Attached files

file filename
10-K - FORM 10-K - DIVERSIFIED 2000 FUTURES FUND L.P.d293551d10k.htm
EX-99.2 - FINANCIAL STATEMENTS OF CMF GRAHAM CAPITAL MASTER FUND L.P. - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex992.htm
EX-32.1 - SECTION 1350 CERTIFICATION OF PRESIDENT AND DIRECTOR - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex321.htm
EX-99.3 - FINANCIAL STATEMENTS OF CMF SANDRIDGE MASTER FUND L.P. - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex993.htm
EX-31.1 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF PRESIDENT AND DIRECTOR - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex311.htm
EX-99.4 - FINANCIAL STATEMENTS OF ECKHARDT MASTER FUND L.P. - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex994.htm
EX-99.1 - FINANCIAL STATEMENTS OF CMF ASPECT MASTER FUND L.P. - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex991.htm
EX-31.2 - RULE 13A-14(A)/15D-14(A) CERTIFICATION OF CHIEF FINANCIAL OFFICER - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex312.htm
EX-99.6 - FINANCIAL STATEMENTS OF PGR MASTER FUND L.P. - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex996.htm
EX-10.7(A) - LETTER FROM THE GENERAL PARTNER EXTENDING MGMT AGREEMENT WITH ECKHARDT TRADING - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex107a.htm
EX-10.9(A) - LETTER FROM THE GENERAL PARTNER EXTENDING MGMT AGREEMENT WITH GRAHAM CAPITAL - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex109a.htm
EX-10.5(A) - LETTER FROM THE GENERAL PARTNER EXTENDING ADVISORY AGREEMENT - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex105a.htm
EX-10.6(A) - LETTER FROM THE GENERAL PARTNER EXTENDING MGMT WITH ASPECT CAPITAL LIMITED - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex106a.htm
EX-10.11(A) - LETTER FROM THE GENERAL PARTNER EXTENDING MGMT AGREEMENT WITH PGR CAPTIAL LLP - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex1011a.htm
EX-10.10(A) - LETTER FROM THE GENERAL PARTNER EXTENDING MGMT AGREEMENT WITH WAYPOINT CAPITAL - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex1010a.htm
EXCEL - IDEA: XBRL DOCUMENT - DIVERSIFIED 2000 FUTURES FUND L.P.Financial_Report.xls
EX-32.2 - SECTION 1350 CERTIFICATION OF CHIEF FINANCIAL OFFICER - DIVERSIFIED 2000 FUTURES FUND L.P.d293551dex322.htm

Exhibit 99.5

To the Limited Partners of

Waypoint Master Fund L.P.

To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.

 

LOGO

 

By:  

Walter Davis

President and Director

Ceres Managed Futures LLC

General Partner,

Waypoint Master Fund L.P.

Ceres Managed Futures LLC

522 Fifth Avenue

14th Floor

New York, NY 10036

212-296-1999


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

Waypoint Master Fund L.P.:

We have audited the accompanying statements of financial condition of Waypoint Master Fund L.P. (the “Partnership”), including the condensed schedule of investments, as of December 31, 2011 and 2010, and the related statements of income and expenses and changes in partners’ capital for the year ended December 31, 2011 and for the period March 1, 2010 (commencement of trading operations) to December 31, 2010. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the financial position of Waypoint Master Fund L.P. as of December 31, 2011, and 2010, and the results of its operations and its changes in its partners’ capital for the year ended December 31, 2011 and for the period March 1, 2010 (commencement of trading operations) to December 31, 2010, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

New York, New York

March 23, 2012


Waypoint Master Fund L.P.

Statements of Financial Condition

December 31, 2011 and 2010

 

     2011      2010  

Assets:

     

Equity in trading account:

     

Cash (Note 3c)

   $ 34,361,255       $ 37,616,481   

Cash margin (Note 3c)

     3,823,193         2,729,347   

Net unrealized appreciation on open futures contracts

     948,970         491,759   

Net unrealized appreciation on open forward contracts

     127,149         469,389   
  

 

 

    

 

 

 

Total assets

   $ 39,260,567       $ 41,306,976   
  

 

 

    

 

 

 

Liabilities and Partners’ Capital:

     

Liabilities:

     

Accrued expenses:

     

Professional fees

   $ 68,237       $ 59,330   
  

 

 

    

 

 

 

Total liabilities

     68,237         59,330   
  

 

 

    

 

 

 

Partners’ Capital:

     

General Partner, 0.0000 unit equivalents at December 31, 2011 and 2010

    

  
    

  

Limited Partners, 33,917.4909 and 34,095.6706 Redeemable Units outstanding at December 31, 2011 and 2010, respectively

     39,192,330         41,247,646   
  

 

 

    

 

 

 

Total liabilities and partners’ capital

   $ 39,260,567       $ 41,306,976   
  

 

 

    

 

 

 

Net asset value per unit

   $ 1,155.52       $ 1,209.76   
  

 

 

    

 

 

 

See accompanying notes to financial statements.


Waypoint Master Fund L.P.

Condensed Schedule of Investments

December 31, 2011

 

     Notional ($)/
Number of
Contracts
     Fair Value     % of Partners’
Capital
 

Futures Contracts Purchased

       

Grains

     84       $ 45,312        0.12

Interest Rates U.S.

     307         110,728        0.28   

Interest Rates Non-U.S.

     869         311,405        0.80   
     

 

 

   

 

 

 

Total futures contracts purchased

        467,445        1.20   
     

 

 

   

 

 

 

Futures Contracts Sold

       

Currencies

     243         382,616        0.98   

Energy

     21         102,190        0.26   

Indices

     7         (9,326     (0.02

Metals

     20         32,670        0.08   

Softs

     20         (26,625     (0.07
     

 

 

   

 

 

 

Total futures contracts sold

        481,525        1.23   
     

 

 

   

 

 

 

Unrealized Appreciation on Open Forward Contracts

       

Currencies

   $ 7,834,919         127,149        0.32   
     

 

 

   

 

 

 

Net unrealized appreciation on open forward contracts

        127,149        0.32   
     

 

 

   

 

 

 

Net fair value

      $ 1,076,119        2.75
     

 

 

   

 

 

 

 

See accompanying notes to financial statements.


Waypoint Master Fund L.P.

Condensed Schedule of Investments

December 31, 2010

 

     Notional ($)/
Number of
Contracts
     Fair Value     % of Partners’
Capital
 

Futures Contracts Purchased

       

Currencies

     339       $ 467,727        1.13

Indices

     117         (24,968     (0.06

Metals

     17         138,125        0.34   
     

 

 

   

 

 

 

Total futures contracts purchased

        580,884        1.41   
     

 

 

   

 

 

 

Futures Contracts Sold

       

Currencies

     115         (89,125     (0.22
     

 

 

   

 

 

 

Total futures contracts sold

        (89,125     (0.22
     

 

 

   

 

 

 

Unrealized Appreciation on Open Forward Contracts

       

Currencies

   $ 17,616,506         469,389        1.14   
     

 

 

   

 

 

 

Net unrealized appreciation on open forward contracts

        469,389        1.14   
     

 

 

   

 

 

 

Net fair value

      $ 961,148        2.33
     

 

 

   

 

 

 

See accompanying notes to financial statements.


Waypoint Master Fund L.P.

Statements of Income and Expenses

for the year ended December 31, 2011 and for the period March 1, 2010

(commencement of trading operations)

to December 31, 2010

 

     2011     2010  

Investment Income:

    

Interest Income

   $ 11,715      $ 38,451   
  

 

 

   

 

 

 

Expenses:

    

Clearing fees

     145,047        106,133   

Professional fees

     64,888        65,600   
  

 

 

   

 

 

 

Total expenses

     209,935        171,733   
  

 

 

   

 

 

 

Net investment income (loss)

     (198,220     (133,282
  

 

 

   

 

 

 

Trading Results:

    

Net gains (losses) on trading of commodity interests:

    

Net realized gains (losses) on closed contracts

     (1,651,955     6,918,626   

Change in net unrealized gains (losses) on open contracts

     114,971        961,148   
  

 

 

   

 

 

 

Total trading results

     (1,536,984     7,879,774   
  

 

 

   

 

 

 

Net income (loss)

   $ (1,735,204   $ 7,746,492   
  

 

 

   

 

 

 

Net income (loss) per unit* (Note 6)

   $ (53.89   $ 210.83   
  

 

 

   

 

 

 

Weighted average units outstanding:

     33,512.6512        36,640.3589   
  

 

 

   

 

 

 

 

* Based on change in net asset value per unit.

See accompanying notes to financial statements.


Waypoint Master Fund L.P.

Statements of Changes in Partners’ Capital

for the year ended December 31, 2011

and for the period March 1, 2010

(commencement of trading operations)

to December 31, 2010

 

     Partners’
Capital
 

Initial capital contributions from Limited Partners at March 1, 2010 representing 37,516.8526 Redeemable Units

   $ 37,516,853   

Net income (loss)

     7,746,492   

Subscriptions of 4,964.8457 Redeemable Units

     5,652,674   

Redemptions of 8,386.0277 Redeemable Units

     (9,629,922

Distribution of interest income to feeder funds

     (38,451
  

 

 

 

Partners’ Capital at December 31, 2010

     41,247,646   

Net income (loss)

     (1,735,204

Subscriptions of 6,498.0140 Redeemable Units

     7,668,741   

Redemptions of 6,676.1937 Redeemable Units

     (7,977,138

Distribution of interest income to feeder funds

     (11,715
  

 

 

 

Partners’ Capital at December 31, 2011

   $ 39,192,330   
  

 

 

 

Net asset value per unit:

 

2010:

   $ 1,209.76   
  

 

 

 

2011:

   $ 1,155.52   
  

 

 

 

See accompanying notes to financial statements.


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

1.   Partnership Organization:

Waypoint Master Fund L.P. (the “Master”) is a limited partnership organized under the partnership laws of the State of New York on February 19, 2010, to engage in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, metals and softs. The commodity interests that are traded by the Master are volatile and involve a high degree of market risk. The Master may sell an unlimited number of redeemable units of limited partnership interest (“Redeemable Units”).

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Master. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”) indirectly owns a minority equity interest in MSSB Holdings. Citigroup also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker for the Master. As of December 31, 2011, all trading decisions for the Master are made by the Advisor (defined below).

On March 1, 2010 (commencement of trading operations), Diversified 2000 Futures Fund L.P. (“Diversified 2000”), Global Diversified Futures Fund L.P. (“Global Diversified”), and Emerging CTA Portfolio L.P. (“Emerging CTA”) each allocated a portion of their capital to the Master. Diversified 2000 purchased 5,975.7506 Redeemable Units with cash equal to $5,975,751, Global Diversified purchased 4,959.4220 Redeemable Units with cash equal to $4,959,422 and Emerging CTA purchased 26,581.6800 Redeemable Units with cash equal to $26,581,680. The Master was formed to permit commodity pools managed now or in the future by Waypoint Capital Management LLC (the “Advisor”) using the Diversified Futures Program, the Advisor’s proprietary, systematic trading system to invest together in one trading vehicle.

The Master operates under a structure where its investors consist of Diversified 2000, Global Diversified and Emerging CTA (each a “Feeder,” collectively the “Funds”). Diversified 2000, Global Diversified and Emerging CTA owned approximately 28.4%, 15.8% and 55.8% investments in the Master at December 31, 2011, respectively. Diversified 2000, Global Diversified and Emerging CTA owned approximately 30.8%, 17.2% and 52.0% investments in the Master at December 31, 2010, respectively.

The Master will be liquidated upon the first to occur of the following: December 31, 2030; or under certain other circumstances as defined in the Limited Partnership Agreement of the Master (the “Limited Partnership Agreement”).

 

2.   Accounting Policies:

 

  a. Use of Estimates.    The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

 

  b. Statement of Cash Flows.    The Master is not required to provide a Statement of Cash Flows.

 

  c. Master’s Investments.    All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statement of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses are included in the Statements of Income and Expenses.


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Master’s Level 2 assets and liabilities.

The Master will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the year ended December 31, 2011 and for the period ended December 31, 2010, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

 

     December 31,
2011
     Quoted Prices in
Active Markets
for Identical
Assets (Level 1)
     Significant Other
Observable Inputs
(Level 2)
     Significant
Unobservable
Inputs (Level 3)
 

Assets

           

Futures

   $ 1,160,127       $ 1,160,127       $       $   

Forwards

     127,149                 127,149           
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

     1,287,276         1,160,127         127,149           
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Futures

   $ 211,157       $ 211,157       $       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

     211,157         211,157                   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

   $ 1,076,119       $ 948,970       $ 127,149       $   
  

 

 

    

 

 

    

 

 

    

 

 

 


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

     December 31,
2010*
     Quoted Prices in
Active Markets
for Identical
Assets (Level 1)
     Significant Other
Observable Inputs
(Level 2)
     Significant
Unobservable
Inputs (Level 3)
 

Assets

           

Futures

   $ 621,227       $ 621,227       $       $   

Forwards

     469,389                 469,389           
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

     1,090,616         621,227         469,389           
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Futures

   $ 129,468       $ 129,468       $       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

     129,468         129,468                   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

 

   $ 961,148       $ 491,759       $ 469,389       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  * The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation.

 

  d. Futures Contracts.    The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses.

 

  e. Forward Foreign Currency Contracts.    Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses.

The Master does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses.

 

  f. Income and Expenses Recognition.    All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and allocated pro rata among the Funds at the time of such determination.

 

  g. Income Taxes.    Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Master’s income and expenses.


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Master’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Master level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Master’s financial statements.

The Master files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2010 and 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

 

  h. Subsequent Events.    The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

 

  i. Recent Accounting Pronouncements.    In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify FASB’s intent about the application of existing fair value measurement requirements, and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. ASU 2011-04 is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Master’s financial statements.

In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Master will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Master should also provide the disclosures retrospectively for all comparative periods presented. The Master is currently evaluating the impact that the pronouncement would have on the financial statements.

 

  j. Net Income (Loss) per unit.    Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 6, “Financial Highlights”.

 

3.   Agreements:

 

  a. Limited Partnership Agreement:

The General Partner administers the business and affairs of the Master, including selecting one or more advisors to make trading decisions for the Master.

 

  b. Management Agreement:

The General Partner, on behalf of the Master, has entered into a management agreement (the “Management Agreement”) with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Master. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Funds. The Management Agreement may be terminated upon notice by either party.

 

  c. Customer Agreement:

The Master has entered into a customer agreement (the “Customer Agreement”) with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master’s account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Master. All other fees including CGM’s direct brokerage fees shall be borne by the Funds. All of the Master’s assets are deposited in the Master’s account at CGM. The Master’s cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2011 and 2010, the amounts of cash held by the Master for margin requirements was $3,823,193 and $2,729,347, respectively. The Customer Agreement may be terminated upon notice by either party.

 

4.   Trading Activities:

The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Master’s trading activities are shown in the Statements of Income and Expenses.

The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses on open futures and forwards contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under ASC 210-20, Balance Sheet, have been met.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the year ended December 31, 2011 and for the period ended December 31, 2010 was 1,402 and 1,813, respectively. The monthly average notional value of currency forward contracts held during the year ended December 31, 2011 and for the period ended December 31, 2010 was $79,594,815 and $90,699,947, respectively.


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of December 31, 2011 and 2010.

 

 

Assets

   December 31,
2011
 

Futures Contracts

  

Currencies

   $ 472,885   

Energy

     102,190   

Grains

     45,312   

Interest Rates U.S.

     116,009   

Interest Rates Non-U.S.

     338,011   

Metals

     85,720   
  

 

 

 

Total unrealized appreciation on open futures contracts

   $ 1,160,127   
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

   $ (90,269

Indices

     (9,326

Interest Rates U.S.

     (5,281

Interest Rates Non-U.S.

     (26,606

Metals

     (53,050

Softs

     (26,625
  

 

 

 

Total unrealized depreciation on open futures contracts

   $ (211,157
  

 

 

 

Net unrealized appreciation on open futures contracts

   $ 948,970
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

   $ 127,149   
  

 

 

 

Net unrealized appreciation on open forward contracts

   $ 127,149 ** 
  

 

 

 

 

* This amount in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Conditions.

 

** This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Conditions.


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

Assets    December 31,
2010
 

Futures Contracts

  

Currencies

   $ 467,727   

Indices

     15,375   

Metals

     138,125   
  

 

 

 

Total unrealized appreciation on open futures contracts

   $ 621,227   
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

   $ (89,125

Indices

     (40,343
  

 

 

 

Total unrealized depreciation on open futures contracts

   $ (129,468
  

 

 

 

Net unrealized appreciation on open futures contracts

   $ 491,759
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

   $ 469,389   
  

 

 

 

Net unrealized appreciation on open forward contracts

   $ 469,389 ** 
  

 

 

 

 

* This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

 

** This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.

The following tables indicate the trading gains (losses), by market sector, on derivative instruments for the year ended December 31, 2011 and the period ended December 31, 2010.

 

Sector

   December 31, 2011
Gain (loss) from  trading
    December 31, 2010
Gain (loss) from  trading
 

Currencies

   $ (2,617,127   $ 3,563,092   

Energy

     (11,850     478,070   

Grains

     (16,951     (218,525

Indices

     796,926        1,231,413   

Interest Rates U.S.

     1,153,389        2,042,946   

Interest Rates Non-U.S.

     (1,040,915     593,149   

Metals

     46,673        392,965   

Softs

     152,871        (203,336
  

 

 

   

 

 

 

Total

   $ (1,536,984 )***    $ 7,879,774 *** 
  

 

 

   

 

 

 

 

*** This amount is in “Total trading results” on the Statements of Income and Expenses.

 

5.   Subscriptions, Distributions and Redemptions:

Subscriptions are accepted monthly from investors and they become limited partners on the first day of the month after their subscription is processed. A limited partner may withdraw all or part of their capital contribution and undistributed profits, if any, from the Master in multiples of the net asset value per Redeemable Unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The Redeemable Units are classified as a liability when the limited partner elects to redeem and informs the Master.


Waypoint Master Fund L.P.

Notes to Financial Statements

December 31, 2011

 

6.   Financial Highlights:

Changes in the net asset value per unit for the year ended December 31, 2011 and the period from March 1, 2010 (commencement of trading operations) to December 31, 2010 were as follows:

 

     2011     2010  

Net realized and unrealized gains (losses)*

   $ (52.31   $ 211.61   

Interest income

     0.35        1.07   

Expenses**

     (1.93     (1.85
  

 

 

   

 

 

 

Increase (decrease) for the period

     (53.89     210.83   

Distribution of interest income to feeder funds

     (0.35     (1.07

Net asset value per unit beginning of period

     1,209.76        1,000.00   
  

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,155.52      $ 1,209.76   
  

 

 

   

 

 

 

 

* Includes clearing fees.
** Excludes clearing fees.

 

     2011     2010  

Ratios to average net assets:

    

Net investment income (loss)***

     (0.5 )%      (0.4 )%**** 
  

 

 

   

 

 

 

Operating expenses

     0.5     0.5 %**** 
  

 

 

   

 

 

 

Total return

     (4.5 )%      21.1
  

 

 

   

 

 

 

 

*** Interest income less total expenses.
**** Annualized.

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

 

7.   Financial Instrument Risks:

In the normal course of business, the Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards, swaps and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.


Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Master’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Master has credit risk and concentration risk, as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Master’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to control the Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master may be subject. These monitoring systems generally allow the General Partner to analyze statistically actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of the inception date. However, due to the nature of the Master’s business, these instruments may not be held to maturity.

 

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