,545 Industrial 0.06 68,938 69.837 0.21 % 243,666 240.382 See accompanying notes to consolidated financial statements. 6 EFTA01144276 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Taiwan Industrial 0.01 % 12,522 12,048 Technology 0.03 35,686 36.738 0.04 48,208 48.786 Total - American Depositary Receipt 3.82 4,355,453 4,406,248 Closed-End Fund United States Of America Financial 8.24 9.455,095 9,490,914 Total - Closed-End Fund 8.24 9,455,095 9,490,914 Common Stock Argentina Communications 0.05 60,047 56.302 Australia Diversified 0.00 1,343 1,360 Energy 0.07 107,624 75.791 0.07 108,967 77.151 Bahamas Industrial 0.02 20,924 22,544 Bermuda Consumer Non-cyclical 0.28 277,029 326,746 Energy 0.06 65,089 67,832 Financial 0.15 179,189 178,455 Industrial 0.11 192,060 130,965 Technology 0.06 65,075 73,413 0.66 778,442 777,411 Brazil Consumer Non-cyclical 0.01 6,671 7.548 British Virgin Islands Diversified 0.00 1,040 1,068 Canada Basic Materials 0.47 553,919 537,220 Communications 0.40 510,096 455,196 Consumer Cyclical 0.65 679,883 753,065 Consumer Non•cyclical 1.02 1,184,587 1,179,366 Diversified 0.00 1,064 1,054 Energy 0.38 857,266 442,024 Financial 0.18 217,340 210,620 Industrial 0.23 291,714 270,037 Materials 0.02 19,995 21,263 Technology 0.12 124,411 141.204 3.47 % 4.440,275 4,011.049 See accompanying notes to consolidated financial statements. 7 EFTA01144277 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Ca ital Sales Fair Value$) Cayman Islands Financial 0.01 % 12,056 11,947 China Basic Materials 0.02 19,672 17,955 Communications 0.25 316,165 293,608 Consumer Non-cyclical 0.02 28,437 28,597 Energy 0.03 33,340 34,713 Industrial 0.40 505,177 456,377 Utilities 0.11 137,888 128.960 0.83 1.040,679 960.210 Cyprus Energy 0.00 542 538 Denmark Communications 0.15 189,907 172.463 England Communications 0.72 804,429 830,423 Consumer Cyclical 0.07 78,853 80,301 Energy 0.05 97,814 61,757 Financial 0.06 75,168 74,265 Industrial 0.37 323,013 421.578 1.27 1.379,277 1,468,324 France Basic Materials 0.12 162,116 137,683 Financial 0.22 188,557 252.107 0.34 350,673 389.790 Germany Consumer Cyclical 0.29 313,355 330,261 Financial 0.16 180,742 180,093 Utilities 0.10 159,536 114.289 0.55 653,633 624.643 Greece Diversified 0.00 5,511 5,507 Industrial 0.00 199 217 0.00 5,710 5,724 Hong Kong Consumer Cyclical 0.26 298,222 298,650 Consumer Non-cyclical 0.00 2,015 2,042 Energy 0.04 40,970 41,665 Financial 0.57 637,408 656,417 Utilities 0.70 778,385 809,262 1.57 1.757,000 1,808,036 Ireland Consumer Non-cyclical 0.43 465,871 500,106 Financial 0.11 124,640 130,228 Industrial 0.00 1,256 1,276 Technology 0.72 832,369 833.320 1.26 % 1.424,136 1,464,930 See accompanying notes to consolidated financial statements. 8 EFTA01144278 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales Fair Value Isle Of Man Communications 0.13 % 169,692 145,942 Israel Communications 0.64 748,816 737,476 Consumer Non-cyclical 0.04 57,250 51,306 Industrial 0.31 372,459 356,485 Technology 0.07 75,643 77.189 1.06 1.254,168 1,222,456 Italy Consumer Cyclical 0.02 23,209 22,123 Consumer Non-cyclical 0.05 70,859 59,820 Industrial 0.01 13,431 12,552 Utilities 0.27 330,783 316,048 0.35 438,282 410.543 Japan Communications 1.42 1,672,467 1,630,364 Consumer Cyclical 2.63 3,016,778 3,025,415 Financial 1.10 1,380,736 1,265,423 Industrial 0.63 747,075 728,259 Technology 0.30 342,928 340.109 6.08 7,159,984 6,989,570 Luxembourg Basic Materials 0.02 21,532 21,560 Communications 0.37 360,784 421,925 Energy 0.00 514 478 Financial 0.38 411,119 436,206 0.77 793,949 880.169 Malaysia Consumer Cyclical 0.37 471,960 427,967 Diversified 0.03 34,966 34,098 Financial 0.41 580,106 467.443 0.81 1.087,032 929.508 Mexico Basic Materials 0.01 8,569 8,637 Monaco Industrial 0.00 4,099 4,159 Multinational Materials 0.03 % 38,757 39.639 See accompanying notes to consolidated financial statements. 9 EFTA01144279 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value (s) Netherlands Basic Materials 0.25 % 295,791 291,520 Communications 0.01 14,732 14,835 Consumer Non-cyclical 0.09 96,729 101,466 Energy 0.00 3,332 3,559 Financial 0.12 141,074 134,821 Industrial 0.19 234,965 219,052 Technology 0.29 318,111 337,372 0.95 1,104,734 1,102,625 Norway Industrial 0.00 690 692 Puerto Rico Financial 0.04 38,960 42,457 Singapore Consumer Cyclical 0.00 5,219 5,434 Technology 0.08 94,467 94,756 0.08 99,686 100,190 Spain Financial 0.05 53,412 54,975 Switzerland Energy 0.16 288,635 178,965 Financial 0.10 112,461 113,846 Industrial 0.09 106,732 104,582 0.35 507,828 397,393 Taiwan Technology 0.25 257,381 282,755 Thailand Communications 0.50 589,355 572,203 U.S. Virgin Islands Financial 0.00 2.719 2.481 United States Of America Basic Materials 2.97 3,387,508 3,417,854 Communications 18.40 20,309,094 21,191,931 Consumer Cyclical 17.79 19,133,823 20,493,333 Consumer Non-cyclical 19.05 21,230,900 21,938,911 Diversified 0.31 336,154 360,085 Energy 4.89 5,904,950 5,638,840 Financial 11.65 12,983,573 13,419,314 Industrial 10.26 11,605,446 11,824,939 Technology 13.42 14,378,442 15,461,507 Utilities 4.76 5.336,715 5.487,647 103.50 114,606,605 119.234,361 Total - Common Stock 125.22 % 140,445,881 144,280,433 See accompanying notes to consolidated financial statements. 10 EFTA01144280 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Convertible Bond United States Of America Energy 0.11 % 238,741 127,920 Consumer Non•cyclical 0.21 137,010 238.590 0.32 375,751 366,510 Total - Convertible Bond 0.32 375,751 366,510 Corporate Bond Canada Consumer Cyclical 0.11 157,442 131,013 Energy 0.02 27,073 27.316 0.13 184,515 158.329 England Consumer Cyclical 0.36 412,103 412,591 Financial 0.17 201,500 192.765 0.53 613,603 605.356 France Consumer Non-cyclical 0.95 1,169,300 1,088,820 Energy 0.03 35,663 28,880 Financial 0.73 885,391 837,182 Technology 0.29 361,545 336,854 2.00 2.451,899 2,291,736 Germany Communications 0.70 800,000 807.000 Greece Industrial 0.42 513,432 482.650 Guernsey Financial 0.46 535,609 532,500 Ireland Financial 3.55 4.347,033 4,095,101 Israel Communications 0.28 319,500 318,375 Utilities 0.12 138,643 141.919 0.40 458,143 460.294 Netherlands Communications 1.12 1,362,434 1,286,810 Financial 0.64 745,963 735.861 1.76 2,108,397 2,022,671 Spain Financial 0.31 367,569 355.228 Sweden Consumer Cyclical 0.82 % 967,750 950,132 See accompanying notes to consolidated financial statements. 11 EFTA01144281 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales (S) Fair Value (5) United States Of America Basic Materials 3.77 % 4,645,685 4,347,630 Communications 4.58 5,295,632 5,280,097 Consumer Cyclical 4.44 5,125,011 5,112,753 Consumer Non•cyclical 7.50 8,972,745 8,635,258 Energy 1.49 2,200,256 1,710,915 Financial 5.58 6,512,233 6,427,446 Industrial 2.05 2,426,571 2,366,962 Technology 1.86 2,152,500 2,142,000 Utilities 0.46 524.216 526.503 31.73 37.854.849 36,549,564 Total - Corporate Bond 42.81 51,202,799 49,310,561 Exchange Traded Fund China Funds 0.27 281.506 312.404 Japan Funds 0.30 347.336 342.622 United States Of America Funds 14.12 14.254.835 14,473,461 Vietnam Funds 0.05 57.179 52.836 Total -Exchange Traded Fund 14.74 14,940,856.0 15,181,323.0 Global Depositary Receipts Argentina Financial 0.00 305 307 Total - Global Depositary Receipts 0.00 305 307 Government Bond Germany Government 0.26 305.189 300.928 Total - Government Bond 0.26 305,189 300,928 Master Limited Partnership United States Of America Energy 0.34 396.495 388.375 Total - Master Limited Partnership 0.34 % 396,495 388,375 See accompanying notes to consolidated financial statements. 12 EFTA01144282 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Fair Description Amount Capital Sales (s) Value (S) Municipal Bond United States Of America Government PIERCE CNTY WA SCH DIST #10 TA 5.25% 12/01/2038 10,090,000 10.47 % 11,939,906 12,060,476 TEXAS ST 5% 10/01/2044 7,540,000 7.65 8,685,208 8,811,696 WASHINGTON ST 5% 07/01/2029 6,115,000 6.44 7,264,870 7,416,394 MONTGOMERY CNTY MD 5% 11/01/2024 5,800.000 6.35 7,249,947 7,314,612 MASSACHUSETTS ST 5% 11/01/2024 5,800.000 6.13 6,957,511 7,058,252 MASSACHUSETTS ST 5% 11/01/2025 5,800,000 6.11 7,000,257 7,044,216 NEW YORK ST THRUWAY AUTH 5% 01/01/2028 5,800,000 5.97 6,810,017 6,882,628 Other 23.73 27.112.571 27,329.836 72.85 83.020,287 83,918.110 Total - Municipal Bond 72.85 83,020,287 83,918,110 Preferred Stock United States Of America Financial 0.44 497,868 503,957 Government 0.01 27,801 12,455 0.45 525,669 516.412 Puerto Rico Financial 0.01 15,237 14.940 Total - Preferred Stock 0.46 540,906 531,352 Real Estate Investment Trust United States Of America Consumer Cyclical 0.05 67,748 61,145 Financial 4.54 5.217,030 5,234.870 4.59 5,284,778 5,296.015 Total - Real Estate Investment Trust 4.59 5,284,778 5,296,015 Unit Investment Trust United States Of America Consumer Cyclical 0.12 131,488 137,873 Energy 0.03 31,955 35,288 Financial 0.05 70,275 62,383 Utilities 0.02 37,862 25.243 0.22 271,580 260.787 Total - Unit Investment Trust 0.22 271,580 260,787 Total - Investments In Securities, At Fair Value 273.87 % 310 595 375 313 731 863 See accompanying notes to consolidated financial statements. 13 EFTA01144283 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Derivative Assets, At Fair Value Commodity Option United States Of America Crude Oil 0.02 % 3,790 18,920 Natural Gas 0.24 160,200 272,400 Precious Metal 0.03 29,180 32,620 0.29 193,170 323.940 Total - Commodity Option 0.29 193,170 323,940 Currency Option United States Of America Currency 0.00 838 75 Total - Currency Option 0.00 838 75 Equity Option England Communications 0.00 7,796 2,517 Consumer Non-cyclical 0.00 2,013 2,565 Technology 0.00 650 630 0.00 10,459 5,712 Ireland Consumer Non-cyclical