third point offshore master fund l.p. · third point offshore master fund l.p. unaudited condensed...

THIRD POINT OFFSHORE MASTERFUND L.P.

UNAUDITED CONDENSED

INTERIM FINANCIAL

STATEMENTSPeriod Ended June 30, 2019

Contents

01 Unaudited/Audited Statements of Financial Condition02 Unaudited Statements of Operations03 Unaudited/Audited Statements of Changes in Partners’ Capital04 Unaudited Statements of Cash Flows05 Notes to Unaudited Condensed Interim Financial Statements

STATEMENTS OF FINANCIAL CONDITIONTHIRD POINT OFFSHORE MASTER FUND L.P.

UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS 2019 1

Statements of Financial Condition

Unaudited Audited

(Stated in United States Dollars)

June 30,2019

$

December 31,2018

$

Assets

Cash 45,165 6,784

Investments in securities, at fair value(cost $6,092,430,406, 2018: $5,301,124,751) 6,971,572,762 5,476,206,779

Investments in affiliated funds, at fair value(cost $34,640,732, 2018: $53,621,550) 51,034,625 83,867,650

Due from brokers 1,449,199,347 2,468,613,345

Derivative contracts, at fair value(net upfront fees paid and cost of $22,719,846,2018: $32,579,496) 109,576,815 79,330,970

Interest and dividends receivable 20,108,092 11,498,901

Other assets 1,653,009 2,531,311

Total assets 8,603,189,815 8,122,055,740

Liabilities and Partners’ Capital

Liabilities

Securities sold, not yet purchased, at fair value(proceeds $1,602,752,652, 2018: $1,305,236,000) 1,644,294,971 1,247,592,249

Securities sold under an agreement to repurchase 4,130,032 –

Due to brokers 361,596,697 369,984,146

Derivative contracts, at fair value(net upfront fees received and proceeds of $5,194,158,2018: $2,113,569) 89,524,323 79,155,524

Withdrawals payable to Limited Partner 288,723,020 365,534,193

Interest and dividends payable 4,043,415 2,683,760

Management fee payable 294,504 297,249

Accrued expenses 12,287,766 10,403,997

Total liabilities 2,404,894,728 2,075,651,118

Commitments (See Note 6 and Note 10)

Partners’ capital

General Partner’s capital 92,044,339 5,440,032

Limited Partner’s capital 6,106,250,748 6,040,964,590

Total Partners’ capital 6,198,295,087 6,046,404,622

Total liabilities and partners’ capital 8,603,189,815 8,122,055,740

See accompanying notes.

2THIRD POINT OFFSHORE MASTER FUND L.P.UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS 2019 UNAUDITED STATEMENTS OF OPERATIONS

Unaudited Statements of Operations


Half-yearJune 30,

2019$

Half-yearJune 30,

2018$

Realized and unrealized gain/(loss) on investment transactions

Net realized gain from securities and foreign currency translations 188,449,783 281,550,067

Net realized gain from affiliated funds and foreign currency translations 28,056,377 394,520

Net realized gain from derivative contracts and foreign currencytranslations 14,004,423 90,541,711

Net change in unrealized gain on securitiesand foreign currency translations 604,848,397 (209,911,225)

Net change in unrealized gain on affiliated funds and foreigncurrency translations (13,852,207) (4,083,746)

Net change in unrealized gain on derivative contractsand foreign currency translations 32,817,285 (70,180,692)

Net (loss)/gain from currencies (4,047,607) 4,193,747

Net realized and unrealized gain on investment transactions 850,276,451 92,504,382

Investment income

Interest 62,129,423 43,347,493

Dividends, net of withholding taxes of $12,145,960 (2018: $18,195,959) 26,486,266 39,856,688

Stock loan fees 14,846,414 5,870,791

Other 1,357 2,120,821

Total investment income 103,463,460 91,195,793

Expenses

Management fee 50,797,255 75,749,622

Interest 16,504,568 7,374,030

Dividends on securities sold, not yet purchased 12,429,882 12,470,625

Stock borrow fees 3,992,291 440,113

Administrative and professional fees 3,950,000 10,743,990

Research fees 730,705 3,849,000

Other 6,153,624 90,995

Total expenses 94,558,325 110,718,375

Net investment income/(loss) 8,905,135 (19,522,582)

Net income 859,181,586 72,981,800


STATEMENTS OF CHANGES INPARTNERS’ CAPITAL

THIRD POINT OFFSHORE MASTER FUND L.P.UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS 2019 3

Statements of Changes in Partners’ Capital

UnauditedHalf-year June 30, 2019

(Stated in United States Dollars)Total

$

GeneralPartner

$

LimitedPartner

$

Partners’ capital at beginning of period 6,046,404,622 5,440,032 6,040,964,590

Capital contributions 49,720,875 – 49,720,875

Capital withdrawals (757,011,996) – (757,011,996)

Allocation of net income:

Pro-rata allocation 859,181,586 1,035,376 858,146,210

Incentive allocation – 85,568,931 (85,568,931)

Net income 859,181,586 86,604,307 772,577,279

Partners’ capital at end of period 6,198,295,087 92,044,339 6,106,250,748


AuditedYear ended December 31, 2018

(Stated in United States Dollars)Total

$

GeneralPartner

$

LimitedPartner

$

Partners’ capital at beginning of year 7,485,191,733 4,757,599 7,480,434,134

Capital contributions 607,401,963 – 607,401,963

Capital withdrawals (1,228,566,136) – (1,228,566,136)

Allocation of net income:

Pro-rata allocation (817,622,938) (587,906) (817,035,032)

Incentive allocation – 1,270,339 (1,270,339)

Net income (817,622,938) 682,433 (818,305,371)

Partners’ capital at end of year 6,046,404,622 5,440,032 6,040,964,590


4THIRD POINT OFFSHORE MASTER FUND L.P.UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS 2019 UNAUDITED STATEMENTS OF CASH FLOWS

Unaudited Statements of Cash Flows


Half-yearJune 30,

2019$

Half-yearJune 30,

2018$

Cash flows from operating activitiesNet income 859,181,586 72,981,800Adjustments to reconcile net income to net cash provided by / used

in operating activities:Purchases of investment securities (5,362,539,709) (4,635,611,660)Proceeds from disposition of investment securities 4,787,993,185 4,624,866,986Purchases of investment securities to cover short sales (1,996,153,214) (1,760,923,854)Proceeds from short sales of investment securities 2,260,114,254 1,844,260,204Purchases of affiliated funds (4,195,295) (1,063,062)Proceeds from disposition of affiliated funds 51,232,490 999,305Purchases of derivative contracts (50,577,270) (40,573,237)Proceeds from disposition of derivative contracts 77,521,932 176,330,624Net realized gain from securities and foreign currency

translations (188,449,783) (281,550,067)Net realized gain from affiliated funds and foreign currency

translations (28,056,377) (394,520)Net realized gain from derivative contracts and foreign currency

translations (14,004,423) (90,541,711)Net change in unrealized gain on securities and foreign currency

translations (604,848,397) 209,911,225Net change in unrealized gain on affiliated funds and foreign

currency translations 13,852,207 4,083,746Net change in unrealized gain on derivative contracts and

foreign currency translations (32,817,285) 70,180,692Amortization of premium and accretion of discount, net 5,220,403 6,967,767Changes in operating assets and liabilities:

Decrease in due from brokers 1,019,413,998 233,502,550Increase in interest and dividends receivable (8,609,191) (1,262,160)Decrease in other assets 878,302 3,897,538(Decrease)/Increase in securities sold under agreement to

repurchase 4,130,032 (55,801,239)Increase/(Decrease) in due to brokers (8,387,449) 150,596,580(Decrease)/Increase in management fee payable (2,745) 149,621Increase in interest and dividends payable 1,359,655 76,047Increase/(Decrease) in accrued expenses 1,883,769 (2,716,038)

Net cash provided by operating activities 784,140,675 528,367,137

Cash flows used in financing activitiesCapital contributions 49,720,875 469,988,720Capital withdrawals (833,823,169) (988,105,229)Net cash used in financing activities (784,102,294) (518,116,509)

Net increase in cash 38,381 10,250,628Cash at beginning of period 6,784 8,755Cash at end of period 45,165 10,259,383

Supplemental disclosure of cash flow informationCash paid during the period for interest 9,508,536 7,795,229


NOTES TO UNAUDITED CONDENSEDINTERIM FINANCIAL STATEMENTS


Notes to Unaudited Condensed InterimFinancial StatementsPeriod ended June 30, 2019

1. OrganizationThird Point Offshore Master Fund L.P. (the “Partnership”) was organized as a limited partnership underthe laws of the Cayman Islands and commenced operations on January 1, 2009. The Partnership wasformed to trade and invest primarily in equity and debt securities of U.S. and foreign companies. Theinvestment objective of the Partnership is to achieve superior risk-adjusted returns by deploying capital ininvestments with a favorable risk/reward scenario across select asset classes, sectors, and geographies,both long and short. Third Point LLC (the “Investment Manager”) identifies these opportunities using acombination of top-down asset allocation decisions and a bottom-up, value-oriented approach to singlesecurity analysis. The Investment Manager supplements single security analysis with an approach toportfolio construction that includes sizing each investment based on upside/downside calculations, allwith a view towards appropriately positioning and managing overall exposures across specific assetclasses, sectors and geographies. The Partnership will continue until terminated as provided for in theFifth Amended and Restated Exempted Limited Partnership Agreement (the “Agreement”).

The Partnership serves as the master fund in a “master-feeder” structure whereby Third Point OffshoreFund, Ltd. (the “Feeder”), a Cayman Islands exempted company, invests substantially all of its net assetsin the Partnership, which conducts all investment and trading activities on behalf of the Feeder fund. TheFeeder and the Partnership have the same investment objectives. At June 30, 2019, approximately98.52% of the Partnership’s capital was owned by the Feeder.

Third Point LLC is the Investment Manager of the Partnership. The General Partner of the Partnership isThird Point Advisors II L.L.C. The Investment Manager is registered with the Securities and ExchangeCommission as an Investment Adviser under the Investment Advisers Act of 1940. The InvestmentManager and the General Partner are responsible for the operation and management of the Partnership.

The Partnership is an investment company and applies specialized accounting guidance as outlined inFinancial Services – Investment Companies (Topic 946). The Investment Manager evaluated thisguidance and determined that the Partnership meets the criteria to be classified as an investmentcompany. Accordingly, the Partnership reflects its investments in the Statements of Financial Conditionat their estimated fair value, with unrealized gains and losses resulting from changes in fair value, if any,reflected in net change in unrealized gain/loss on securities, affiliated funds, derivative contracts andforeign currency translations in the Statements of Operations.

International Fund Services (N.A.), L.L.C. serves as the administrator (the “Administrator”) and transferagent to the Partnership.

2. Significant Accounting PoliciesThe Partnership’s unaudited interim financial statements are condensed in whole, guided by U.S.generally accepted accounting principles (“U.S. GAAP”) and are expressed in United States dollars.Where applicable, certain notes to the unaudited interim financial statements are condensed to includeonly information relevant to Third Point Offshore Investors Limited (“ListCo”). The following is asummary of the significant accounting and reporting policies:

The Partnership is exempt from all forms of taxation in the Cayman Islands, including income, capitalgains and withholding taxes. In jurisdictions other than the Cayman Islands, in some cases foreign taxeswill be withheld at source on dividends and certain interest received by the Partnership. Capital gainsderived by the Partnership in such jurisdictions generally will be exempt from foreign income orwithholding taxes at the source. The Partnership will be treated as a partnership for federal income taxpurposes and each investor will be subject to taxation on its share of the fund’s ordinary income andcapital gains.

6THIRD POINT OFFSHORE MASTER FUND L.P.UNAUDITED CONDENSED INTERIM FINANCIAL STATEMENTS 2019


Notes to Unaudited Condensed InterimFinancial Statements continuedPeriod ended June 30, 2019

2. Significant Accounting Policies (continued)The Partnership evaluates tax positions taken or expected to be taken in the course of preparing thePartnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of beingsustained by the applicable tax authority. Tax positions not deemed to meet a “more likely-than-not”threshold would be recorded as a tax expense in the current period. The General Partner has reviewed thePartnership’s tax positions and has concluded that no material provision for income tax is required in thePartnership’s financial statements. Generally, the Partnership is subject to income tax examinations bymajor taxing authorities including United States and other authorities for open tax years since inception.

The Partnership would recognize interest and penalties, if any, related to unrecognized tax positions asincome tax expense in the Statements of Operations. During the period ended June 30, 2019, thePartnership did not incur any interest or penalties related to unrecognized tax positions.

The Partnership records security transactions and related income and expense on a trade-date basis.Realized gains and losses are determined using cost calculated on a specific identification basis.Dividends are recorded on the ex-dividend date. Income and expense are recorded on the accrual basisincluding interest and premiums amortized and discounts accreted on interest bearing investments.

The Partnership may enter into repurchase and reverse repurchase agreements with financial institutionsin which the financial institution agrees to resell or repurchase securities and the Partnership agrees torepurchase or resell such securities at a mutually agreed price upon maturity. These agreements arecollateralized primarily by debt securities. Interest expense and income related to repurchase and reverserepurchase agreements held during the period ended June 30, 2019 are included in interest payable andreceivable in the Statements of Financial Condition. During the period ended June 30, 2019, there wasno gain or loss on foreign currency related to repurchase agreements. Generally, repurchase and reverserepurchase agreements that the Partnership enters into mature within 30 to 90 days.

The Partnership may lend securities for securities lending transactions or pledge securities and/or cash forsecurities borrowed transactions. The value of any securities loaned is reflected in investments insecurities in the Statements of Financial Condition. As of June 30, 2019, the Partnership lent securities of$12,202,592 to counterparties. Any collateral received is reflected in due to brokers in the Statements ofFinancial Condition.

The Partnership engages in securities lending transactions whereby upon the Partnership’s request, itsprime brokers, as lending agents, may loan securities of the Partnership as selected by the Partnership tocertain institutions. The securities loaned are generally collateralized in the form of cash or U.S. treasurysecurities in an amount typically at least equal to the fair value of the securities loaned. The fair value ofthe loaned securities is determined at the close of business on each business day and any additionalrequired collateral is delivered to the Partnership on the next business day. Risks may arise upon enteringinto securities lending transactions to the extent that the value of the collateral is less than the value ofthe securities loaned due to changes in the value of the securities loaned.

Changes in the value of the securities loaned that may occur during the course of the loan will berecognized by the Partnership. The Partnership has the right under the lending agreement to recover thesecurities from the borrower on demand. The Partnership receives interest based on the outstanding fairvalue of the loaned shares at a rate that is initially agreed with the prime broker prior to lending theshares and is subject to change by mutual agreement of the parties over the course of the transaction.

The Partnership’s repurchase and securities lending agreements may result in credit exposure in the eventthe counterparty to the transaction is unable to fulfill its contractual obligations. It is the Partnership’spolicy to monitor and control collateral under such agreements. Refer to note 8 for additional disclosuresregarding the Partnership’s collateral policy.



2. Significant Accounting Policies (continued)The following table presents the remaining contractual maturity of the securities lending transactions andthe total amount to be received upon repurchase by class of collateral received and pledged, respectively,as of June 30, 2019.

Securities lending transactions

Overnights andContinuous

$

Up to 30days

$

30 - 90days

$

Greater Than90 days

$Total

$

U.S. Treasury securities 12,204,214 – – – 12,204,214Repurchase agreements

Corporate Bonds – – 4,130,032 – 4,130,032

The preparation of unaudited condensed interim financial statements requires management to makeestimates and assumptions that affect the amounts and disclosures in the financial statements andaccompanying notes. Actual results could differ from those estimates.

The Investment Manager has a formal valuation policy that sets forth the pricing methodology forinvestments to be implemented in fair valuing each security in the Partnership’s portfolio. Depending onmarket or company circumstances, valuation techniques and methodologies may change from year toyear. The valuation policy is updated and approved at least on an annual basis by the valuationcommittee (the “Committee”). The Committee is comprised of officers and employees who are seniorbusiness management personnel. The Committee meets on a monthly basis. The Committee’s role is toreview and verify the propriety and consistency of the valuation methodology to determine fair value ofinvestments. The Committee also reviews any due diligence performed and approves any changes tocurrent or potential external pricing vendors.

Securities listed on a national securities exchange or quoted on NASDAQ are valued at their last salesprice as of the last business day of the period. Listed securities with no reported sales on such date andover-the-counter (“OTC”) securities are valued at their last closing bid price if held long by thePartnership and last closing ask price if held short by the Partnership. Approximately $637.3 million, orapproximately 8.9% of the Partnership’s investment in securities, affiliated funds and derivative assets,are valued based on dealer quotes or other quoted market prices for similar securities.

Private securities, real estate and related debt investments are not registered for public sale and arecarried at an estimated fair value at the end of the period, as determined by the Investment Manager.Valuation techniques used by the Investment Manager in determining fair value may include marketapproach, appraisals, last transaction analysis, liquidation analysis and/or using discounted cash flowmodels where the significant inputs could include but are not limited to additional rounds of equityfinancing, financial metrics such as revenue multiples or price-earnings ratio, discount rates, appraisalsrevenue projections and other factors. In addition, the Investment Manager may employ third partyvaluation firms to conduct separate valuations of such private securities. The third party valuation firmsprovide the Investment Manager with a written report documenting their recommended valuation as ofthe determination date for the specified investments.

Due to the inherent uncertainty of valuation for these investments, the estimate of fair value for thePartnership’s interest in these investments may differ from the values that would have been used had aready market existed for the investment, and the difference could be material. At June 30, 2019, thePartnership had approximately $641.1 million of investments fair valued by the Investment Manager,representing approximately 9.0% of investments in securities, affiliated funds and derivative contracts, ofwhich approximately 98.2% were valued by third party valuation firms. The resulting unrealized gains andlosses are reflected in the Statements of Operations.




2. Significant Accounting Policies (continued)The Partnership’s derivatives are recorded at fair value. The Partnership values exchange-tradedderivative contracts at their last sales price on the exchange where it is primarily traded. OTCderivatives, which include swap, option, swaption, and forward currency contracts, are valued atindependent values provided by third party sources when available; otherwise, fair values are obtainedfrom counterparty quotes that are based on pricing models that consider the time value of money,volatility, and the current market and contractual prices of the underlying financial instruments.

As of June 30, 2019, all of the Partnership’s asset-backed securities (“ABS”) holdings were private-labelissued, non-investment grade securities, and none of these securities were guaranteed by government-sponsored entities. These investments are valued using broker quotes or a recognized third-party pricingvendor, where available. All of these classes of ABS are sensitive to changes in interest rates and anyresulting change in the rate at which borrowers sell their properties, refinance, or otherwise pre-pay theirloans. As an investor in these classes of ABS, the Partnership may be exposed to the credit risk ofunderlying borrowers not being able to make timely payments on loans or the likelihood of borrowersdefaulting on their loans. In addition, the Partnership may be exposed to significant market and liquidityrisks.

Investment funds are valued at fair value. Fair values are generally determined utilizing the net assetvalue (“NAV”) provided by, or on behalf of, the underlying investment managers of each investmentfund, which is net of management and incentive fees or allocations charged by the investment fund and isin accordance with the “practical expedient”, as defined by the Accounting Standards Update (“ASU”)2009-12, Investments in Certain Entities that Calculate Net Asset Value per Share. NAVs received by, oron behalf of, the underlying investment managers are based on the fair value of the investment funds’underlying investments in accordance with policies established by each investment fund, as described ineach of their financial statements and offering memorandum. The strategies of the underlying investmentfunds include communications, global emerging markets, real estate, regional markets, financial, multi-strategy, middle market buy-out and litigation financing. The Investment Manager generally has limitedaccess, if any, to specific information regarding the underlying non-affiliated investment managers’portfolios and relies on NAVs provided by or on behalf of the underlying managers. The managementagreements of non-related party investment funds provide for compensation to the underlying managersin the form of management and performance fees. The Partnership’s investments in investment funds arenon-redeemable and distributions are made by the investment funds as underlying investments aremonetized. It is expected that the underlying investments will be monetized over the next five years.During the period ended June 30, 2019, the Partnership received $0.6 million of distributions relating tothe investment funds’ underlying investments.

Investments in affiliated funds are recorded at fair value in accordance with the valuation policiesdiscussed above. Investments in affiliated funds include the Partnership’s investments in the equity anddebt instruments of the special-purpose entities managed by the Investment Manager.

Certain of the Partnership’s investments are denominated in foreign currencies and thus, are subject to therisk associated with foreign currency fluctuations. These investments are translated into U.S. dollaramounts at the date of valuation. Purchases and sales of investments and income and expensesdenominated in foreign currencies are translated in U.S. dollar amounts on the respective dates of suchtransactions. The Partnership does not isolate the portion of the results of operations resulting from changein foreign exchange rates on investments, investments in affiliated funds and derivative contracts from thefluctuations arising from changes in market values of investments, investments in affiliate funds, andderivative contracts. Such fluctuations are included within net realized gain/(loss) on securities, affiliatedfunds, derivative contracts and foreign currency translations and net change in unrealized gain/(loss) onsecurities, affiliated funds, derivatives, and foreign currency translations in the Statements of Operations.



2. Significant Accounting Policies (continued)Fair value is defined as the price that the Partnership would receive to sell an asset or pay to transfer aliability in an orderly transaction between market participants at the measurement date. The disclosurerequirements also establish a framework for measuring fair value, and a three-level hierarchy for fairvalue measurements based upon the transparency of inputs to the valuation of an asset or liability. Thethree-tier hierarchy of inputs is summarized below:

• Level 1 – Quoted prices available in active markets/exchanges for identical investments as of thereporting date. The types of assets and liabilities that are classified at this level generally includeequity securities, futures and option contracts listed in active markets.

• Level 2 – Pricing inputs other than observable inputs including but not limited to prices quoted forsimilar assets or liabilities in active markets/exchanges or prices quoted for identical or similar assetsor liabilities in markets that are not active, and fair value is determined through the use of models orother valuation methodologies. The types of assets and liabilities that are classified at this levelgenerally include equity securities traded on non-active exchanges, corporate, sovereign, asset-backedand bank debt securities, forward contracts and certain derivatives.

• Level 3 – Pricing inputs are unobservable due to little, if any, market activity and data. The inputsinto determination of fair value require significant management judgment and estimation. The typesof assets and liabilities that are classified at this level generally include certain corporate and bankdebt, asset-backed securities, private investments, trade claims and certain derivatives.

Inputs refer broadly to the assumptions that market participants would use in pricing the asset orliability, including assumptions about risk, for example, the risk inherent in a particular valuationtechnique used to measure fair value including such a pricing model and/or the risk inherent in the inputsto the valuation technique. Inputs may be observable or unobservable.

Situations may arise when market quotations or valuations provided by external pricing vendors areavailable but the fair value may not represent current market conditions. In those cases, the InvestmentManager may substitute valuations provided by external pricing vendors with multiple broker-dealerquotations.

In accordance with U.S. GAAP, the Partnership has not leveled positions valued using the practicalexpedient.

Observable inputs are inputs that reflect the assumptions market participants would use in pricingthe asset or liability based on market data obtained from sources independent of the reporting entity.Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptionsmarket participants would use in pricing the asset or liability developed based on the best informationavailable in the circumstances.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair valuehierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest levelof input that is significant to the fair value measurement. The Investment Manager’s assessment of thesignificance of a particular input to the fair value measurement in its entirety requires judgment, andconsiders factors specific to the investment.

The key inputs for corporate, government and sovereign bonds valuation are coupon frequency, couponrate and underlying bond spread. The key inputs for asset-backed securities are yield, probability ofdefault, loss severity and prepayment.




2. Significant Accounting Policies (continued)Key inputs for OTC valuation vary based on the type of underlying on which the contract was written.Please see below discussion by OTC type:

• The key inputs for most OTC option contracts include notional, strike price, maturity, payoutstructure, current foreign exchange forward and spot rates, current market price of underlying andvolatility of underlying.

• The key inputs for most forward contracts include notional, maturity, forward rate, spot rate, variousinterest rate curves and discount factor.

• The key inputs for swap valuation will vary based on the type of underlying on which the contractwas written. Generally, the key inputs for most swap contracts include notional, swap period, fixedrate, credit or interest rate curves, current market or spot price of the underlying and the volatility ofthe underlying.



2. Significant Accounting Policies (continued)The following is a summary of the Partnership’s assets and liabilities categorized by the inputs utilized todetermine their fair value as of June 30, 2019:

Fair Value Measurements at June 30, 2019

Quoted prices inactive markets

(Level 1)$

Significant otherobservable inputs

(Level 2)$

Significantunobservable

inputs (Level 3)$

Total$

Assets

Equity Securities

Basic Materials 42,868,801 – – 42,868,801

Communications 331,281,187 – – 331,281,187

Consumer, Cyclical 326,773,638 – – 326,773,638

Consumer, Non-Cyclical 2,589,899,007 – – 2,589,899,007

Diversified 4,701,384 – – 4,701,384

Energy 105,067,776 – – 105,067,776

Financial 225,162,687 – – 225,162,687

Industrial 641,626,039 44,921,280 – 686,547,319

Technology 334,002,409 – – 334,002,409

Total Equity Securities 4,601,382,928 44,921,280 – 4,646,304,208

Asset-Backed Securities

Aircraft – 6,221,585 – 6,221,585

Consumer Loan – 130,260,698 31,270,919 161,531,617

Mortgage – 628,902,958 35,016,716 663,919,674

Total Asset-Backed Securities – 765,385,241 66,287,635 831,672,876

Corporate Bonds

Communications – 72,766,084 – 72,766,084

Consumer, Cyclical – 88,875,082 – 88,875,082

Consumer, Non-Cyclical – 4,865,231 3,711,363 8,576,594

Energy – 70,647,971 – 70,647,971

Real Estate – – 40,715,075 40,715,075

Technology – – 1,112,032 1,112,032

Utilities – 274,565,605 – 274,565,605

Total Corporate Bonds – 511,719,973 45,538,470 557,258,443

Private Preferred Equity Securities

Communications – – 32,063,468 32,063,468

Consumer, Cyclical – – 4,838,600 4,838,600

Consumer, Non-Cyclical – – 59,254,923 59,254,923

Financial – – 125,661,172 125,661,172

Technology – – 261,131,254 261,131,254

Total Private Preferred Equity Securities – – 482,949,417 482,949,417




2. Significant Accounting Policies (continued)Quoted prices in

active markets(Level 1)

$


(Level 2)$


inputs (Level 3)$

Total$

Private Common Equity Securities

Communications 4,974,718 – 603,360 5,578,078

Consumer Cyclical – 5,462,880 – 5,462,880Consumer, Non-Cyclical – 4,985,250 187,554 5,172,804

Energy – – 16,596,675 16,596,675

Financial – – 15,930,876 15,930,876

Technology – – 1,440,157 1,440,157

Total Private Common Equity Securities 4,974,718 10,448,130 34,758,622 50,181,470

Sovereign Debt

Republic Of Argentina – 146,411,754 11,126,873 157,538,627

Total Sovereign Debt – 146,411,754 11,126,873 157,538,627

Municipal Bonds

Government – 60,261,373 – 60,261,373

Total Municipal Bonds – 60,261,373 – 60,261,373

Rights And Warrants

Communications – 19,539,146 – 19,539,146

Consumer, Non-Cyclical – – 19,042 19,042

Consumer Loan – – 15,801,809 15,801,809

Financial 178,910 4,520,172 – 4,699,082

Technology – – 4,354 4,354

Total Rights And Warrants 178,910 24,059,318 15,825,205 40,063,433

Bank Debt


Energy – – 9,339,473 9,339,473

Total Bank Debt – 25,863,090 9,339,473 35,202,563

Real Estate

Commercial – – 29,549,035 29,549,035

Total Real Estate – – 29,549,035 29,549,035

Options –

Consumer, Cyclical – 844,340 – 844,340

Funds – 1,846,233 – 1,846,233

Indices 10,284,680 1,824,410 – 12,109,090

Total Options 10,284,680 4,514,983 – 14,799,663





$


(Level 2)$


inputs (Level 3)$

Total$

Trade Claims

Financial – 538,417 – 538,417

Total Trade Claims – 538,417 – 538,417

Investments in Affiliated Funds

Multi-Strategy 51,034,625 – – 51,034,625

Total Investments in Affiliated Funds 51,034,625 – – 51,034,625

Derivative Contracts(1)

Credit Default Swaps – Protection Purchased

Asset-Backed Securities Indices – – 6,405,748 6,405,748

Basic Materials – 1,173,551 – 1,173,551

Communications – 639,500 – 639,500

Technology – 1,116,383 – 1,116,383

Total Credit Default Swaps – ProtectionPurchased – 2,929,434 6,405,748 9,335,182

Credit Default Swaps – Protection Sold

Asset-Backed Securities – – 216 216

Total Credit Default Swaps – Protection Sold – – 216 216

Contracts For Differences – Short Contracts



Industrial – 2,736,261 – 2,736,261

Technology – 13,452,057 – 13,452,057

Total Contracts For Differences – ShortContracts – 17,384,125 – 17,384,125

Interest Rate Swaptions

United States Dollar Libor – 121,944 – 121,944

Total Interest Rate Swaptions – 121,944 – 121,944

Total Return Swaps – Long Contracts


Financial – – 57,002 57,002

Total Total Return Swaps – Long Contracts – 44,970,141 57,002 45,027,143






$


(Level 2)$


inputs (Level 3)$

Total$

Contracts For Differences – Long Contracts

Consumer, Non-Cyclical – 2,493,185 – 2,493,185

Industrial – 23,816,246 – 23,816,246

Technology – 319,504 – 319,504

Utilities – 107,035 – 107,035

Total Contracts For Differences – LongContracts – 26,735,970 – 26,735,970

Total Return Swaps – Short Contracts


Total Total Return Swaps – Short Contracts – 152,803 – 152,803

Foreign Currency Forward Contracts

Buy United States Dollar, Sell Chinese Yuan – 1,299,805 – 1,299,805

Buy United States Dollar, Sell Hong KongDollar – 761,258 – 761,258

Total Foreign Currency Forward Contracts – 2,061,063 – 2,061,063

Commodity Futures – Long Contracts

Financial – 1,425,263 – 1,425,263

Total Commodity Futures – Long Contracts – 1,425,263 – 1,425,263

Foreign Currency Options – Purchased

Put Euro, Sell British Pound Sterling – 979,925 – 979,925

Put United States Dollar, Sell Hong KongDollar – 3,178,632 – 3,178,632

Put United States Dollar, Sell Japanese Yen – 3,091,618 – 3,091,618

Total Foreign Currency Options – Purchased – 7,250,175 – 7,250,175

Commodity Future Options – Purchased

Financial – 82,931 – 82,931

Total Commodity Future Options – Purchased – 82,931 – 82,931

Subtotal 4,667,855,861 1,697,237,408 701,837,696 7,066,930,965

Investments in Funds valued at NAV 65,253,237

Investments in Securities, Affiliated Funds, andDerivative Contracts 7,132,184,202





$


(Level 2)$


inputs (Level 3)$

Total$

Liabilities

Equity Securities

Basic Materials 187,000,301 – – 187,000,301

Communications 121,632,422 – – 121,632,422

Consumer, Cyclical 234,250,832 – – 234,250,832

Consumer, Non-Cyclical 312,960,897 – – 312,960,897

Energy 48,759,495 – – 48,759,495

Financial 216,492,015 – – 216,492,015

Funds 44,839,098 – – 44,839,098

Industrial 381,606,540 – – 381,606,540

Technology 46,441,070 – – 46,441,070

Total Equity Securities 1,593,982,670 – – 1,593,982,670

Corporate Bonds

Communications – 9,342,775 – 9,342,775

Energy – 31,351,142 – 31,351,142

Total Corporate Bonds – 40,693,917 – 40,693,917

Options

Communications – 1,554,992 – 1,554,992


Indices 2,136,240 – – 2,136,240

Industrial 2,433,365 359,093 – 2,792,458

Technology – 789,417 – 789,417

Total Options 4,569,605 5,033,302 – 9,602,907

Bank Debt


Total Bank Debt – 15,477 – 15,477

Derivative Contracts(1)

Commodity Futures – Short Contracts

Financial – 1,197,313 – 1,197,313

Total Commodity Futures – Short Contracts – 1,197,313 – 1,197,313

Contracts for Differences – Long Contracts

Basic Materials – 11,275,264 – 11,275,264

Total Contracts for Differences – LongContracts – 11,275,264 – 11,275,264






$


(Level 2)$


inputs (Level 3)$

Total$

Total Return Swaps – Long Contracts


Energy – 9,549,282 – 9,549,282

Total Return Swaps – Long Contracts – 13,444,081 – 13,444,081

Contracts For Differences – Short Contracts

Communications – 2,070,052 – 2,070,052



Equity Swap Basket – 15,716,494 – 15,716,494

Financial – 2,633,947 – 2,633,947

Industrial – 7,160,176 – 7,160,176

Technology – 1,925,439 – 1,925,439

Total Contracts For Differences – ShortContracts – 53,083,095 – 53,083,095

Foreign Currency Forward Contracts

Buy United States Dollar, Sell Euro – 281,871 – 281,871

Buy United States Dollar, Sell Swiss Franc – 599,824 – 599,824

Total Foreign Currency Forward Contracts – 881,695 – 881,695

Sovereign Futures – Short Contracts

Financial 444,966 – – 444,966

Total Sovereign Futures – Short Contracts 444,966 – – 444,966

Interest Rate Swaptions

United States Dollar Libor – 25,523 – 25,523

Total Interest Rate Swaptions – 25,523 – 25,523

Total Return Swaps – Short Contracts


Financial – 2,072,813 – 2,072,813

Industrial – 3,227,877 – 3,227,877

Total Return Swaps – Short Contracts – 6,150,445 – 6,150,445

Credit Default Swaps – Protection Purchased

Asset-Backed Securities Indices – – 111,497 111,497

Total Credit Default Swaps – ProtectionPurchased – – 111,497 111,497





$


(Level 2)$


inputs (Level 3)$

Total$

Index Futures – Short Contracts

Financial 2,910,444 – – 2,910,444

Total Index Futures – Short Contracts 2,910,444 – – 2,910,444

Total Liabilities 1,601,907,685 131,800,112 111,497 1,733,819,294

(1) Derivative instruments are shown gross of any offsetting permitted under U.S. GAAP.

The following table is a summary of transactions relating to assets and liabilities the Partnership heldduring the period ended June 30, 2019 at fair value using significant unobservable inputs (Level 3):

Fair Value Measurements using Significant Unobservable Inputs (Level 3)

Transfersinto Level 3

$

Transfersout of Level 3

$Purchases

$

AssetsAsset-Backed Securities 34,626,581 (13,997,903) 59,846,209

Corporate Bonds – – 7,456,475

Private Preferred Equity Securities – – 48,441,024

Private Common Equity Securities 45,058,433 (3,694,032) 5,628,376

Rights and Warrants – – 15,803,690

Bank Debt 9,339,473 – –

Real Estate – – 6,141,603

Total Assets $89,024,487 $(17,691,935) $143,317,377

During the period ended June 30, 2019, assets were transferred into Level 3 due to lack of observableinputs while assets were transferred out due to additional observable inputs.

Assets and liabilities of the Partnership fair valued using significantly unobservable inputs (Level 3)include investments fair valued by the Investment Manager, previously discussed in Note 2, but are notlimited to such investments.




2. Significant Accounting Policies (continued)The following table summarizes information about the significant unobservable inputs used indetermining the fair value of the Level 3 assets held by the Partnership. Level 3 investments not presentedin the table below generally do not have any unobservable inputs to disclose, as they are valued primarilyusing dealer quotes, at cost or net asset value for investment in investment funds.

AssetFair Value

$Valuation

TechniquesUnobservable

Input Range

Private Equity investments 195,818,204 Market Approach Volatility 30-45%

Discount 4.5-19.0%

Time to Exit 0.25-4 years

Multiples 5.0-9.5x

Real Estate 29,549,034 Discounted Cash Flow Discount 8.75-9.5%

Capitalization rate 6.75

Rights and Warrants 15,806,163 Discounted Cash Flow Volatility 40%

Discount 13.5-15.5%

Time to Exit 0.75-2 years

Multiples 2.3-9.5x

Corporate Bonds 4,823,395 Discounted Cash Flow Discount 11.0-13.0%

Time to Exit 2 years

In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230) - RestrictedCash. ASU 2016-18 clarifies the presentation of restricted cash in the Statement of Cash Flows byrequiring the amounts described as restricted cash be included with cash and cash equivalents whenreconciling the beginning of period and end of period total amounts shown on the Statement of CashFlows. If cash and cash equivalents and restricted cash are presented separately in the Statement ofFinancial Condition, a reconciliation of these separate line items to the total cash amount included in theStatement of Cash Flows will be required either in the footnotes or on the face of the Statement of CashFlows. The guidance is effective for the Partnership on January 1, 2019. Management has adopted theguidance and included the required disclosures in the Partnership’s Unaudited Interim FinancialStatements. The adoption did not have a material impact on the Partnership’s Unaudited InterimFinancial Statements.

ASU 2018-13, Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the DisclosureRequirements for Fair Value Measurement was issued in August 2018 and is effective for all entities forfiscal years beginning after December 15, 2019 and for interim periods within those fiscal years, butentities are permitted to early adopt either the entire standard or only the provisions that eliminate ormodify the requirements. For the period ended June 30, 2019, the Partnership has chosen to early adoptcertain provisions of the standard which primarily eliminates or modifies the amount of disclosureassociated with level 3 portfolio investments. Specifically, the standard has eliminated the requirementfor the Partnership to present a full reconciliation of Level 3 investments and instead requires thePartnership to disclose a summary of certain transactions related to Level 3 investments.

3. Administration FeeThe Partnership has entered into an administrative services agreement with the Administrator. Inaccordance with the terms of this agreement, the Administrator provides certain specified fundaccounting and administration, trade support and transfer agent services. For the period ended June 30,2019, the Administrator received a fee of $2,187,971.



4. Due from/to BrokersThe Partnership holds substantially all of its investments through its prime brokers (Goldman Sachs,Bank of America Merrill Lynch, JPMorgan, Citi, UBS, Barclays, Morgan Stanley and Credit Suisse)pursuant to various agreements between the Partnership and each prime broker. The brokeragearrangements differ from broker to broker, but generally cash and investments in securities balances areavailable as collateral against securities sold, not yet purchased and derivative positions, if required.

Margin debt balances were collateralized by cash held by the broker and certain of the Partnership’ssecurities. Margin interest was paid either at the daily broker call rate or based on LIBOR.

Due from/to brokers include cash balances maintained with the Partnership’s prime brokers, receivablesand payables from unsettled trades and proceeds from securities sold, not yet purchased. In addition, duefrom/to brokers includes cash collateral received and posted from OTC and repurchase agreementcounterparties. At June 30, 2019, the Partnership’s due from/to brokers includes a total non-U.S.currency payable balance of $84,676,317.

5. Allocation of Net Income or Net LossIn accordance with the provisions of the Agreement, net income or net loss of the Partnership is allocatedto the general capital account of the Feeder and General Partner in proportion to their respective generalcapital accounts.

Net income or net loss is allocated each fiscal period, as defined in the Agreement, or at other times duringthe fiscal year when capital contributions and withdrawals are made by the Feeder or General Partner. TheFeeder’s percentage ownership of the Partnership will increase when the General Partner withdraws capitalor decrease when the General Partner contributes additional capital. Therefore, the allocation of net incomeand net loss may vary, between the Feeder and the General Partner, based upon the timing of capitaltransactions throughout the period.

The Partnership may invest, directly or indirectly, in equity securities in initial public offerings deemed“new issues” under Rule 5130 of the Financial Industry Regulatory Authority (“FINRA”) ConsolidatedRulebook. “New issues” are defined as any initial public offering of an equity, regardless of whethersuch security is trading at a premium in the secondary market. FINRA members generally may not sell“new issues” to an account, in which certain persons or entities designated as restricted persons havebeneficial interest. Gains and losses from “new issues” are allocated primarily to those investors in theFeeder who are deemed to be unrestricted by the General Partner and up to 10% can be allocated to theGeneral Partner.

The General Partner receives an incentive allocation equal to 20% of the net profit allocated to eachshareholder invested in each series of Class A, B, C, D, E, F, H, N, O, P and Q as defined in theAgreement (the “Full Incentive Allocation”). If a shareholder invested in the Feeder has a net loss duringany fiscal year and, during subsequent years, there is a net profit attributable to such shareholder, theshareholder must recover an amount equal to 2.5 times the amount of the net loss chargeable in the prioryears before the General Partner is entitled to the Full Incentive Allocation. Until this occurs, theshareholder invested in the Feeder will be subject to a reduced incentive allocation equal to half of theFull Incentive Allocation. The General Partner, in its sole discretion, may elect to reduce, waive orcalculate differently the Full Incentive Allocation of the Feeder and its underlying investors that arepartners, members, employees, affiliates or other related investors of the Investment Manager or theGeneral Partner. For the period from January 1, 2019 through June 30, 2019, the General Partnerreceived an incentive allocation of $85,568,931. This amount has provisionally been allocated to theGeneral Partner, however, the amount will not be fully realized until the end of the fiscal year, and issubject to change.




6. Related Party TransactionsEffective January 1, 2019, the investment management agreement was updated, changing themanagement fee terms of the various share classes. Pursuant to the investment management agreement,the Partnership pays the Investment Manager a management fee equal to 2% per annum of the net assetvalue of the Class A, B, C, D, E, F, and H shares of the Feeder, and 1.5% per annum of the net assetvalue of the Class N, O, P and Q shares of the Feeder as of the beginning of each month before theaccrual of any incentive fee. The Investment Manager, in its sole discretion, may elect to reduce, waive,or calculate differently the management fee with respect to partners, members, employees, affiliates orother related investors of the Investment Manager of the General Partner. For the period ended June 30,2019, the management fee was $50,797,255, of which $294,504 was payable at June 30, 2019.

As set forth in the Agreement, certain fees including closing, directors’, or break-up fees paid to theInvestment Manager or its affiliates as a result of the Partnership’s investments will be treated as anoffset against the Partnership’s management fee. For the period ended June 30, 2019, $85,261 ofdirectors’ fees were treated as an offset against the management fee.

As of June 30, 2019, the Partnership did not have an outstanding balance due to the InvestmentManager. In accordance with the Agreement, professional fees paid by the Investment Manager on behalfof the Partnership would be included in accrued expenses in the Statements of Financial Condition. Forthe period ended June 30, 2019, the Investment Manager paid $149,153 of expenses on behalf of thePartnership, which are included in administrative and professional fees, research fees, and other expensesin the Statements of Operations. The amounts are non-interest bearing and are intended to be reimbursedby the Partnership through distributions of current income and distributions of proceeds.

The Partnership has entered into a limited partnership agreement, as a limited partner, with TP LuxHoldco LP (“Cayman HoldCo”), an affiliate of the Investment Manager. Cayman HoldCo wasorganized as a limited partnership under the laws of the Cayman Islands and will invest and hold debtand equity interests in TP Lux HoldCo S.a.r.l, a Luxembourg private limited liability company(“LuxCo”), also an affiliate of the Investment Manager. LuxCo was established under the laws of theGrand-Duchy of Luxembourg and its principle objective is to act as a collective investment vehiclethrough which purchases of certain European debt and equity investments will be pooled. Certain debtand equity instruments will be purchased by LuxCo and will be financed through the issuance of the debtand equity instruments purchased by Cayman HoldCo. At June 30, 2019, the fair value of the investmentin Cayman Holdco was $612,004. The Partnership did not make any contributions to Cayman Holdcoduring the period ended June 30, 2019. The Partnership’s pro rata interest in the investments of LuxCoand the related income and expense are reflected accordingly on the accompanying Statements ofFinancial Condition and the Statements of Operations. The valuation policy with respect to theseinvestments is the same as the Partnership’s valuation policy as described in Note 2. The Partnershipinvests in Cayman HoldCo alongside other affiliated entities.

The Partnership holds an equity interest in Cloudbreak II Cayman Ltd and Cloudbreak II US LLC(collectively, the “Cloudbreak entities”) which are affiliates of the Investment Manager. The Partnershipinvests in the Cloudbreak entities alongside other investment funds managed by the Investment Manager.These entities are invested in a structure whose primary purpose is to purchase consumer loans andwarrants from a marketplace lending platform. At June 30, 2019, the Cloudbreak entities held $693,751million of the Partnership’s asset backed security investments which are included in investments insecurities, at fair value in the Statements of Financial Condition. The Partnership’s pro rata interests inthe underlying investments are registered in the name of Cloudbreak II US LLC and the related incomeand expenses are reflected in the Statements of Operations. The valuation policy with respect to thisinvestment is further described in Note 2.



6. Related Party Transactions (continued)The Partnership holds an equity interest in Cloudbreak Aggregator LP, which is an affiliate of theInvestment Manager. The Company invests in the Cloudbreak Aggregator LP alongside other investmentfunds managed by the Investment Manager. The primary purpose of this entity is to invest in Far PointLLC, the sponsor of Far Point Acquisition Corporation “FPAC”. FPAC is a New York Stock Exchangelisted special acquisition corporation. As of June 30, 2019, Cloudbreak Aggregator LP held $13,920,355million of the Partnership’s investments in limited partnerships which are included in investments insecurities, at fair value on the Statement of Financial Condition. The related income and expenses arereflected in the Statements of Operations. The valuation policy with respect to this investment is furtherdescribed in Note 2. Cloudbreak Aggregator LP committed to purchase shares of the FPAC Class Acommon stock for $9.50 per share in a private placement that will close simultaneously with the closingof the FPAC’s Initial Business Combination (the “Back Stop”). The Back Stop shares to be purchased willbe a number of shares equal to (A) the excess of the number of shares of Class A common stock that areredeemed from holders in connection with the FPAC’s Initial Business Combination over 20,000,000,multiplied by (B) a fraction, the numerator of which is $10.00 and the denominator of which is $9.50.The maximum Back Stop commitment amount is $202.9 million. The Partnership’s maximum exposureto loss as a result of its involvement with this investment is limited to the carrying value of the investmentand the commitment.

At June 30, 2019, the Partnership held nine affiliated special purpose vehicles (the “SPVs”), including theCloudbreak entities, TP Trading II LLC and Cloudbreak Aggregator LP discussed above, which arecompanies organized for the purpose of achieving certain tax, regulatory or administrative efficiencies.The Partnership’s pro rata interest in the underlying assets and liabilities of the SPVs and the relatedincome and expense are reflected accordingly on the accompanying Statements of Financial Condition,and the Statements of Operations. As of June 30, 2019, the total fair value of the SPVs was$102,277,860. The valuation policy with respect to investments held by the SPVs is the same as thePartnership’s valuation policy as described in Note 2. The Partnership invests in the SPVs alongside otheraffiliated entities.

Third Point Loan LLC (“Loan LLC”) and Third Point Ventures LLC (“Ventures LLC”), (collectively the“Nominees”), serve as nominees of the Partnership and other affiliated investment management clients ofthe Investment Manager for certain investments. The Nominees have appointed the Investment Manageras their true and lawful agent and attorney. At June 30, 2019, Loan LLC held $321,512,401 andVentures LLC held $365,891,513 of the Partnership’s investments which are included in investments insecurities in the Statements of Financial Condition. The Partnership’s pro rata interest in the underlyinginvestments registered in the name of the Nominees and the related income and expense are reflectedaccordingly in the accompanying Statements of Financial Condition, and the Statements of Operations.The valuation policy with respect to investments held by the Nominees is the same as the Partnership’svaluation policy as described in Note 2.

As of June 30, 2019, Third Point Offshore Investors Limited (“ListCo”), a London Stock Exchange listedentity that is managed by the Investment Manager, redeemed 3,379,753 of ListCo shares held by thePartnership. As part of ListCo’s share buy-back program, the Partnership has the ability to purchaseshares in the after-market or as part of corporate actions. All gains or losses and implied financing costsare allocated entirely to ListCo’s shares in the feeder. The Partnership recognized gains of $28,056,377related to the share redemption.

The Partnership is a limited partner in Third Point Hellenic Recovery U.S. Feeder Fund, L.P. (the “HellenicFund”), which is an affiliate of the Investment Manager. The Hellenic Fund was formed as a limitedpartnership under the laws of the Cayman Islands and invests in and holds debt and equity interests inGreek and Cypriot companies. The Partnership’s interest in the Hellenic Fund is highly illiquid due to the




6. Related Party Transactions (continued)nature of underlying investments. The Partnership committed $73,238,361 to the Hellenic Fund, of whichthere were no calls and $620,689 was distributed during the period ended June 30, 2019. The distributionsreceived by the Partnership during the period ended June 30, 2019 were treated as a return of capital andincluded in net change in unrealized gain on affiliated funds and foreign currency translations in theStatements of Operations. As of June 30, 2019, the Partnership’s remaining unfunded commitment to theHellenic Fund was $21,801,170. As of June 30, 2019, the estimated fair value of the investment in theHellenic Fund was $50,422,621. The valuation policy with respect to this investment in a limitedpartnership is further described in Note 2.

7. Financial Instruments with Off-Balance Sheet Risk or Concentrations of Credit RiskIn the normal course of its business, the Partnership trades various financial instruments and engages invarious investment activities with off-balance sheet risk. These financial instruments include securities sold,not yet purchased, forwards, futures, options, swaptions, swaps and contracts for differences. Generally,these financial instruments represent future commitments to purchase or sell other financial instruments atspecific terms at specified future dates. Each of these financial instruments contains varying degrees of off-balance sheet risk whereby changes in the fair values of the securities underlying the financial instrumentsor fluctuations in interest rates and index values may exceed the amounts recognized in the Statements ofFinancial Condition.

Securities sold, not yet purchased are recorded as liabilities in the Statements of Financial Condition andhave market risk to the extent that the Partnership, in satisfying its obligations, may have to purchasesecurities at a higher value than that recorded in the Statements of Financial Condition. The Partnership’sinvestments in securities and amounts due from brokers are partially restricted until the Partnership satisfiesthe obligation to deliver securities sold, not yet purchased.

Forward and future contracts are a commitment to purchase or sell financial instruments, currencies orcommodities at a future date at a negotiated rate. Forward and future contracts expose the Partnership tomarket risks to the extent that adverse changes occur to the underlying financial instruments such ascurrency rates or equity index fluctuations.

Option contracts give the purchaser the right but not the obligation to purchase or sell to the optionwriter financial instruments, commodities or currencies within a defined time period for a specified price.The premium received by the Partnership upon writing an option contract is recorded as a liability,marked to market on a daily basis and is included in securities sold, not yet purchased in the Statementsof Financial Condition. In writing an option, the Partnership bears the market risk of an unfavorablechange in the financial instrument underlying the written option. Exercise of an option written by thePartnership could result in the Partnership selling or buying a financial instrument at a price differentfrom the current fair value.

In the normal course of trading activities, the Partnership trades and holds certain fair value derivativecontracts, such as written options, which constitute guarantees. The maximum payout for written putoptions is limited to the number of contracts written and the related strike prices and the maximumpayout for written call options is contingent upon the market price of the underlying security at the dateof a payout event. At June 30, 2019, the portfolio had a maximum payout amount of $1,465,328,800relating to written put equity option contracts with expiration ranging from 1 months to 3 months fromthe Statements of Financial Condition date. The maximum payout amount could be offset by thesubsequent sale, if any, of assets obtained via the settlement of a payout event. The fair value of thesewritten put equity options as of June 30, 2019 is $6,209,515 and is included in investments in securities,securities sold, not yet purchased and derivative contracts in the Statements of Financial Condition. Referto note 8 for additional disclosures regarding the Partnership’s collateral policy.



7. Financial Instruments with Off-Balance Sheet Risk or Concentrations of Credit Risk (continued)Swaption contracts give the Partnership the right, but not the obligation, to enter into a specifiedinterest-rate swap within a specified period of time. The Partnership’s market and counterparty creditrisk is limited to the premium paid to enter into the swaption contract and fair value.

Total return swaps and total return basket swaps, contracts for differences, index swaps, and interestrate swaps that involve the exchange of cash flows between the Partnership and counterparties based onthe change in market value of a particular equity, index, or interest rate on a specified notional holding.The use of these contracts exposes the Partnership to market risks equivalent to actually holdingsecurities of the notional value but typically involve little capital commitment relative to the exposureachieved. The gains or losses of the Partnership may therefore be magnified on the capital commitment.

Credit default swaps protect the buyer against the loss of principal on one or more underlying bonds,loans, or mortgages in the event the issuer suffers a credit event. Typical credit events include failure topay or restructuring of obligations, bankruptcy, dissolution or insolvency of the underlying issuer. Thebuyer of the protection pays an initial and/or a periodic premium to the seller and receives protection forthe period of the contract. If there is not a credit event, as defined in the contract, the buyer receives nopayments from the seller. If there is a credit event, the buyer receives a payment from the seller ofprotection as calculated by the contract between the two parties.

The Partnership may also enter into index and/or basket credit default swaps where the credit derivative mayreference a basket of single-name credit default swaps or a broad-based index. Generally, in the event of adefault on one of the underlying names, the buyer will receive a pro-rata portion of the total notional amountof the credit default index or basket contract from the seller. When the Partnership purchases single-name,index and basket credit default swaps, the Partnership is exposed to counterparty nonperformance.

Upon selling credit default swap protection, the Partnership may expose itself to the risk of loss fromrelated credit events specified in the contract. Credit spreads of the underlying together with the period ofexpiration is indicative of the likelihood of a credit event under the credit default swap contract and thePartnership’s risk of loss. Higher credit spreads and shorter expiration dates are indicative of a higherlikelihood of a credit event resulting in the Partnership’s payment to the buyer of protection. Lower creditspreads and longer expiration dates would indicate the opposite and lowers the likelihood the Partnershipneeds to pay the buyer of protection. At June 30, 2019, there was no cash collateral received specificallyrelated to written credit default swaps as collateral is based on the net exposure associated with allderivative instruments subject to applicable netting agreements with counterparties and may not be specificto any individual derivative contract. The following table sets forth certain information related to thePartnership’s written credit derivatives as of June 30, 2019:

Maximum Payout/ Notional Amount(by period of expiration)

Fair Value of WrittenCredit

Derivatives(2)

Credit Spreads on underlying (basis points)0-5 years

$

5 years orGreater Expiring

Through 2047$

Total WrittenCredit Default

Swaps(1)

$Asset

$Liability

$

Net Asset/(Liability)

$

Single name (0-250) – 7,875,379 7,875,379 216 – 216

(1) As of June 30, 2019, the Company did not hold any offsetting buy protection credit derivatives with the same underlyingreference obligation.

(2) Fair value amounts of derivative contracts are shown on a gross basis prior to cash collateral or counterparty netting.

In addition to off-balance sheet risks related to specific financial instruments, the Partnership may besubject to concentration of credit risk with particular counterparties. Substantially all securities




7. Financial Instruments with Off-Balance Sheet Risk or Concentrations of Credit Risk (continued)transactions of the Partnership are cleared by several major securities firms. The Partnership hadsubstantially all such individual counterparty concentration with these brokers or their affiliates as ofJune 30, 2019. However, the Partnership reduces its credit risk with counterparties by entering intomaster netting agreements.

The Partnership’s maximum exposure to credit risk associated with counterparty nonperformance onderivative contracts is limited to the net unrealized gains by counterparty inherent in such contractswhich are recognized in the Statements of Financial Condition. At June 30, 2019, the Partnership’smaximum counterparty credit risk exposure was $114,091,798.

8. Derivative ContractsThe Partnership enters into derivative contracts to manage credit risk, interest rate risk, currencyexchange risk, and other exposure risks. The Partnership uses derivatives in connection with its risk-management activities to hedge certain risks and to gain exposure to certain investments. The utilizationof derivative contracts also allows for an efficient means in which to trade certain asset classes. Thederivatives that the Partnership invests in are primarily swaps, forwards, futures, options, swaptions andcontracts for differences. Typically, derivatives serve as a component of the Partnership’s investmentstrategy and are utilized primarily to structure the portfolio, or individual investments, to economicallymatch the investment objective of the Partnership. Fair values of derivatives are determined by usingquoted market prices and counterparty quotes when available; otherwise fair values are based on pricingmodels that consider the time value of money, volatility, and the current market and contractual prices ofunderlying financial instruments.



8. Derivative Contracts (continued)The following table identifies the volume and fair value amounts of derivative instruments included inderivative contracts on the Statements of Financial Condition, categorized by primary underlying risk, asof June 30, 2019. Balances are presented on a gross basis, prior to the application of the impact ofcounterparty netting.

As of June 30, 2019

Listing currency (1)

Fair Value (2)

$

NotionalAmounts (3)

$Derivative Assets by Primary Underlying Risk*Commodity Price

Commodity Future Options – Purchased USD 82,931 1,080,870,625Commodity Futures – Long Contracts USD 1,425,263 2,245,038,225

CreditCredit Default Swaps – Protection Purchased USD 9,335,182 94,252,735Credit Default Swaps – Protection Sold USD 216 7,875,379

Equity PriceContracts for Differences – Long Contracts BRL/EUR/USD 26,735,970 271,971,465Contracts for Differences – Short Contracts USD/EUR/JPY 17,384,125 94,752,080Total Return Swaps – Long Contracts USD/JPY 45,027,143 489,868,144Total Return Swaps – Short Contracts JPY 152,803 5,982,367Options Contracts – Sold USD 14,799,663 1,313,530,900

Foreign Currency Exchange RatesForeign Currency Forward Contracts CNH/HKD 2,061,063 513,811,759Foreign Currency Options – Purchased EUR/USD 7,250,175 14,762,221,281

Interest RatesInterest Rate Swaptions USD 121,944 363,237,681

Total Derivative Assets 124,376,478 21,243,412,641

Derivative Liabilities by Primary Underlying Risk*Credit

Credit Default Swaps – Protection Purchased USD 111,497 470,426Equity Price

Contracts for Differences – Long Contracts USD 11,275,264 35,956,800Contracts for Differences – Short Contracts AUD/CHF/EUR/GBP/

HKD/JPY/SEK/USD 53,083,095 763,321,945Total Return Swaps – Long Contracts USD 13,444,081 275,254,552Total Return Swaps – Short Contracts AUD/JPY/USD 6,150,445 89,306,952Index Futures – Short Contracts JPY 2,910,444 279,915,936Options Contracts – Sold USD 9,602,907 1,578,517,800

Foreign Currency Exchange RatesForeign Currency Forward Contracts CHF/EUR 881,695 168,946,538

Interest RatesCommodity Futures – Short Contracts USD 1,197,313 2,243,555,900Interest Rate Swaptions USD 25,523 221,139,523Sovereign Futures – Short Contracts USD 444,966 60,790,053

Total Derivative Liabilities 99,127,230 5,717,176,425

(1) AUD= Australian Dollar, BRL = Brazilian Real, CHF = Swiss Franc, CNH = Chinese Yuan, EUR = Euro, GBP = BritishPound, HKD = Hong Kong Dollar, JPY = Japanese Yen, SAR = Saudi Arabian Riyal, SEK = Swedish Krone, USD = US Dollar

(2) The Fair Value presented above includes the fair value of Derivative Contracts as well as option contract assets of$14.8 million included in Investments in Securities, at fair value in the Statement of Financial Condition and option contractliabilities of $9.6 million included in Securities sold, not yet purchased, at fair value in the Statement of Financial Condition.

(3) The absolute notional exposure represents the Partnership’s derivative activity as of June 30, 2019, which is representative ofthe volume of derivatives held during the period.




8. Derivative Contracts (continued)The following table sets forth by major risk type the Partnership realized and unrealized gains/(losses)related to trading activities for the period ended June 30, 2019. These realized and unrealized gains/(losses) are included in the net realized and net change in unrealized gain/loss from securities, affiliatedfunds, derivative contracts and foreign currency translations on the Statements of Operations.

RealizedGain/(Loss)

$

UnrealizedGain/(Loss)

$

Primary Underlying Risk

Commodity Price

Commodity Futures – Long Contracts (8,830) 1,425,263

Commodity Future Options – Purchased (17,184) (1,078,107)

Commodity Futures – Short Contracts (18,244) (1,197,313)

Credit

Credit Default Swaps – Protection Purchased (5,695,918) (8,559,780)

Credit Default Swaps – Protection Sold (6,417,870) 9,806,146

Equity Price

Contracts for Differences – Long Contracts 12,029,860 53,609,519

Contracts for Differences – Short Contracts (36,579,587) (62,650,267)

Total Return Swaps – Long Contracts 46,551,986 51,019,779

Total Return Swaps – Short Contracts 971,684 (5,697,778)

Options Contracts – Purchased (27,495,399) 537,334

Options Contracts – Sold 15,589,434 12,516,855

Index

Index Futures – Short Contracts 2,820,558 (2,910,444)

Interest Rates

Interest Rate Swaptions – (4,971,019)

Sovereign Futures – Short Contracts (4,847,595) 1,480,755

Foreign Currency Exchange Rates

Foreign Currency Forward Contracts 5,210,241 683,905

Foreign Currency Options – Purchased 5,322 1,856,626

Total 2,098,458 45,871,474



8. Derivative Contracts (continued)The Partnership’s derivative contracts are generally subject to the International Swaps and DerivativesAssociation (“ISDA”) Master Agreements or other similar agreements which contain provisions settingforth events of default and/or termination events (“credit-risk-related contingent features”), including butnot limited to provisions setting forth maximum permissible declines in the Partnership’s net asset value.Upon the occurrence of a termination event with respect to an ISDA Agreement, the Partnership’scounterparty could elect to terminate the derivative contracts governed by such agreement, resulting inthe realization of any net gains or losses with respect to such derivative contracts and the return ofcollateral held by such party. During the period ended June 30, 2019, no termination events weretriggered under the ISDA Master Agreements. As of June 30, 2019, the aggregate fair value of allderivative instruments with credit-risk-related contingent features that are in a net liability position is$42,456,322 for which the Partnership has posted $300,863,398 collateral in the normal course ofbusiness. Similarly the Partnership obtains/provides collateral from/to various counterparties for OTCderivative contracts in accordance with bilateral collateral agreements. Similarly, the Partnership heldcollateral of $2,590,000 in the form of cash from certain counterparties as of June 30, 2019. If thecredit-risk-related contingent features underlying these instruments had been triggered as of June 30,2019 and the Partnership had to settle these instruments immediately, no additional amounts would berequired to be posted by the Partnership since the aggregate fair value of the required collateral postedexceeded the settlement amounts of open derivative contracts or in the case of cross marginingrelationships, the assets in the Partnership’s prime brokerage accounts are sufficient to offset derivativeliabilities.

The Partnership’s derivatives do not qualify as hedges for financial reporting purposes and are recordedin the Statements of Financial Condition on a gross basis and not offset against any collateral pledged orreceived. Pursuant to the ISDA master agreements, securities lending agreements, repurchase agreementsand other counterparty agreements, the Partnership and its counterparties typically have the ability to netcertain payments owed to each other in specified circumstances. In addition, in the event a party to oneof the ISDA master agreements, securities lending agreements, repurchase agreements or other derivativesagreements defaults, or a transaction is otherwise subject to termination, the non-defaulting partygenerally has the right to set off against payments owed to the defaulting party or collateral held by thenon-defaulting party.




8. Derivative Contracts (continued)The Partnership has elected not to offset derivative assets against liabilities subject to master nettingagreements nor does it offset collateral amounts received or pledged against the fair values of the relatedderivative instruments. Accordingly, the Partnership presents all derivative and collateral amounts in theStatements of Financial Condition on a gross basis. As of June 30, 2019, the gross and net amounts ofderivative instruments and the cash collateral applicable to derivative instruments were as follows:

Financial Assets, Derivative Assets and Collateral received by Counterparty:

Derivative Contracts

Gross Amounts of AssetsPresented in the Statement

of Financial Condition(1)

$

FinancialInstruments

$

Cash CollateralReceived

$Net Amount

$

Counterparty 1 235,569 79,190 – 156,379

Counterparty 2 26,831,486 15,771,936 – 11,059,550

Counterparty 3 14,031,976 14,031,976 – –

Counterparty 4 47,213,100 2,488,317 – 44,724,783

Counterparty 5 12,104,270 12,104,270 – –

Counterparty 6 345,904 345,904 – –

Counterparty 8 7,063,245 7,063,245 – –

Counterparty 9 216,465 216,465 – –

Counterparty 10 180,334 – – 180,334

Counterparty 14 4,106,780 – 1,040,000 3,066,780

Counterparty 16 844,340 – 844,340 –

Counterparty 17 918,329 – 400,000 518,329

Total 114,091,798 52,101,303 2,284,340 59,706,155



8. Derivative Contracts (continued)Financial Liabilities, Derivative Liabilities and Collateral pledged by Counterparty:

Derivative Contracts

Gross Amounts of LiabilitiesPresented in the Statement

of Financial Condition(2)

$

FinancialInstruments

$

Cash CollateralPledged

$Net Amount

$

Counterparty 1 79,190 79,190 – –

Counterparty 2 15,771,936 15,771,936 – –

Counterparty 3 28,546,958 14,031,976 14,514,982 –

Counterparty 4 2,488,317 2,488,317 – –

Counterparty 5 13,178,686 12,104,270 1,074,416 –

Counterparty 6 15,456,235 345,904 15,110,331 –

Counterparty 8 14,422,241 7,063,245 – 7,358,996

Counterparty 9 4,614,062 216,465 4,397,597 –

Total 94,557,625 52,101,303 35,097,326 7,358,996

Repurchase Agreements/Loaned Securities

Counterparty 3 12,202,592 12,202,592 – –

Counterparty 4 4,130,032 4,130,032 – –

Total 16,332,624 16,332,624 – –

(1) The Gross Amounts of Assets Presented in the Statement of Financial Condition presented above includes the fair value ofDerivative Contract assets as well as gross OTC option contract assets of $4.51 million included in Other Investments in theStatement of Financial Condition.

(2) The Gross Amounts of Liabilities Presented in the Statement of Financial Condition presented above includes the fair value ofDerivative Contract assets as well as gross OTC option contract assets of $5.03 million included in Securities Sold, not yetPurchased in the Statement of Financial Condition.

9. IndemnificationsIn the normal course of business, the Partnership enters into contracts that contain a variety ofindemnifications and warranties. The Partnership’s maximum exposure under these arrangements isunknown, as this would involve future claims that may be made against the Partnership that have not yetoccurred. However, the Partnership has not had prior claims or losses pursuant to these contracts andexpects the risk of loss to be remote. Thus, no amounts have been accrued related to suchindemnifications. The Partnership also indemnifies the General Partner, the Investment Manager andemployees from and against any loss or expense, including, without limitation any judgment, settlement,legal fees and other costs. Any expenses related to this indemnification would be reflected inadministrative and professional fees in the Statements of Operations. The Partnership did not incur anyexpenses related to indemnifications for the period ended June 30, 2019.

10. CommitmentsInvestment fund interests purchased by the Partnership may include financing commitments obligatingthe Partnership to advance additional amounts on demand. At June 30, 2019, the Partnership hadunfunded capital commitments of $227,020,345, which includes commitments to CloudbreakAggregator LP of $202.9 million as described in Note 6.




11. Financial HighlightsThe following represents the ratios to average Feeder capital and total return information for the periodended June 30, 2019:

Ratios to average Feeder capital:

Total expenses 1.52%

Incentive allocation 1.38%

Total expenses and incentive allocation 2.90%

Net investment income 0.14%

The ratios above are calculated for the Feeder taken as a whole. The computation of such ratios based onthe amount of expenses, incentive allocation, and net investment income assessed to each shareholder’sinvestment in the Feeder may vary from these ratios. The net investment income ratio does not reflect theeffect of any incentive allocation.

Total return before incentive allocation 14.46%

Incentive allocation (1.44%)

Total return after incentive allocation 13.02%

Total return is calculated for the Feeder’s investment in the Partnership taken as a whole. Eachshareholder’s return on their investment in the Feeder may vary from these returns.

12. Subsequent EventsSubsequent to June 30, 2019, the Partnership received approximately $20.5 million in capitalcontributions, and recorded capital withdrawal requests of approximately $141.0 million for the quarterended September 30, 2019. Subsequent events were evaluated by the Partnership’s management untilAugust 28, 2019, which is the date the financial statements were available to be issued.



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