EFTA01097561.pdf

D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Financial Statements December 31, 2008 EFTA01097561 D.B. Zwirn Special Opportunities Fund, L.P. Index December 31, 2008 Page(s) Report of Independent Auditors 1 Consolidated Financial Statements Consolidated Statement of Assets, Liabilities and Partners' Capital 2 Consolidated Condensed Schedule of Investments 3-13 Consolidated Statement of Operations 14 Consolidated Statement of Changes in Partners' Capital 15 Consolidated Statement of Cash Flows 16 Notes to Consolidated Financial Statements 17-43 EFTA01097562 PRICEWATERHOUsECODPERS PrIcewatorhouseCoopors LLP PrieewaterhcxiseCoepere Center 300 Madison Avenue New York NY 100, 7 TelephOnallIMII Fee.Senile Report of Independent Auditors To the General and Limited Partners of D.B. Zwim Special Opportunities Fund, L.P.: In our opinion, the accompanying consolidated statement of assets, liabilities and partners' capital. including the consolidated condensed schedule of Investments, and the related consolidated statements of operations, of changes in partners' capital and of cash flows present fairly, in all material respects, the consolidated financial position of D.B. Zwirn Special Opportunities Fund, L.P. and its subsidiaries (collectively, the -Fund") at December 31. 2008. and the results of their operations, the changes in their partners' capital and their cash flows for the year then ended, in conformity with accounting principles generally accepted in the United Slates of America. These consolidated financial statements are the responsibility of the Fund's General Partner. Our responsibility is to express an opinion on these consolidated financial statements based on our audit. We conducted our audit of these financial statements 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 of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the consolidated financial statements, assessing the accounting principles used and significant estimates made by the Fund's General Partner, and evaluating the overall consolidated financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. As discussed in Notes 7 and 8 to the financial statements, the Fund adopted FASB Statements No. 157, Fair Value Measurement and No. 159, The Fair Value Option for Financial Assets and Liabilities ("SFAS 15r). As part of its SFAS 159 election, the Fund has measured the notes payable at fair value in the consolidated statement of assets and liabilities. As more fully described in Notes 11 and 13 to the financial statements, the Fund has begun implementing an orderly disposition of the Fund's portfolio and the Investment Manager was replaced during 2009 which resulted in c Mein changes. \s s December 23, 2009 EFTA01097563 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Statement of Assets, Liabilities and Partners' Capital December 31, 2008 (in U.S. Dollars) Assets Cash and cash equivalents (including $24.6 million held by collateralized loan obligation) S 57,737,617 Cash collateral pledged 44,486,830 Investments owned, at fair value (cost $2,096,304,462) 1,243,954,530 Unrealized appreciation on derivative contracts 133,491,418 Receivable for investments sold 275,493 Due from brokers and counterparties 14,939,839 Due from affiliates 2,649,988 Interest receivable 8,596,787 Other assets 19 067 253 Total assets 1 525 199 755 Liabilities and Partners' Capital Investments sold, but not yet purchased, at fair value (proceeds 53,253,732) 2,507,126 Unrealized depreciation on derivative contracts 145,474,380 Due to affiliates 121,786,335 Interest payable 409,026 Notes payable, at fair value (par $544,097,565) 458,253,075 Withdrawal payables 82,462,069 Management fees payable 2,081,547 Taxes payable 4,198,847 Accrued expenses and other liabilities 18 602 895 Total liabilities 835,775,300 Minority interest 4,057,761 Partners' capital 685,366,694 Total liabilities and partners' capital $ 1,525,199,755 The accompanying notes are an integral part of these consolidated financial statements. 2 EFTA01097564 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 (in US. Dollars) % of Parterre' Par Amount / Capital Fair Value Quantity Description Investments Owned Asset Backed Securitia North America (primarily United States) Diversified 0.26% S 1,795.983 0.01% 73,328 Financials 0.03% 238.296 Health Cure 121% 8,243.937 Home Equity 1.51% 18,351,544 North Amerke (primarily United States) Total (cost 526,805,804) 131% 10,351,544 Asset Backed Securities Total (cost 526,503,804) North America (primarily United States) 0.00% 2,434 Cotoomer Goods 0.17% 1,194,681 Consumer Services Industrials 0.18% 1236010 Real Estate Investment Trust 550o:0706i 20 0,0 51 083% Transportation 0.46% 3,183,892 North America (primarily United States) Total (cost $7,181,342) Corporate and Distressed Debt Total (cost 57,181,342) 0.46% 3,183,892 Corporate and Real Estate Loans Africa Energy 0.00% Africa Total (con $1,637,511) 0.00% Asia Construction 002% 126.845 2_20% 15,077,271 Real Estate 2.22% 15,204.116 Asia Total (cost $13,980,315) Europe Divasified 1.00% 6.879,310 0.41% 2,802,316 Financials Europe Total (con $14,352.963) 1.41% 9,681,626 The accompanying notes are an integral part of these consolidated financial statements. 3 EFTA01097565 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 (in US. [b!/a , % of Par Amount I Partners' Quantity De cription Capital Fair Value Investments Owned, continued Corporate and Real Estate Loans. continued North America (primarily United States) Basic Materials 3.92% S 260972,593 Communications S 22,801,121 FR Wireless, Inc., Term Loan A, Libor + 6.00%, Due 06424012 116% 21,659293 S 22,790.625 PR Wireless, Inc., Tarn Loan B. Libor + 600%. Due 0622/2012 2.79% 19.139.685 Other 11.50% 78,815,320 Consumer Goods 13.80% 94.572.010 Consumer Unica 10.48% 71.832,673 Diversified S 21,005,413 Chtrchill Financial Holdings LLC, Tam Loan A.8.75%, Due 11/01/2011 2.50% 17,146,921 S 31,198051 Dunhill Finn-Kiel Holdings LW, Tarn Loan B.810%. Due 11/012011 3.74% 25030.450 Other 0.30% 2067036 Energy 6.19% 42,454,128 Entertairunesst S 43,202,100 CTI Holdings, LW, Term Loan A, Libor + 11.00%, Due 053 I/2009 2.77% 19,008,430 S 16,197252 CT* Holdings. LLC. Terra Loan. Libor + 22.00%. Due 08/302008 1.02% 6,969,738 S 10,180,057 Capitol Films Group, Ltd.. Term Loan, 18.00%, Due 01/20/2009 1.28% 8,746,913 Other 14.75% 101.022,257 Fin,mtials 1.050.951 Law Finance Group. Inc 2.21% 15,158,438 Other 4.23% 28,973,093 Health Care 1.65% 11286.584 Industrials 3.04% 20,858,207 Real Estate 9.85% 67.508,428 Technology 6.12% 41,921,108 Transportation 1.60% 10,974,206 North America (primarily United States) Total (cost 51,227,764526) 106.90% 732,617,507 Oceania (Funnily Australia) Technology 1.08% 7,418079 Oceania (primarily Australia) Total (cost $14,482,219) 1.08% 1,418,079 Latin America Real Estate 0.25% 1491,137 Latin AmerIts Total (cost $5,196,501) 0.25% 1,691,137 Corporate and Real Estate Loans Total (cost S1,277,414035) 111.86% 764612.465 Municipal Bonds North America (primarily United States) Government 0.79% 5,429,235 North America (printarily United Stales) Total (cost $6,331,103) 0.79% 5,429,235 Municipal Bonds Total (cost $6,331,103) 0.79% 5,429,235 The accompanying notes are an integral part of these consolidated financial statements. 4 EFTA01097566 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 fin US. Dullard) V. of Par Amount / Partner? Capital Fair Value Quantity Description Investments Owned, continued Options Asia 0.01% 5 73,488 Basic Materials 0.01% 59367 Consumer Goods 0.02% 132,855 Asia Total (cost 540,084) North America (primarily United States) Con.sumer Goods 0.11% 661,313 0.00% 5.07E Utilities North America (primarily United States) Total (cow 5338,929) 0.11% 666,389 013% 799.244 Options Total (cost 5379,013) Pnwite Equity and Asset Cumin:at' Mia Dive fief 0.55% 3,802,911 Financials 021% 1,822,520 Private Equity Fund 0.49% 3367,900 Real Estate 1.76% 12,049,905 Technikagy 0.69% 4,737,252 3.76% 25,780,488 Asia Total (cost 536.607,74D Europe Diversified Stepson e Acquisition Siar.l. 0.99% 6,751,241 4,832325 2.48% 16995,763 C 16.543.706 StepSIOnt Acquisition Sta, Terra Loan A. 2.313%, Due 12/312011 0.89% 6,127,799 C 7,248.488 Stepstonc Acquisition S.a.r.L, Term Loan 13,2 313%. Due 12/31/2011 3.09% 21,164,754 Other Effertairunent SN Al S.p.A. Term Loan B.5.749%. Due 3/312011 1.04% 7,161.012 € 5,868,986 0.43% 2,949,416 C 2,348047 SNA1S.p A., Tarn Lan C, 14.899%, Duc 3/31/2011 Other 1.34% 9,207.749 Financials Transaction One 0.52% 3,568,904 2,916308 Other 239% 17,721,555 Real Estate 0.10% 677.413 Real Estate Fund T.R. Estate Uno S.r.1., Tenn Loan. 6.219%, Due 10202009 0.25% 1,702.722 E 2.491,739 Europe Total (cost 5128,130,630) 13.72% 94,028,328 The accompanying notes are an integral part of these consolidated financial statements. 5 EFTA01097567 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 ;in US. DoIlan' % oaf Par Amount / Partners' Quantity Destription Capital Fair Value Investments Owned, continued Private Equity and Asset Invert:rents. continued North America (primarily United States) Basic Materials 0.12% $ 824,499 Communications 0.01% 64,498 Consumer Goods aciox 17,464 Diversified 3.38% 23,187227 Energy 1.20% 8229,166 Entertaitunent 4.09% 28,033315 Financials 19.436,459 law Finance Group. Inc 4.04% 27,721,211 Other 6.62% 45338,564 Health Care 1.03% 7.025.341 Home Equity 183% 19,369,906 [advent's 3.44% 23,565,911 Private Equity Fund 3.29% 22,571,475 Real Estate 4.60% 31,552,621 Real Estate Flmd 160.553.640 Ackerman/2%cm Real Estate Partnas, LLC 11.30% 77,429,505 Retail 0.04% 260.573 Technology 0_23% 1,608.281 Transportation 0.92% 6,294,044 North America (primarily United States) Total (cost 5579,130,229) 47.14% 323,093,601 Private Equity and Asset Investments Total (cost 3743,868,600) 64.624 442,902,417 Public Equities Asia Basic Materials 0.00% 5,975 Financials 0.89% 6.053.962 Real Estate 0.01% 80,122 Asia Total (cost 513,427,462) 0.90% 6,140,059 Europe Financials 0.18% 1,232304 Real Estate Investment Trust 001% . 102.469 Europe Tot al (cost 52,707,618) 0.19% 1,334,773 The accompanying notes are an integral part of these consolidated financial statements. 6 EFTA01097568 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 (in US. Dollars) % of Par Ammon / Panlien' Quantity Capital Fib Valve Description Investments Owned, continued Public Emetics, continued North America (primarily United States) Conant Goods 0.06% 385,454 0.11% 738,141 Consumer Services Energy 0.11% 724,967 Health Care 0.14% 1,050,489 Industrials 0.00% 3.231 North America (primarily United States) Total (cost 58,727,722) 0.42% 2,902,282 Public Equities Total (cost 524,862,802) 1.5114 10,377,114 Wrenn; North America (primarily United States) Biotechnology 0.00% 23.473 Communications 0.02% 118490 0.26% 1,721,538 Emig), 0.09% 637,497 Health Care 0.02% 166,311 Technology 0.39% 2,674,509 North America (primarily United States) Total (cost 52,664.265) Warrants Total (cost 32,664,765) 0.391/. 2,674,509 Convertibk Bonds North America (primarily United States) 0 12% 792,492 Health Care North America (primarily United Stales) Total (cost S1,369,998) 0.12% 792,492 0.12% 792,492 Convertible Bonds Total (cost 51,369,998) Collateralized Debt Obligations Total (cost $5,729,736) 0.12% 831,618 Investments Owned Total (cost 52.096.104,462) 181.50% $ 1 243 954,530 The accompanying notes are an integral part of these consolidated financial statements. 7 EFTA01097569 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 (In U.S. Dollars) % of Partners' Par Amount / Capital Fair Value QuAnfl“ Description Investments Sold, Bat Not Vet Purchased Corporate and Distrtssed Debt Holt America (primarily United Slates) 0.03% $ 200.000 Tnuisportation 0.03% 200,000 North America (primarily United States) Total (proceeds $0) 0.03% 200,000 Corporate and Distressed Debt Total (proceeds SO) Options North America (pnenarily United Slates) Consumer Goods 0 09% 611.022 0.00% 5,076 Utilities North America (primarily United States) Total (proceeds $250,450) 0.09% 616,098 0.097. 616,098 Options Total (proceeds $250,450) Public Equities North America (primarily United States) COIISUMCI Services 0.00% 11432 0.08% 520,001 Industrials 0.08% 531,633 North America (printarily United States) Total (proceeds $1,913,542) Public Equities Total (proceeds $1,913,542) 0.08% 531,633 U.S. Treasuries North America (United Sates) 0.17% 1,159,395 Government North Amities (United States) Total (proceeds 51,089,740) 0.17%, 1,159,395 0.17% 1,159,395 U.S. Treasuries Total (proceeds 51,089,740) 037% S 2.507,526 Investments Sold, But Not Yet Purchased Total (proceeds S3,2$3,732) The accompanying notes are an integral part of these consolidated financial statements. 8 EFTA01097570 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 fin US. Dollars) %of Par Amount / Partners' Capital Fair Value Quantity Description Derivative Contracts With Long Positions Credit Default Swaps. Indices and Trenches Africa 0.80% S 5,463,401 Consumer Services Africa Total 0.10% 5,463,401 Asia 0.02% 130,170 Basic Materials Communications 0.27% 1247,890 0.00% 28.930 Consumer Goods 0.00% 17,035 Energy Financials 1.11% 7230.777 Government 0.09% 598,114 Health Care 0.02% 127.302 Industrials 0.57% 3.928,759 Technology 0.05% 369,103 Utilities 0.05% 326991 Asia Total 2.18% 14005.071 Europe Basic Materials 6.21% 42,573,851 Communications 1.56% 10,690,104 Consumer Goods 4.55% 31,175.917 Consumer Services 8.79% 60232,999 Diversified 337% 29833918 Energy 0.55% 3,763.339 1.66% 11,348.963 Financials Government atm% 404,510 Health Care 0.06% 430,238 Index 23.92% 163.973345 Industrials 6.30% 43,171,290 Technology 0.34% 2,322.363 Utilities 029% 1.995,857 Europe Total 58.06% 397,917,094 North America (pranarily United States) Basic Materials 14.35% 98225.793 O01% 55,769 Commercial Services Communications 3.11% 21.322.100 Consumer GAMS 19.75% 135,342.459 Consumer Services 29.99% 205,510.172 Diversified 75.94% 520,448,283 Itnergy 2.63% 18,043,311 Entemainment 0.03% 177,711 Financials 13.08% 89652,825 Government 0.23% 1,585,967 Health Care 2.71% 18,568980 Index 32.71% 224,204.691 Industrials 5.96% 40249238 Real Estate Invesummt Trust 0.06% 439,316 Retail 0.03% 231.015 1.83% 12,514,036 Technology 4.49% 30,789.808 Utilities North America (primarily Veiled States) Total 206.91% 1212052274 The accompanying notes are an integral part of these consolidated financial statements. 9 EFTA01097571 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 On US. DoIlats) % of Par Amount Partners' Quantity Description Capital Fair Value Derivative Contracts With Long Positions, combined Credit Default Swaps. Indices and Trenches. continued Oceania (primarily Australia) Basic Maietials 0.01% 37.897 Communications 0.03% 204,579 Consumer Goods 0.09% 647.749 Consumes Services 038% 2,644,130 Financials 0.03% 179,240 Health Care 0.17% 1,142,993 Industrials 0.13% 894,855 Utilities 0.05% 314.460 Oceania (primarily Australia) Total 0.89% 6,065,903 Latin America Consumer Services 0.15% 1,005.179 Latin America Total 0.15% 1,005,179 Credit Default Swaps, Indices and Tranebes Total 268.99% 1,843,509,122 Forwards North America (primarily United States) Currency 0.0l% 43,049 North America (primarily United States) Total 621% 43,049 Forwards Total 0.01% 43,049 Total Rettrn Swaps Asia Communications (0.01%) (38.832) Comm = Goods (0.02%) (138,696) Financials (0.03%) (200266) Utilities (0.02%) (l06.111) Ash Total (0.08%) (484,505) North America (primarily United States) Communications (0.07%) (468,667) North America (primarily United States) Total (0.07%) (468,667) Total Return Swaps Total (0.15%) (953,172) Derivative Contracts With Long Positions Total 268.85% S 1,842,598,999 The accompanying notes are an integral part of these consolidated financial statements. 10 EFTA01097572 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 (in US. Dollars) % of Portions Par Amount! Capital Fair Value Quin0 Description Derivative Contracts With Short Positions Commodities Swaps North America (primarily United States) 0.01% S 81,121 Energy 0.01% 81,121 North America (primarily United States) Total O.01% 81,121 Commodities Swaps Total Credit Default Swaps, Indices and Trenches Africa (0.77%) (5287,415) Consumer Services (0.77%) (3,287,415) Africa Total Asia (0.02%) (124704) Basic Materials (0.26%) (1.774.484) Communications 0.00% (25.686) Consumer Goods 0.00% (14,062) Ellett (7,283656) Financials (1.06%) Government (0.01%) (81.345) (0.02%) (148,991) Health Care (0.51%) (3,878.196) Industrials (0.06%) (386.963) Technology Utilities (0.05%) (349,349) Asia Total (2A5%) (14,066,436) Europe Basic Materials (6.19%) (42,453,806) Communications (1.64%) (11,219,039) (4.48%) (30,689.384) Consumer Goods (8.92%) (61,117,106) Consumer Services (3.77%) (25,833.918) Diversified (0331) (3650,764) Energy (1.60%) (10,992,133) Financials Government (0.06%) (420,193) (0.07%) (448,224) Health Care (23.93%) (163,973744) Index (6.13%) (42.032,757) Indusaials Technology (0.34%) (3.350320) (028%) (1,927.174) Utilities Europe Total (37.94%) (387,108362) The accompanying notes are an integral part of these consolidated financial statements. 11 EFTA01097573 D.B. Zwirn Special Opportunities Fund, L.P. Consolidated Condensed Schedule of Investments December 31, 2008 (in US Dollars) % of rertsers' Par Amount Capital Fair Value Quantity Description Derivative Contracts With Short Positions, continued Credit Default Swaps. Indica and Trains. continued North America (primarily United States) (14.51%) S (99,450.715) Basic Materials (3.60%) (24,671,753) Communications (21.71%) (148,824,760) Constar Goods (3223%) (220,883.618) Consumer Senices (75.95%) (520,425,465) Diversified (2.75%) (18,851,571) Energy (0.03%) (182.372) Entertainment (12.725) (87,185,923) Financials (0.24%) (1,614,995) Government (2.74%) (18,774,381) Heahh Care (29.66%) (203,272.439) index (5.95%) (40,802,163) Industrials (0.06%) (408.179) Real Estate Investment Trust (2.14%) (14.690.410) Technology Utilities (4.54%) (31.139.502) (208.83%) (1,431,178,266) North America (primarily Hailed States)