EFTA01144269

BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED FINANCIAL STATEMENTS AND INDEPENDENT AUDITORS' REPORT FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 EFTA01144269 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONTENTS Independent Auditors' Report 1 Consolidated Financial Statements Consolidated Statement of Financial Condition 2 Consolidated Statement of Operations 3 Consolidated Statement of Changes in Partners' Capital 4 Consolidated Statement of Cash Flows 5 Consolidated Condensed Schedule of Investments 6 - 26 Notes to Consolidated Financial Statements 27 - 44 EFTA01144270 KPMG LLP 4 Becker Farm Road Roseland. NJ 07068 Independent Auditors' Report To the Partners of Boothbay Absolute Return Strategies, LP: We have audited the accompanying consolidated financial statements of Boothbay Absolute Return Strategies, LP (the "Fund"), which comprise the consolidated statement of financial condition and consolidated condensed schedule of investments as of December 31, 2014, and the related consolidated statements of operations, changes in partners' capital, and cash flows for the period July 1, 2014 (commencement of operations) through December 31, 2014 and the related notes to the consolidated financial statements. Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these consolidated financial statements in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. Auditors' Responsibility Our responsibility is to express an opinion on these consolidated financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the consolidated financial statements. The procedures selected depend on the auditors' judgment, including the assessment of the risks of material misstatement of the consolidated financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the consolidated financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the consolidated financial statements referred to above present fairly in all material respects, the financial position of Boothbay Absolute Return Strategies, LP as of December 31, 2014, and the results of its operations, changes in its partners' capital and its cash flows for the period July I, 2014 (commencement of operations) through December 31, 2014 in accordance with U.S. generally accepted accounting principles. KePtvfG LCP April 30, 2015 1 KPMG LIP a a Wangs 'mead Iatday pannerahip, the U.S. member IIrmal KPMG lawmaeortal Cooperate,* CKPMG Imernationalli, a Syne, wally. EFTA01144271 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF FINANCIAL CONDITION DECEMBER 31, 2014 Assets Investments in securities, at fair value (cost $310,595,375) $ 313,731,863 Derivative assets, at fair value 2,526,946 Cash and cash equivalents 329,816 Due from brokers 22,882,353 Dividends and interest receivable 1,660,300 Capital contributions receivable 227,496 Capital withdrawals receivable 496,878 Other assets 98,857 Total assets 341,954,509 Liabilities and partners' capital Securities sold short, at fair value (proceeds $167,924,773) 167,794,401 Derivative liabilities, at fair value 3,091,060 Due to brokers 51,564,506 Advance capital contributions 839,018 Capital withdrawals payable 1,681,203 Dividends and interest payable 406,876 Accrued expenses and other liabilities 1,374,994 Total liabilities 226,752,058 Partners' capital $ 115,202,451 See accompanying notes to consolidated financial statements. 2 EFTA01144272 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 Investment income Interest $ 1,604,756 Dividends (net of foreign withholding taxes of $32,800) 1,499,041 Other income 307 Swap 85,028 Total investment income 3,189,132 Expenses Interest 1,956,266 Dividends 1,441,782 Management fees 385,473 Administrative fees 220,972 Professional fees 175,950 Clearance and custody fees 344,261 Other expense 1,952,837 Total expenses 6,477,541 Net investment loss (3,288,409) Realized and unrealized gain (loss) on investments Net realized loss on investments (274,011) Net realized gain on derivative contracts 1,202,993 Net realized gain on foreign currency 522,382 Net change in unrealized appreciation on investments 3,266,860 Net change in unrealized depreciation on derivative contracts (607,472) Net change in unrealized appreciation on foreign currency 230,177 Net gain on investments 4,340,929 Net income $ 1,052,520 See accompanying notes to consolidated financial statements. 3 EFTA01144273 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF CHANGES IN PARTNERS' CAPITAL FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 Total General Limited Partners' Partner Partners Capital Capital contributions $ 175,192 $ 118,035,371 $ 118,210,563 Capital withdrawals (4,060,632) (4,060,632) Allocation of net income Pro rata allocation 3,918 1,048,602 1,052,520 Reallocation to General Partner 131,510 (131,510) 135,428 917,092 1,052,520 Partners' capital, end of period $ 310,620 $ 114,891,831 $ 115,202,451 See accompanying notes to consolidated financial statements. 4 EFTA01144274 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED STATEMENT OF CASH FLOWS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 Cash flows from operating activities Net income 1,052,520 Adjustments to reconcile Net income from operations to net cash used in operating activities: Net realized gain on investments 274,011 Net change in unrealized depreciation on investments (3,266,860) Amortization of premiums and discounts on debt securities 378,940 Changes in operating assets and liabilities: Purchases of investments in securities (2,187,567,523) Payments to cover securities sold short (1,460,277,974) Proceeds from sale of investments in securities 1,960,946,018 Proceeds from securities sold short 1,550,822,995 Derivative contracts 564,114 Due from brokers (22,882,353) Dividends and interest receivable (1,660,300) Capital contributions receivable (227,496) Capital withdrawals receivable (496,878) Other assets (98,857) Due to brokers 51,564,506 Capital withdrawals payable 1,681,203 Dividends and interest payable 406,876 Accrued expenses and other liabilities 1,374,994 Net cash used in operating activities: (107,412,064) Cash flows from financing activities Capital contributions, net of change in advance capital contributions 111,802,512 Capital withdrawals (4,060,632) Net cash provided by financing activities: 107,741,880 Net change in cash and cash equivalents 329,816 Cash and cash equivalents, beginning of period Cash and cash equivalents, end of period S 329,816 Supplemental disclosure of cash flow information Cash paid during the period for interest $ 1,750,092 Supplemental disclosure of noncash financing activities Contribution of securities, at fair value (cost basis of $7,247,069) 7,247,069 See accompanying notes to consolidated financial statements. 5 EFTA01144275 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Investments In Securities, At Fair Value American Depositary Receipt Argentina Consumer Non-cyclical 0.00 % 30 30 Financial 0.00 712 743 0.00 742 773 Brazil Basic Materials 0.00 2,751 2,685 Financial 0.03 32,445 31,495 0.03 35,196 34.180 China Basic Materials 0.04 69,646 46,042 Communications 1.60 1.875,212 1,847,384 Consumer Cyclical 0.27 271,741 309,417 Energy 0.19 232,571 213,693 Financial 0.02 20,465 20,359 Technology 0.00 3,248 3,245 Utilities 0.00 2,620 2,708 2.12 2.475,503 2,442,848 Denmark Consumer Non-cyclical 0.00 4,768 4,749 England Consumer Non-cyclical 0.42 457,510 484,307 Energy 0.09 125,124 103,610 0.51 582,634 587,917 Finland Communications 0.07 80,143 79.103 Ireland Consumer Cyclical 0.19 168,312 221,865 Consumer Non•cyclical 0.01 7,967 8,282 0.20 176,279 230.147 Israel Communications 0.23 229,057 268.445 Mexico Industrial 0.12 144,585 140,638 Panama Consumer Cyclical 0.01 7,552 7,883 South Korea Communications 0.28 327,120 320.397 Switzerland Financial 0.15 174,728 170,545 Industrial 0.06 68,938 69.837 0.21 % 243,666 240.382 See accompanying notes to consolidated financial statements. 6 EFTA01144276 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Taiwan Industrial 0.01 % 12,522 12,048 Technology 0.03 35,686 36.738 0.04 48,208 48.786 Total - American Depositary Receipt 3.82 4,355,453 4,406,248 Closed-End Fund United States Of America Financial 8.24 9.455,095 9,490,914 Total - Closed-End Fund 8.24 9,455,095 9,490,914 Common Stock Argentina Communications 0.05 60,047 56.302 Australia Diversified 0.00 1,343 1,360 Energy 0.07 107,624 75.791 0.07 108,967 77.151 Bahamas Industrial 0.02 20,924 22,544 Bermuda Consumer Non-cyclical 0.28 277,029 326,746 Energy 0.06 65,089 67,832 Financial 0.15 179,189 178,455 Industrial 0.11 192,060 130,965 Technology 0.06 65,075 73,413 0.66 778,442 777,411 Brazil Consumer Non-cyclical 0.01 6,671 7.548 British Virgin Islands Diversified 0.00 1,040 1,068 Canada Basic Materials 0.47 553,919 537,220 Communications 0.40 510,096 455,196 Consumer Cyclical 0.65 679,883 753,065 Consumer Non•cyclical 1.02 1,184,587 1,179,366 Diversified 0.00 1,064 1,054 Energy 0.38 857,266 442,024 Financial 0.18 217,340 210,620 Industrial 0.23 291,714 270,037 Materials 0.02 19,995 21,263 Technology 0.12 124,411 141.204 3.47 % 4.440,275 4,011.049 See accompanying notes to consolidated financial statements. 7 EFTA01144277 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Ca ital Sales Fair Value$) Cayman Islands Financial 0.01 % 12,056 11,947 China Basic Materials 0.02 19,672 17,955 Communications 0.25 316,165 293,608 Consumer Non-cyclical 0.02 28,437 28,597 Energy 0.03 33,340 34,713 Industrial 0.40 505,177 456,377 Utilities 0.11 137,888 128.960 0.83 1.040,679 960.210 Cyprus Energy 0.00 542 538 Denmark Communications 0.15 189,907 172.463 England Communications 0.72 804,429 830,423 Consumer Cyclical 0.07 78,853 80,301 Energy 0.05 97,814 61,757 Financial 0.06 75,168 74,265 Industrial 0.37 323,013 421.578 1.27 1.379,277 1,468,324 France Basic Materials 0.12 162,116 137,683 Financial 0.22 188,557 252.107 0.34 350,673 389.790 Germany Consumer Cyclical 0.29 313,355 330,261 Financial 0.16 180,742 180,093 Utilities 0.10 159,536 114.289 0.55 653,633 624.643 Greece Diversified 0.00 5,511 5,507 Industrial 0.00 199 217 0.00 5,710 5,724 Hong Kong Consumer Cyclical 0.26 298,222 298,650 Consumer Non-cyclical 0.00 2,015 2,042 Energy 0.04 40,970 41,665 Financial 0.57 637,408 656,417 Utilities 0.70 778,385 809,262 1.57 1.757,000 1,808,036 Ireland Consumer Non-cyclical 0.43 465,871 500,106 Financial 0.11 124,640 130,228 Industrial 0.00 1,256 1,276 Technology 0.72 832,369 833.320 1.26 % 1.424,136 1,464,930 See accompanying notes to consolidated financial statements. 8 EFTA01144278 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales Fair Value Isle Of Man Communications 0.13 % 169,692 145,942 Israel Communications 0.64 748,816 737,476 Consumer Non-cyclical 0.04 57,250 51,306 Industrial 0.31 372,459 356,485 Technology 0.07 75,643 77.189 1.06 1.254,168 1,222,456 Italy Consumer Cyclical 0.02 23,209 22,123 Consumer Non-cyclical 0.05 70,859 59,820 Industrial 0.01 13,431 12,552 Utilities 0.27 330,783 316,048 0.35 438,282 410.543 Japan Communications 1.42 1,672,467 1,630,364 Consumer Cyclical 2.63 3,016,778 3,025,415 Financial 1.10 1,380,736 1,265,423 Industrial 0.63 747,075 728,259 Technology 0.30 342,928 340.109 6.08 7,159,984 6,989,570 Luxembourg Basic Materials 0.02 21,532 21,560 Communications 0.37 360,784 421,925 Energy 0.00 514 478 Financial 0.38 411,119 436,206 0.77 793,949 880.169 Malaysia Consumer Cyclical 0.37 471,960 427,967 Diversified 0.03 34,966 34,098 Financial 0.41 580,106 467.443 0.81 1.087,032 929.508 Mexico Basic Materials 0.01 8,569 8,637 Monaco Industrial 0.00 4,099 4,159 Multinational Materials 0.03 % 38,757 39.639 See accompanying notes to consolidated financial statements. 9 EFTA01144279 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value (s) Netherlands Basic Materials 0.25 % 295,791 291,520 Communications 0.01 14,732 14,835 Consumer Non-cyclical 0.09 96,729 101,466 Energy 0.00 3,332 3,559 Financial 0.12 141,074 134,821 Industrial 0.19 234,965 219,052 Technology 0.29 318,111 337,372 0.95 1,104,734 1,102,625 Norway Industrial 0.00 690 692 Puerto Rico Financial 0.04 38,960 42,457 Singapore Consumer Cyclical 0.00 5,219 5,434 Technology 0.08 94,467 94,756 0.08 99,686 100,190 Spain Financial 0.05 53,412 54,975 Switzerland Energy 0.16 288,635 178,965 Financial 0.10 112,461 113,846 Industrial 0.09 106,732 104,582 0.35 507,828 397,393 Taiwan Technology 0.25 257,381 282,755 Thailand Communications 0.50 589,355 572,203 U.S. Virgin Islands Financial 0.00 2.719 2.481 United States Of America Basic Materials 2.97 3,387,508 3,417,854 Communications 18.40 20,309,094 21,191,931 Consumer Cyclical 17.79 19,133,823 20,493,333 Consumer Non-cyclical 19.05 21,230,900 21,938,911 Diversified 0.31 336,154 360,085 Energy 4.89 5,904,950 5,638,840 Financial 11.65 12,983,573 13,419,314 Industrial 10.26 11,605,446 11,824,939 Technology 13.42 14,378,442 15,461,507 Utilities 4.76 5.336,715 5.487,647 103.50 114,606,605 119.234,361 Total - Common Stock 125.22 % 140,445,881 144,280,433 See accompanying notes to consolidated financial statements. 10 EFTA01144280 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Convertible Bond United States Of America Energy 0.11 % 238,741 127,920 Consumer Non•cyclical 0.21 137,010 238.590 0.32 375,751 366,510 Total - Convertible Bond 0.32 375,751 366,510 Corporate Bond Canada Consumer Cyclical 0.11 157,442 131,013 Energy 0.02 27,073 27.316 0.13 184,515 158.329 England Consumer Cyclical 0.36 412,103 412,591 Financial 0.17 201,500 192.765 0.53 613,603 605.356 France Consumer Non-cyclical 0.95 1,169,300 1,088,820 Energy 0.03 35,663 28,880 Financial 0.73 885,391 837,182 Technology 0.29 361,545 336,854 2.00 2.451,899 2,291,736 Germany Communications 0.70 800,000 807.000 Greece Industrial 0.42 513,432 482.650 Guernsey Financial 0.46 535,609 532,500 Ireland Financial 3.55 4.347,033 4,095,101 Israel Communications 0.28 319,500 318,375 Utilities 0.12 138,643 141.919 0.40 458,143 460.294 Netherlands Communications 1.12 1,362,434 1,286,810 Financial 0.64 745,963 735.861 1.76 2,108,397 2,022,671 Spain Financial 0.31 367,569 355.228 Sweden Consumer Cyclical 0.82 % 967,750 950,132 See accompanying notes to consolidated financial statements. 11 EFTA01144281 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales (S) Fair Value (5) United States Of America Basic Materials 3.77 % 4,645,685 4,347,630 Communications 4.58 5,295,632 5,280,097 Consumer Cyclical 4.44 5,125,011 5,112,753 Consumer Non•cyclical 7.50 8,972,745 8,635,258 Energy 1.49 2,200,256 1,710,915 Financial 5.58 6,512,233 6,427,446 Industrial 2.05 2,426,571 2,366,962 Technology 1.86 2,152,500 2,142,000 Utilities 0.46 524.216 526.503 31.73 37.854.849 36,549,564 Total - Corporate Bond 42.81 51,202,799 49,310,561 Exchange Traded Fund China Funds 0.27 281.506 312.404 Japan Funds 0.30 347.336 342.622 United States Of America Funds 14.12 14.254.835 14,473,461 Vietnam Funds 0.05 57.179 52.836 Total -Exchange Traded Fund 14.74 14,940,856.0 15,181,323.0 Global Depositary Receipts Argentina Financial 0.00 305 307 Total - Global Depositary Receipts 0.00 305 307 Government Bond Germany Government 0.26 305.189 300.928 Total - Government Bond 0.26 305,189 300,928 Master Limited Partnership United States Of America Energy 0.34 396.495 388.375 Total - Master Limited Partnership 0.34 % 396,495 388,375 See accompanying notes to consolidated financial statements. 12 EFTA01144282 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Fair Description Amount Capital Sales (s) Value (S) Municipal Bond United States Of America Government PIERCE CNTY WA SCH DIST #10 TA 5.25% 12/01/2038 10,090,000 10.47 % 11,939,906 12,060,476 TEXAS ST 5% 10/01/2044 7,540,000 7.65 8,685,208 8,811,696 WASHINGTON ST 5% 07/01/2029 6,115,000 6.44 7,264,870 7,416,394 MONTGOMERY CNTY MD 5% 11/01/2024 5,800.000 6.35 7,249,947 7,314,612 MASSACHUSETTS ST 5% 11/01/2024 5,800.000 6.13 6,957,511 7,058,252 MASSACHUSETTS ST 5% 11/01/2025 5,800,000 6.11 7,000,257 7,044,216 NEW YORK ST THRUWAY AUTH 5% 01/01/2028 5,800,000 5.97 6,810,017 6,882,628 Other 23.73 27.112.571 27,329.836 72.85 83.020,287 83,918.110 Total - Municipal Bond 72.85 83,020,287 83,918,110 Preferred Stock United States Of America Financial 0.44 497,868 503,957 Government 0.01 27,801 12,455 0.45 525,669 516.412 Puerto Rico Financial 0.01 15,237 14.940 Total - Preferred Stock 0.46 540,906 531,352 Real Estate Investment Trust United States Of America Consumer Cyclical 0.05 67,748 61,145 Financial 4.54 5.217,030 5,234.870 4.59 5,284,778 5,296.015 Total - Real Estate Investment Trust 4.59 5,284,778 5,296,015 Unit Investment Trust United States Of America Consumer Cyclical 0.12 131,488 137,873 Energy 0.03 31,955 35,288 Financial 0.05 70,275 62,383 Utilities 0.02 37,862 25.243 0.22 271,580 260.787 Total - Unit Investment Trust 0.22 271,580 260,787 Total - Investments In Securities, At Fair Value 273.87 % 310 595 375 313 731 863 See accompanying notes to consolidated financial statements. 13 EFTA01144283 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Derivative Assets, At Fair Value Commodity Option United States Of America Crude Oil 0.02 % 3,790 18,920 Natural Gas 0.24 160,200 272,400 Precious Metal 0.03 29,180 32,620 0.29 193,170 323.940 Total - Commodity Option 0.29 193,170 323,940 Currency Option United States Of America Currency 0.00 838 75 Total - Currency Option 0.00 838 75 Equity Option England Communications 0.00 7,796 2,517 Consumer Non-cyclical 0.00 2,013 2,565 Technology 0.00 650 630 0.00 10,459 5,712 Ireland Consumer Non-cyclical 0.01 13,779 5,908 Sweden Communications 0.00 2,673 644 United States Of America Basic Materials 0.00 978 990 Communications 0.14 148,223 160,037 Consumer Cyclical 0.02 69,923 20,952 Consumer Non-cyclical 0.03 45,286 37,806 Financial 0.01 20,446 13,686 Funds 0.07 89,254 77,945 Industrial 0.02 35,228 27,804 Technology 0.03 44,142 36.280 0.32 453,480 375.500 Total - Equity Option 0.33 480,391 387,764 Forward Contract Currency contracts Various currencies 0.03 36.013 Total - Forward Contract 0.03 % 36,013 See accompanying notes to consolidated financial statements. 14 EFTA01144284 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description ant Capital Sales 1) Fair Value tL Future Option United States Of America Equity Index 0.00 % 15,125 4,900 Precious Metal 0.02 29,805 21.850 0.02 44,930 26,750 Total - Future Option 0.02 44,930 26,750 Interest Rate Swap United States Of America Financial 0.06 68.357 Total - Interest Rate Swap 0.06 68,357 Physical Commodity Future United States Of America Livestock 0.01 12,230 Natural Gas 0.68 782,830 Precious Metal 0.01 11,855 Refined Products 0.00 4,368 0.70 811.283 Total - Physical Commodity Future 0.70 811,283 Physical Index Future Germany Equity Index 0.00 1,754 United States Of America Equity Index 0.01 12,088 Non-equity Index 0.00 1,025 0.01 13.113 Total - Physical Index Future 0.01 14,867 Right European Union Consumer Cyclical 0.00 834 Total - Right 0.00 834 Total Return Swap Multinational Various Industries 0.74 857.063 0.74 857.063 Total - Total Return Swap 0.74 857,063.00 Total - Derivative Assets, At Fair Value 2.19 % 719,329 2,526,946 See accompanying notes to consolidated financial statements. 15 EFTA01144285 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Securities Sold Short, At Fair Value American Depositary Receipt Argentina Communications 0.02 % 11,604 11,030 Energy 0.00 891 900 Financial 0.03 20,977 20,999 0.05 33,472 32,929 Brazil Basic Materials 0.09 53,850 54,816 Energy 0.01 3,946 3,898 Financial 0.00 854 869 Materials 0.01 7,586 7,910 Utilities 0.04 24,951 24,797 0.15 91,187 92,290 Cayman Islands Communications 0.00 504 517 China Basic Materials 0.00 2,033 1,343 Communications 0.25 298,847 288,494 Consumer Cyclical 0.05 67,673 62,332 Consumer Non•cyclical 0.04 49,336 48,405 Energy 0.00 0 0 Financial 0.01 12,786 13,047 Technology 0.11 170,090 132,249 0.46 600,765 545,870 Colombia Energy 0.00 1,289 1,233 Financial 0.01 17,356 17,126 0.01 18,645 18,359 Cyprus Communications 0.01 14,280 13,628 England Basic Materials 0.00 4,517 4,558 Energy 0.00 1,635 1,566 Technology 0.14 166,900 166,680 0.14 173,052 172,804 France Consumer Non-cyclical 0.02 15,870 19,775 Israel Communications 0.01 9,516 9,472 Luxembourg Basic Materials 0.00 'Ye 3,136 3,142 See accompanying notes to consolidated financial statements. 16 EFTA01144286 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description int Capital Sales i Fair Value tL Mexico Communications 0.01 % 8,861 8,992 Consumer Non-cyclical 0.02 20,498 20,148 Financial 0.00 4,279 4,310 0.03 33,638 33,450 Netherlands Communications 0.01 10,829 10,529 Norway Energy 0.00 5,404 5,389 Peru Diversified 0.00 3,095 3,198 Russia Communications 0.01 10,362 9,147 South Africa Basic Materials 0.01 10,390 10,401 Energy 0.01 7,714 7,632 0.02 18,104 18,033 South Korea Communications 0.00 3,561 3,488 Spain Communications 0.00 1,812 1,606 Financial 0.03 39,292 37,377 0.03 41,104 38,983 Sweden Communications 0.14 159,190 156,090 Taiwan Technology 0.02 22,712 22,394 Total - American Depositary Receipt 1.11 1,268,426 1,209,487 Closed-End Fund United States Of America Financial 0.03 32,243 31,186 Total - Closed-End Fund 0.03 32,243 31,186 See accompanying notes to consolidated financial statements. 17 EFTA01144287 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Common Stock Australia Energy 0.10 % 115,321 114,364 Bahamas Consumer Non-cyclical 0.02 18,188 22,135 Industrial 0.00 3,448 3,410 0.02 21,636 25,545 Bermuda Consumer Cyclical 0.00 2,117 2,155 Energy 0.02 27,851 24,732 Financial 0.01 9,232 9,359 Industrial 0.07 80,600 75,391 0.10 119,800 111,637 Brazil Consumer Non-cyclical 0.00 1,867 1,930 Canada Basic Materials 0.11 129,545 122,965 Communications 0.15 165,930 175,094 Consumer Cyclical 0.26 284,991 296,609 Consumer Non•cyclical 0.00 1,936 2,043 Diversified 0.08 94,668 92,915 Energy 0.27 318,510 315,628 Financial 0.21 275,030 243,711 Industrial 0.20 230,809 234,548 Materials 0.01 10,207 9,149 Technology 0.21 228,652 246,519 Utilities 0.01 15,490 15,234 1.51 1,755,768 1,754,415 Cayman Islands Consumer Non•cyclical 0.00 3,894 3,879 China Basic Materials 0.01 10,877 10,469 Communications 0.00 3,412 3,563 Consumer Cyclical 0.02 23,554 23,791 Consumer Non•cyclical 0.07 77,159 76,597 Energy 0.01 7,593 6,654 Industrial 0.01 12,863 12,853 Utilities 0.09 85,787 100,001 0.21 % 221,245 233,928 See accompanying notes to consolidated financial statements. 18 EFTA01144288 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description An irit Capital Sales i Fair Value tL Curacao Consumer Non-cyclical 0.05 % 62,347 60,511 England Communications 0.08 83,941 95,942 Consumer Cyclical 0.01 9,757 9,635 Energy 0.05 66,163 56,804 Financial 0.05 60,802 61,024 Industrial 0.00 3,245 3,854 Utilities 0.07 73,655 75,157 0.26 297,563 302,416 Finland Utilities 0.24 319,481 278,012 France Financial 0.19 230,542 214,180 Germany Financial 0.24 268,115 281,036 Industrial 0.01 11,017 10,094 Utilities 0.24 278,913 274,512 0.49 558,045 565,642 Greece Consumer Non-cyclical 0.00 3,005 3,309 Industrial 0.01 20,451 17,125 0.01 23,456 20,434 Hong Kong Consumer Cyclical 0.18 209,722 202,953 Financial 0.11 123,557 127,343 Utilities 0.32 370.592 370,861 0.61 703,871 701,157 India Communications 0.00 1,937 1,715 Ireland Consumer Non-cyclical 0.34 377,019 392,524 Financial 0.05 51,942 53,686 Technology 0.10 105,320 110,257 0.49 534,281 556,467 Israel 0.00 Communications 0.08 86,165 97,115 Consumer Non-cyclical 0.01 18,392 14,515 Technology 0.05 61.652 61,177 0.14 % 166.209 172,807 See accompanying notes to consolidated financial statements. 19 EFTA01144289 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Italy Consumer Cyclical 0.28 % 322,980 319,768 Multi-Line Insurance 0.10 120,041 117,168 Utilities 0.20 270,685 225,618 0.58 713,706 662,554 Japan Basic Materials 0.14 164,816 159,468 Communications 0.73 1,106,224 839,036 Consumer Cyclical 0.23 273,783 267,960 Consumer Non•cyclical 0.45 556,685 515,371 Financial 0.26 306,495 298,292 Industrial 0.47 523,847 537,008 Technology 0.21 411,714 246,862 2.49 3,343,564 2.863,997 Luxembourg Consumer Non-cyclical 0.03 42,528 40,258 Energy 0.01 7,737 7,317 Financial 0.03 38,106 38,115 0.07 88,371 85,690 Mexico Basic Materials 0.13 143,690 149,076 Monaco Industrial 0.04 41,236 41,786 Multinational Materials 0.17 305,886 201,316 Netherlands Basic Materials 0.01 17,083 16,513 Consumer Non•cyclical 0.08 82,391 92,716 Energy 0.02 20,648 20,097 Industrial 0.05 61,301 59,015 Technology 0.01 14,087 14,058 0.17 195,510 202,399 Norway Industrial 0.00 3,402 3,475 Panama Consumer Cyclical 0.01 % 9,427 10,468 See accompanying notes to consolidated financial statements. 20 EFTA01144290 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales Fair Value Peru Materials 0.04 % 41,800 41,144 Puerto Rico Consumer Non-cyclical 0.02 18,984 19,120 Financial 0.05 72,581 61,867 0.07 91,565 80,987 Russia Communications 0.00 2,424 2,440 Spain Financial 0.05 61,684 55,632 Sweden Consumer Cyclical 0.01 16,366 16,555 Switzerland Energy 0.03 43,440 32,858 Financial 0.05 60,295 57,388 Industrial 0.25 288,079 289,965 0.33 391,814 380,211 Thailand Basic Materials 0.02 26,584 25,386 Communications 0.20 245,470 233,197 Energy 0.05 67,741 62,312 0.27 339,795 320,895 U.S. Virgin Islands Financial 0.12 183.069 139,029 United Arab Emirates Consumer Non-cyclical 0.01 8,169 10,189 United States Of America Basic Materials 3.12 3,522,703 3,594,159 Communications 8.46 9,657,361 9,743,570 Consumer Cyclical 12.20 13,507,257 14,055,669 Consumer Non-cyclical 12.34 13,770,810 14,209,965 Diversified 0.07 85,106 83,896 Energy 4.43 5,611,948 5,101,573 Financial 8.81 9,941,011 10,153,065 Industrial 8.81 10,040,563 10,151,802 Technology 8.65 9,676,010 9,966,280 Utilities 3.37 3,813,241 3,884,352 70.26 79,626,010 80.944,331 Total - Common Stock 79.24 % 90,744,751 91,331,213 See accompanying notes to consolidated financial statements. 21 EFTA01144291 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost! or % of Proceeds Principal Partners' From Description lUrmant Capital Sales 5 Fair Value 5L Convertible Bond United States Of America Basic Materials 0.03 % 27,900 30,300 Consumer Cyclical 0.24 283,726 280,988 0.27 311,626 311,288 Total - Convertible Bond 0.27 311,626 311,288 Corporate Bond Canada Energy 0.15 175,720 175,720 Denmark Financial 0.28 323,429 319,266 England Basic Materials 0.54 609,744 626,508 Consumer Non-cyclical 0.23 293,629 270,394 0.77 903,373 896,902 France Communications 0.62 748,765 715,490 Germany Financial 0.61 736,190 702,978 Utilities 0.41 494,216 477,720 1.02 1,230,406 1.180,698 United States Of America Basic Materials 0.04 37,388 44,100 Communications 1.48 1,685,260 1,700,195 Consumer Cyclical 0.99 1,144,914 1,145,377 Consumer Non-cyclical 0.22 259,100 258,750 Energy 1.96 2,432,327 2,252,875 Financial 0.12 134,682 133,680 Industrial 0.76 877,597 873,773 Utilities 0.46 525,850 531,700 6.03 7,097,118 6.940,450 Total - Corporate Bond 8.87 k 10,478,811 10,228,526 See accompanying notes to consolidated financial statements. 22 EFTA01144292 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales (s) Fair Value (5) Exchange Traded Fund Hong Kong Funds 0.38 % 371.086 431.468 Indonesia Funds 0.24 266.518 274.400 Japan Funds 0.40 468,095 463,372 Mexico Funds 0.23 259.369 259.534 Philippines Funds 0.07 72.903 74.987 Russia Funds 0.10 108.996 113.553 Thailand Funds 0.32 375.312 367.858 Turkey Funds 0.06 72.882 74.405 United States Of America Consumer Non-cyclical 0.49 563,816 567,936 Funds SPI0R Trust Series 1 (17,831) 3.18 3,689,148 3,664,271 Other 38.61 44,995.091 44.480.536 42.28 49,248.055 48.712.743 Total - Exchange Traded Fund 44.08 51,243,216 50,772,320 Government Bond England Government 0.31 359.315 357.959 Germany Government 0.37 429.523 425.022 Iraq Government 0.54 683.472 626.250 United States Of America Government 5.78 6,666.757 6,654.520 Total - Government Bond 7.00 % 8,139,067 8,063,751 23 See accompanying notes to consolidated financial statements. EFTA01144293 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Master Limited Partnership United States Of America Energy 0.01 % 21,935 16,913 Total - Master Limited Partnership 0.01 21,935 16,913 Real Estate Investment Trust United States Of America Basic Materials 0.05 61,635 61,156 Consumer Cyclical 0.18 182,602 205,686 Consumer Non-cyclical 0.18 204,313 210,158 Financial 4.53 5.104,211 5.218,899 4.94 5.552,761 5.695,899 Total - Real Estate Investment Trust 4.94 5,552,761 5,695,899 Royalty Trust United States Of America Energy 0.01 13,064 11,210 Total - Royalty Trust 0.01 13,064 11,210 Unit Investment Trust United States Of America Consumer Cyclical 0.08 85.671 89.116 Financial 0.03 29.480 29.854 Utilities 0.00 3.722 3.638 0.11 118,873 122,608 Total - Unit Investment Trust 0.11 118,873 122,608 Total - Securities Sold Short, At Fair Value 145.67 167,924,773 167,794,401 Derivative Liabilities, At Fair Value Commodity Option United States Of America Crude Oil 0.05 15,190 57,700 Natural Gas 0.19 194,400 218,080 0.24 209,590 275,780 Total - Commodity Option 0.24 209,590 275,780 Credit Default Swap United States Of America Consumer Cyclical 0.05 2,860 33,221 Government 0.00 508 132 0.05 2.352 33,353 Total - Credit Default Swap 0.05 % 2,352 33,353 See accompanying notes to consolidated financial statements. 24 EFTA01144294 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Currency Option United States Of America Currency 0.00 % 1.175 19 Total - Currency Option 0.00 1,175 19 Equity Option England Communications 0.00 766 663 Consumer Non-cyclical 0.00 1.637 1.852 0.00 2.403 2,515 Ireland Consumer Non-cyclical 0.01 7.598 14,450 Sweden Communications 0.00 502 525 United States Of America Basic Materials 0.00 664 160 Communications 0.03 75,102 32,910 Consumer Cyclical 0.01 45,544 16,456 Consumer Non-cyclical 0.01 14,052 12,705 Energy 0.00 165 15 Financial 0.00 660 216 Funds 0.13 183,287 145,718 Industrial 0.00 5,543 3,025 Technology 0.01 16,514 8,921 Utilities 0.00 1.599 1,450 0.19 343,130 221,576 Total - Equity Option 0.20 353,633 239,066 Forward Contract Currency contracts Various currencies 0.05 56.543 Total -Forward Contract 0.05 56,543 Future Option United States Of America Equity Index 0.09 106,613 108,625 Total - Future Option 0.09 106,613 108,625 Interest Rate Swap United States Of America Financial 0.92 1.065,573 Total - Interest Rate Swap 0.92 % 1,065,573 See accompanying notes to consolidated financial statements. 25 EFTA01144295 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS - CONTINUATION DECEMBER 31, 2014 Shares, Contracts Cost/ or % of Proceeds Principal Partners' From Description Amount Capital Sales ($) Fair Value ($) Physical Commodity Future United States Of America Crude Oil 0.00 % 4,000 Natural Gas 0.60 694,750 Refined Products 0.00 1,331 0.60 700,081 Total - Physical Commodity Future 0.60 700,081 Physical Index Future United States Of America Equity Index 0.01 8,888 Total - Physical Index Future 0.01 8,888 Right United States Of America Communications 0.00 1,861 580 Total - Right 0.00 1,861 580 Total Return Swap Multinational Various Industries 0.52 597,258 Total - Total Return Swap 0.52 597,258 Warrant United States Of America Basic Materials 0.00 1,895 752 Financial 0.00 2,750 4,024 Consumer Non-cyclical 0.00 809 518 0.00 5,454 5,294 Total - Warrant 0.00 5,454 5,294 Total - Derivative Liabilities, At Fair Value 0.03% 675,973 3,091,060 See accompanying notes to consolidated financial statements. 26 EFTA01144296 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 1. Nature of operations and summary of significant accounting policies Nature of Operations Boothbay Absolute Return Strategies, LP (the "Partnership"), a Delaware limited partnership, commenced operations on July 1, 2014. The Partnership was organized to achieve capital appreciation by opportunistically trading and investing in a wide variety of securities, instruments, and other investment opportunities and engaging in a broad array of trading and investment strategies. The Partnership is managed by Boothbay Hybrid GP, LLC (the "General Partner") and Boothbay Fund Management, LLC (the "Investment Manager"). Refer to the Partnership's offering memorandum for more information. The Investment Manager is registered with the United States Securities and Exchange Commission as a registered investment adviser. The Partnership's capital generally will be allocated, indirectly through the Partnership's investments in Boothbay Multi-Strategy Fund, LLC ("BMSF") and Ignition Opportunity Fund LLC ("Ignition"), each a Delaware limited liability company that is a wholly-owned subsidiary of the Partnership (together, the "Fund Vehicles"), among a number of third-party managers through collective investment vehicles and managed accounts, including "first loss" accounts (collectively referred to as "Portfolio Managers"). First Loss Platform Ignition's investment platform is a "first loss" platform, and Portfolio Managers selected to manage Partnership capital through Ignition, are subject to a different compensation structure and business arrangement than other Portfolio Managers (including, generally, those selected to manage Partnership capital through BMSF, although BMSF may enter into one or more "first loss" arrangements with Portfolio Managers as well in the Investment Managers sole discretion). The Partnership's capital invested through Ignition will generally be allocated to a number of brokerage accounts, opened in the name of Ignition (or the Partnership), that will be managed by a Portfolio Manager. Each such investment account will generally have one investor (each a "Managed Account Limited Partner), which may or may not be the Portfolio Manager managing such account and which shall make an investment in the Partnership (which is allocated to Ignition) and shall bear the risk of first loss (up to the amount of such Managed Account Limited Partners investment) in connection with such investment account. Losses in excess of such Managed Account Limited Partner's investment will be allocated among the other Partners participating in such investment account. Each Portfolio Manager will have discretionary authority to invest and reinvest only that portion of Partnership capital that is allocated to the account managed by it. The interest of each Managed Account Limited Partner in the Partnership will typically constitute 10% of the related investment account, initially, and will vary thereafter. Each Managed Account Limited Partners interest in the Partnership will be contractually limited to such Managed Account Limited Partner's investment in its related investment account and each Managed Account Limited Partner will participate only in the profits and losses of the Partnership that are attributable to its such investment account. This arrangement also provides that after a month in which net losses have been allocated to the Managed Account Limited Partners Capital Account and/or other Partners, net profits will be allocated in subsequent months first to the capital accounts of the Partners (other than the Managed Account Limited Partner) until previously allocated net losses have been recouped, then to the Managed Account Limited Partner's Capital Account until net losses allocated to it have been recouped. This arrangement is also intended to provide the Investment Manager with the option of terminating a relationship with a Portfolio Manager prior to the Partnership incurring losses in excess of losses absorbed solely by such Managed Account Limited Partners Capital Account, although the Investment Manager may not be able to exercise this option in sufficient time to prevent such excess losses. Basis of Consolidation and Presentation The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("GAAP") as detailed in the Financial Accounting Standards Board's 27 EFTA01144297 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 1. Nature of operations and summary of significant accounting policies (continued) Basis of Consolidation and Presentation (continued) ("FASB") Accounting Standards Codification. The Partnership is an investment company and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standard Codification 946. The accompanying consolidated financial statements include the accounts of the Partnership and the Fund Vehicles. Intercompany transactions and balances have been eliminated in consolidation. These consolidated financial statements were approved by management and available for issuance on April 30, 2015. Subsequent events have been evaluated through this date. Cash Equivalents Cash equivalents include short-term highly liquid investments that are readily convertible to known amounts of cash and have original maturities of three months or less. Cash and cash equivalents held in financial institutions, at times, may exceed federal insured limits. Fair Value - Definition and Hierarchy Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the "exit price") in an orderly transaction between market participants at the measurement date. In determining fair value, the Partnership uses various valuation techniques. A fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs are to be used when available. Valuation techniques that are consistent with the market or income approach are used to measure fair value. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access. Level 2 - Valuations based on inputs, other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. Fair value is a market-based measure, based on assumptions of prices and inputs considered from the perspective of a market participant that are current as of the measurement date, rather than an entity- specific measure. Therefore, even when market assumptions are not readily available, the Partnership's own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The availability of valuation techniques and observable inputs can vary from investment to investment and are affected by a wide variety of factors, including the type of investment, whether the investment is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for investments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. 28 EFTA01144298 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 1. Nature of operations and summary of significant accounting policies (continued) Fair Value - Definition and Hierarchy (continued) In such cases, the level in the fair value hierarchy which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement. Fair Value - Valuation Techniques and Inputs Investments in Securities and Securities Sold Short Investments in securities and securities sold short that are traded on an exchange are valued at their last reported sales price as of the valuation date. Many over-the-counter ("OTC") contracts have bid and ask prices that can be observed in the marketplace. Bid prices reflect the highest price that the marketplace participants are willing to pay for an asset. Ask prices represent the lowest price that the marketplace participants are willing to accept for an asset. For securities whose inputs are based on bid-ask prices, the Partnership's valuation policies do not require that fair value always be a predetermined point in the bid-ask range. The Partnership's policy for securities traded in the OTC markets and listed securities for which no sale was reported on that date are generally valued at their last reported "bid" price if held long, and last reported "ask" price if sold short. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Securities traded on inactive markets or valued by reference to similar instruments are generally categorized in Level 2 of the fair value hierarchy. Derivative Contracts The Partnership records its derivative activities at fair value. Gains and losses from derivative contracts are included in net realized gain (loss) from derivative contracts and net change in unrealized appreciation or (depreciation) on derivative contracts in the statement of operations. Option contracts Options that are traded on an exchange are valued at their last reported sales price as of the valuation date or based on the midpoint of the bid/ask spread at the close of business. Depending on the frequency of trading, options are generally categorized in Level 1 or 2 of the fair value hierarchy. Futures contracts Futures contracts that are traded on an exchange are valued at their last reported sales price as of the valuation date. Futures contracts are generally categorized in Level 1 of the fair value hierarchy. Warrants Warrants that are traded on an exchange are valued at their last reported sales price as of the valuation date. The fair value of OTC warrants is valued using the Black-Scholes option pricing model, a valuation technique that follows the income approach. This pricing model takes into account the contract terms (including maturity) as well as multiple inputs, including, time value, implied volatility, equity prices, interest rates and currency rates. Warrants are generally categorized in Level 1 or 2 of the fair value hierarchy. 29 EFTA01144299 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS r FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 1. Nature of operations and summary of significant accounting policies (continued) Fair Value - Valuation Techniques and Inputs (continued) Derivative Contracts (continued) Forward contracts Forward contracts are traded on the OTC market. The fair value of forward contracts is valued using observable inputs, such as currency exchange rates or commodity prices, applied to notional amounts stated in the applicable contracts. Forward contracts are generally categorized in Level 2 of the fair value hierarchy. interest rate swaps Interest rate swaps that are traded on an exchange are valued at their last reported sales price as of the valuation date. These listed interest rate swaps are generally categorized in Level 1 or 2 of the fair value hierarchy. Interest rate swaps are also traded on the OTC market. The fair value of OTC interest rate swaps is derived using a pricing model that is widely accepted by marketplace participants. The pricing model takes into account the contract terms (including maturity) as well as multiple inputs, including, where applicable, interest rates, prepayment speeds and currency rates. Many inputs into the model do not require material subjectivity as they are observable in the marketplace. OTC interest rate swaps are generally categorized in Level 2 of the fair value hierarchy. Total return swaps Total return swaps are traded on the OTC market. The fair value of total return swaps is recorded at the swap contract's net equity value. Net equity is calculated by determining the notional fair value of the assets or liabilities underlying the swap contracts, which are typically equity securities, and is consistent with the valuation procedures discussed previously. Total return swaps are categorized in Level 2 of the fair value hierarchy. Credit default swaps Credit default swaps may be centrally cleared or traded on the OTC market. The fair value of credit default swaps is determined using an income or market approach that considers multiple inputs including specific contract terms, interest rate yield curves, interest rates, credit curves, recovery rates, current credit spreads, and the counterparty's creditworthiness. Many inputs into the model do not require material subjectivity as they are observable in the marketplace or set per the contract. Other than the contract terms, valuation is affected by the difference between the contract spread and the current market spread. The contract spread (or rate) is generally fixed and the market spread is determined by the credit risk of the underlying debt or reference entity. If the underlying debt is liquid and the market for the current spread is active, credit default swaps are categorized in Level 2 of the fair value hierarchy. If the underlying debt is illiquid and the market for the current spread is not active, credit default swaps are categorized in Level 3 of the fair value hierarchy. At December 31, 2014, investments in credit default swaps had maturities within a range of December 12, 2019 to March 20, 2020. Government Ann& The fair value of sovereign government bonds is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest rate yield curves, cross-currency basis index spreads, and sovereign credit spreads similar to the bond in terms of issuer, maturity and seniority. Sovereign government bonds are generally categorized in Levels 1 of the fair value hierarchy. 30 EFTA01144300 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 1. Nature of operations and summary of significant accounting policies (continued) Fair Value - Valuation Techniques and Inputs (continued) Municioal Bonds The fair value of municipal bonds is estimated using recently executed transactions, market price quotations and pricing models that factor in, where applicable, interest rates, bond or credit default swap spreads, and volatility. Municipal bonds are generally categorized in Level 2 of the fair value hierarchy. forporatia Rnndc The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads. The spread data used is for the same maturity as the bond. If the spread data does not reference the issuer, then data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models using yield curves, bond or single name credit default swap spreads, and recovery rates based on collateral values as key inputs. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they are categorized in Level 3 of the fair value hierarchy. Fair Value - Valuation Processes The Partnership establishes valuation processes and procedures to ensure that the valuation techniques for investments that are categorized within Level 3 of the fair value hierarchy are fair, consistent, and verifiable. The Partnership designates a Valuation Committee (the "Committee") to oversee the entire valuation process of the Partnership's Level 3 investments. The Committee is comprised of various Partnership personnel who are separate from the Partnership's portfolio management and trading functions, and reports to the Partnership's Board of Directors. The Committee is responsible for developing the Partnership's written valuation processes and procedures, conducting periodic reviews of the valuation policies, and evaluating the overall fairness and consistent application of the valuation policies. The Committee meets on a monthly basis, or more frequently as needed, to determine the valuations of the Partnership's Level 3 investments. Valuations determined by the Committee are required to be supported by market data, third-party pricing sources, industry accepted pricing models, counterparty prices, or other methods the Committee deems to be appropriate, including the use of internal proprietary pricing models. Capital Withdrawals Payable Withdrawals are recognized as liabilities when the amount requested in the withdrawal notice become fixed, which generally occurs on the last day of a fiscal quarter. As a result, withdrawals paid after the end of the year, based on partners' capital balances at year-end, are included in withdrawals payable at December 31, 2014. Withdrawal notices received for which the dollar amount is not fixed remain in partners' capital until the amount is determined Translation ofForeign Currency Assets and liabilities denominated in foreign currencies are translated into United States dollar amounts at the period-end exchange rates. Transactions denominated in foreign currencies, including purchases and sales of investments, and income and expenses, are translated into United States dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the consolidated statement of operations. The Partnership does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of investments 31 EFTA01144301 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 1. Nature of operations and summary of significant accounting policies (continued) Translation of Foreign Currency (continued) held. Such fluctuations are included in net gain (loss) on investments in the consolidated statement of operations. Investment Transactions and Related Investment Income Investment transactions are accounted for on a trade-date basis. Dividends are recorded on the ex-dividend date and interest is recognized on the accrual basis. Premiums and discounts are amortized over the lives of the respective debt securities. Discounts for high-yield debt securities and other debt securities are not amortized to the extent that interest income is not expected to be realized. Offsetting of Amounts Related to Certain Contracts The Partnership has elected not to offset fair value amounts recognized for cash collateral receivables and payables against fair value amounts recognized for derivative positions executed with the same counterparty under the same master netting arrangement. At December 31, 2014, the Partnership had cash collateral payables of approximately $4,770,500, with derivative counterparties under the same master netting arrangement. Income Taxes The Partnership does not record a provision for U.S. federal, state, or local income taxes because the partners report their share of the Partnership's income or loss on their income tax returns. However, certain non-United States dividend income may be subject to a tax at prevailing treaty or standard withholding rates with the applicable country or local jurisdiction. The Partnership files an income tax return in the U.S. federal jurisdiction, and may file income tax returns in various U.S. states and foreign jurisdictions. Generally, the Partnership is subject to income tax examinations by major taxing authorities during the period since inception. The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authorities. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of December 31, 2014. The Partnership does not expect that its assessment regarding unrecognized tax benefits will materially change over the next twelve months. However, the Partnership's conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, questioning the timing and amount of deductions, the nexus of income among various tax jurisdictions, compliance with U.S. federal, U.S. state and foreign tax laws, and changes in the administrative practices and precedents of the relevant taxing authorities. Use of Estimates The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions in determining the reported amounts of assets and liabilities, including the fair value of investments, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 32 EFTA01144302 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 2. Fair value measurements The Partnership's assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Partnership's significant accounting policies in Note 1. The following table presents information about the Partnership's assets measured at fair value as of December 31, 2014: Refer to the consolidated condensed schedule of investments for disaggregation of investments in securities and derivative contracts. Level 1 Level 2 Level 3 Total Assets (at fair value) Investment in Securities American Depositary Receipt 5 4,406,248 5 5 5 4,406,248 Closed-End Fund 9,490,914 9,490,914 Common Stock 144,280,433 144,280,433 Convertible Bond 366,510 366,510 Corporate Bond 27,316 49,283,245 49,310,561 Exchange Traded Fund 15,181,323 15,181,323 Global Depository Receipts 307 307 Government Bond 300,928 300,928 Master Limited Partnership 388,375 388,375 Municipal Bond 83,918,110 83,918,110 Preferred Stock 531,352 531,352 Real Estate Investment Trust 5,296,015 5,296,015 Unit Investment Trust 260,787 260,787 Total investment in securities 180,163,998 133,567,865 313,731,863 Derivative assets Commodity Option 323,940 323,940 Currency Option 75 75 Equity Option 387,764 387,764 Forward 36,013 36,013 Future Option 26,750 26,750 Interest Rate Swap 68,357 68,357 Physical Commodity Future 811,283 811,283 Physical Index Future 14,867 14,867 Right 834 834 Total Return Swap 857,063 857,063 Total derivative assets 1,565,513 961,433 2,526,946 5 181,729,511 5 134,529,298 5 - 5 316,258,809 33 EFTA01144303 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 2. Fair value measurements (continued) The following table presents information about the Partnership's liabilities measured at fair value as of December 31, 2014: Level 1 Level 2 Level 3 Total Liabilities (at fair value) Investment in Securities American Depositary Receipt $ 1,209,487 $ $ $ 1,209,487 Closed-End Fund 31,186 31,186 Common Stock 91,331,213 91,331,213 Convertible Bond 311,288 311,288 Corporate Bond 10,228,526 10,228,526 Exchange Traded Fund 50,772,320 50,772,320 Government Bond 8,063,751 8,063,751 Master Limited Partnership 16,913 16,913 Real Estate Investment Trust 5,695,899 5,695,899 Royalty Trust 11,210 11,210 Unit Investment Trust 122,608 122,608 Total investment in securities 157,254.587 10,539.814 167.794,401 Derivative liabilities Commodity Option 275,780 275,780 Credit Default Swap 33,353 33,353 Currency Option 19 19 Equity Option 239,066 239,066 Forward 56,543 56,543 Future Option 108,625 - 108,625 Interest Rate Swap 1,065,573 1,065,573 Physical Commodity Future 700,081 700,081 Physical Index Future 8,888 8,888 Right 580 580 Total Return Swap - 597,258 597,258 Warrant 5,294 5,294 Total derivative liabilities 1,338.333 1,752.727 3.091,060 $ 158,592,920 $ 12,292,541 $ S 170.885,461 34 EFTA01144304 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 3. Due from/to brokers Due from/to brokers includes cash balances held with brokers, receivables and payables from unsettled trades, margin borrowings, and collateral on derivative transactions. Amounts due from brokers may be restricted to the extent that they serve as deposits for certain marketable securities. At December 31, 2014, due from/to brokers includes receivables of $117,443,854 and payables of $110,006,678 related to unsettled trades. In the normal course of business, substantially all of the Partnership's securities transactions, money balances, and security positions are transacted with the Partnership's brokers: Bank of America Merrill Lynch, UBS Securities LLC, BNP Paribas Securities Corp, Wells Fargo Prime Services, Deutsche Bank, Interactive Brokers Group, Advantage Futures LLC and RJ O'Brien. The Partnership is subject to credit risk to the extent any broker with which it conducts business is unable to fulfill contractual obligations on its behalf. The Partnership's management monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. 4. Derivative contracts In the normal course of business, the Partnership utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Partnership's derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign currency exchange rate, commodity price, and equity price. In addition to its primary underlying risks, the Partnership is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. Options The Partnership is subject to equity and commodity price risk and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Partnership may enter into options to speculate on the price movements of the financial instrument, commodity, or currency underlying the option, or for use as an economic hedge against certain positions held in the Partnership's portfolio holdings. Options purchased give the Partnership the right, but not the obligation, to buy or sell within a limited time, a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices. Options written obligate the Partnership to buy or sell within a limited time, a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Options written by the Partnership may expose the Partnership to market risk of an unfavorable change in the financial instrument underlying the written option. For some OTC options, the Partnership may be exposed to counterparty risk from the potential that a seller of an option does not sell or purchase the underlying asset as agreed under the terms of the option contract. The maximum risk of loss from counterparty risk to the Partnership is the fair value of the contracts and the premiums paid to purchase its open options. In these instances, the Partnership considers the credit risk of the intermediary counterparty to its option transactions in evaluating potential credit risk. Futures Contracts The Partnership may use futures to gain exposure to, or hedge against, changes in the value of equities and commodities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. 35 EFTA01144305 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 4. Derivative contracts (continued) Futures Contracts (continued) The purchase and sale of futures requires margin deposits with a Futures Commission Merchant ("FCM") equal to a certain percentage of the contract amount. Subsequent payments (variation margin) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract. The Partnership recognizes a gain or loss equal to the daily variation margin. Futures may reduce the Partnership's exposure to counterparty risk since futures contracts are exchange-traded and the exchange's clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM's proprietary activities. A customer's cash and other equity deposited with an FCM are considered commingled with all other customer Partnerships subject to the FCM's segregation requirements. In the event of an FCM's insolvency, recovery may be limited to the Partnership's pro rata share of segregated customer Partnerships available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. Warrants The Partnership may purchase warrants in the normal course of pursuing its investment objectives or may receive warrants from its portfolio companies upon an investment in the debt or equity of a portfolio company. The warrants provide the Partnership with exposure and potential gains upon equity appreciation of the portfolio company's share price. The value of a warrant has two components: time value and intrinsic value. A warrant has a limited life and expires on a certain date. As time to the expiration date of a warrant approaches, the time value of a warrant will decline. In addition, if the stock underlying the warrant declines in price, the intrinsic value of an "in the money warrant will decline. Further, if the price of the stock underlying the warrant does not exceed the strike price of the warrant on the expiration date, the warrant will expire worthless. As a result, there is the potential for the Partnership to lose its entire investment in a warrant. The Partnership is exposed to counterparty risk from the potential failure of an issuer of warrants to settle its exercised warrants. The maximum risk of loss from counterparty risk to the Partnership is the fair value of the contracts and the purchase price of the warrants. The Partnership considers the effects of counterparty risk when determining the fair value of its investments in warrants. Forward Contracts The Partnership enters into forwards to hedge itself against foreign currency exchange rate risk for its foreign currency denominated assets and liabilities due to adverse foreign currency fluctuations against the U.S. dollar, and to manage the price risk associated with its commodity portfolio positions. Forward currency and commodity transactions are contracts or agreements for delayed delivery of specific currencies and commodities in which the seller agrees to make delivery at a specified future date of specified currencies and commodities. Risks associated with forward currency and commodity contracts are the inability of counterparties to meet the terms of their respective contracts and movements in fair value and exchange rates. 36 EFTA01144306 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 4. Derivative contracts (continued) Swap Contracts The Partnership enters into various swaps, including interest rate swaps, total return swaps and credit default swaps as part of its investment strategies, to hedge against unfavorable changes in the value of investments, and to protect against adverse movements in interest rates or credit performance with counterparties. Generally, a swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to the other. During the term of the swap contract, changes in value are recognized as unrealized gains or losses by marking the contracts at fair value. Additionally, the Partnership records a realized gain (loss) when a swap contract is terminated and when periodic payments are received or made at the end of each measurement period. In addition to realized gains (losses) and the change in unrealized gains (losses), periodic interest expense and/or income is also reflected in net gain (loss) from derivative contracts in the consolidated statement of operations. The fair value of open swaps reported in the consolidated statement of financial condition may differ from that which would be realized in the event the Partnership terminated its position in the contract. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the aggregate fair value of swap contracts in an unrealized gain position as well as any collateral posted with the counterparty. The risk is mitigated by having a master netting arrangement between the Partnership and the counterparty and by the posting of collateral by the counterparty to the Partnership to cover the Partnership's exposure to the counterparty. Therefore, the Partnership considers the creditworthiness of each counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in the fair value of the underlying investments. Interest Rate Swaps The Partnership is exposed to interest rate risk when there is an unfavorable change in the value of investments as a result of adverse movements in the market interest rates. The Partnership enters into interest rate swaps to protect against such adverse movements in the interest rates. Interest rate swaps are contracts whereby counterparties exchange different rates of interest on a specified notional amount for a specified period of time. The payment flows are usually netted against each other, with the difference being paid by one party to the other. The Partnership's interest rate swap contracts are scheduled to terminate from 2015 through 2045. Total Return Swapc The Partnership is subject to equity price risk in the normal course of pursuing its investment objectives. The Partnership may enter into total return swaps either to manage its exposure to the market or certain sectors of the market, or to create exposure to certain equities to which it is otherwise not exposed. Total return swap contracts involve the exchange by the Partnership and a counterparty of their respective commitments to pay or receive a net amount based on the change in the fair value of a particular security or index and a specified notional amount. The Partnership's total return swap contracts are scheduled to terminate from 2015 through 2045. 37 EFTA01144307 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 4. Derivative contracts (continued) Credit Default Swaps The Partnership is subject to credit risk in the normal course of pursuing its investment objectives. The Partnership may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. Credit default swap contracts involve an arrangement between the Partnership and a counterparty which allows the Partnership to protect against losses incurred as a result of default by a specified reference entity. Generally, the Partnership pays or receives a premium upfront and continues to pay periodic interest payments while the counterparty agrees to make a payment to compensate the Partnership for losses upon the occurrence of a specified credit event. Credit-Risk-Related Contingent Features The Partnership's derivative contracts are subject to International Swaps and Derivatives Association ("ISDA") Master Agreements which contain certain covenants and other provisions that may require the Partnership to post collateral on derivatives if the Partnership is in a net liability position with its counterparties exceeding certain amounts. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a net liability position at December 31, 2014 is approximately $1,752,700 for which the Partnership has posted approximately $4,770,500. If the credit-risk-related contingent features underlying these agreements were triggered as of December 31, 2014, the Partnership would have been required to post additional collateral to its counterparties. Additionally, counterparties may immediately terminate these agreements and the related derivative contracts if the Partnership fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages or amounts. 38 EFTA01144308 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 4. Derivative contracts (continued) Volume of Derivative Activities The Partnership considers the volume at December 31, 2014 to be an accurate representation of the volume of derivative activities during the period ended December 31, 2014. At December 31, 2014, the volume of the Partnership's derivative activities based on their notional amounts(a) and number of contracts, categorized by primary underlying risk, are as follows: (notional amounts in thousands) Long exposure Short exposure Notional Number Notional Number Primary underlying risk amounts of contracts amounts of contracts Interest Rate Interest Rate Swap 28.415 7 28,415 7 Foreign Currency Exchange Rate Currency Option 104 1 313 1 Forward Contract 11,193 28 37,480 36 11,297 29 37,793 37 Equity Price Equity Option 91,781 7,864 68,657 4,452 Right 63 2,811 3 61 Total Return Swap 15,181 355 8,757 307 Warrant 7 714 107,025 11,030 77,424 5,534 Commodity Price Commodity Option 4,305 77 1,837 60 Future Option 5,645 106 205 2 Physical Commodity Future 7,249 180 7,584 172 Physical Index Future 18 1 698 3 17,217 364 10,325 237 Credit Risks Credit Default Swap 4,000 3 4,000 3 $ 139,539 11,426 $ 153,957 5,815 (a) Notional amounts presented for options and warrants are based on the fair value of the underlying shares as if the options and warrants were exercised at December 31.2014. 39 EFTA01144309 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 4. Derivative contracts (continued) Impact of Derivatives on the Consolidated Statement of Financial Condition and Consolidated Statement of Operations The following table identifies the fair value amounts of derivative instruments included in the consolidated statement of financial condition as derivative contracts, categorized by primary underlying risk, at December 31, 2014. Balances are presented on a gross basis, prior to the application of the impact of counterparty and collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of master netting arrangements and have been adjusted by the application of cash collateral receivables and payables with its counterparties. The following table also identifies the net gain and loss amounts included in the consolidated statement of operations as net realized gain (loss) from derivative contracts and net change in unrealized appreciation or (depreciation) on derivative contracts, categorized by primary underlying risk, for the period ended December 31, 2014: Derivative Derivative Realized Unrealized Primary underlying risk assets liabilities gain (loss) gain (loss) Interest Rate Interest Rate Swap S 68.357 S (1.065.573) s 221.826 $ (997.2161 68,357 1 065,573) 221.826 (997,2161 Foreign Currency Exchange Rate Currency Future - - 175,470 - Currency Option 75 (19) 1,942 394 Forward Contract 36,013 (56,543) - (20,5301 36.088 (56.562) 177.412 (20.1361 Equity Price Equity Option 387,764 (239.066) (19.8721 21.940 Equity Warrant - (5.2381 - Financial Index Future • 51.722 - Right 834 (580) (7271 1.990 Total Return Swap 857,063 (597.258) (54.4891 259.805 Warrant - (5.294) 17801 282 1,245.661 (842.198) (29,3841 284,017 Commodity Price Commodity Option 323,940 (275.780) 75.962 64.580 Financial Commodity Future (2.9491 Future Option 26,750 (108.625) 138.401 (20.1931 Index Option 28.860 Physical Commodity Future 811,283 (700.0811 1.002,147 111.202 Physical Index Future 14.867 8,8881 (367,0161 5,979 1,176,840 (1,093,3741 875,405 161,568 Credit Credit Default Index (11.8921 Credit Default Swap (33,3531 (30,3751 (35.7041 (33,353) (42,267) (35,704) S 2,526.946 S (3.091.0601 S 1.202.993 S (607.4721 40 EFTA01144310 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 5. Offsetting assets and liabilities The Partnership is required to disclose the impact of offsetting assets and liabilities represented in the consolidated statement of financial condition to enable users of the consolidated financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to an enforcable master netting arrangement or similar agreement or meet the following right of setoff criteria: the amounts owed by the Partnership to another party are determinable, the Partnership has the right to set off the amounts owed with the amounts owed by the other party, the Partnership intends to set off, and the Partnership's right of setoff is enforceable at law. As of December 31, 2014, the Partnership holds financial instruments and derivative instruments that are eligible for offset in the Statement of Financial Condition and are subject to a master netting arrangement. The master netting arrangement allows the counterparty to net applicable collateral held on behalf of the Partnership against applicable liabilities or payment obligations of the Partnership to the counterparty. These arrangements also allow the counterparty to net any of its applicable liabilities or payment obligations they have to the Partnership against any collateral sent to the Partnership. The following table provides disclosure regarding the potential effect of offsetting of recognized assets presented in the statement of financial condition had the Partnership elected to offset: As of December 31, 2014 Gross Amount of Gross Amounts Not Offset in the Recognized Assets Statement of Financial Condition Presented in the Statement of Financial Cash Collateral Financial Condition Instruments Received Net Amount Counterparty A 68,357 (45,884) 22,473 Counterparty B 825,553 (557,540) 268,013 Counterparty C - Counterparty D 58,938 (58,938) Counterparty E 8,585 8,585 S 961,433 $ (662,362) 5 S 299,071 The amounts of derivative contracts presented in the preceding table differ from the amounts reported in the statement of financial condition as the result of option and right contracts in the amount of $739,363 and futures contracts of $826,150, which are not subject to master netting arrangements. 41 EFTA01144311 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 5. Offsetting assets and liabilities (continued) The following table provides disclosure regarding the potential effect of offsetting of recognized liabilities presented in the statement of financial condition had the Fund elected to offset: As of December 31, 2014 Gross Amount of Gross Amounts Not Offset in the Recognized Liabilities Statement of Financial Condition Presented in the Statement of Financial Cash Collateral Financial Condition Instruments Paid Net Amount Counterparty A (45,884) 45,884 Counterparty B (557,540) 557,540 Counterparty C (1,053,042) 1,053,042 Counterparty D (96,261) 58,938 (37,323) Counterparty E - S (1,752,727) 5 662,362 5 1,053,042 5 (37,323) The amounts of derivative contracts presented in the preceding table differ from the amounts reported in the statement of financial condition as the result of option and right contracts in the amount of ($624,820), warrants of (34,544) and futures contracts of ($708,969), which are not subject to master netting arrangements. 6. Securities sold short The Partnership is subject to certain inherent risks arising from its investing activities of selling securities short. The ultimate cost to the Partnership to acquire these securities may exceed the liability reflected in these consolidated financial statements. 7. Concentration of credit risk In the normal course of business, the Partnership maintains its cash balances in financial institutions, which at times may exceed federally insured limits. The Partnership is subject to credit risk to the extent any financial institution with which it conducts business is unable to fulfill contractual obligations on its behalf. Management monitors the financial condition of such financial institutions and does not anticipate any losses from these counterparties. 8. Partners' capital The Partnership is offering two different classes of limited partnership interests in the Partnership, Founders Class and Class A. Within the Founders Class limited partnership interests, the Partnership is offering Class 1F interests and Class 2F interests (together, the "Founders Class Interests"). Within Class A limited Partnership interests, the Partnership is offering Class 1A interests and Class 2A interests (together, the "Class A Interests"). Founders Class Interests and Class A Interests have the same rights, privileges, preferences and terms, except with respect to the management fees and incentive percentage. Additionally, Class 1F and Class lA interests are subject to a two year lock-up period, while Class 2F and Class 2A interests are subject to a one year lock-up period. In accordance with the limited partnership agreement (the "Agreement"), profits and losses of the Partnership are allocated to partners according to their respective interests in the Partnership. Subject to certain limitations, generally 12.5%, 15%, 17.5%, and 20% of the net profits allocated to the limited partners is reallocated to the General Partner, for Class 1F, Class 2F, Class 1A, and Class 2A interests, respectively. Limited partners have redemption rights which contain certain restrictions with respect to rights of withdrawal from the Partnership as specified in the Agreement. 42 EFTA01144312 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 8. Partners' capital (continued) Advance capital contributions represents amounts owed to limited partners for cash received prior to the effective date of such contributions. Capital withdrawals payable represent amounts due to partners based on withdrawals effective through December 31, 2014. 9. Related party transactions On July 1, 2013 Boothbay Fund Management was hired by Freestone Capital Management, LLC ("Freestone") as the Investment Manager for its First-Loss platform (re-named Ignition Opportunity Partners LP). On July 1, 2014, Ignition Opportunity Fund, LLC was formed to take over managers on the First-Loss platform previously with Freestone. Each of the accounts was converted over to Boothbay. It was then merged with Boothbay Multi- Strategy Fund, LLC to form the two wholly owned subsidiaries of Boothbay Absolute Return Strategies, LP. The Partnership pays the Investment Manager a management fee, calculated and payable quarterly in advance, equal to 1% for Founders Class Interests and 1.25% for Class A Interests, of the Partnership's net asset value determined as of the beginning of each calendar quarter. Certain limited partners are affiliated with the General Partner. The aggregate value of the affiliated limited partners' share of partners' capital at December 31, 2014 is approximately $17,800,000. Certain limited partners have special management fee arrangements, performance arrangements, or redemption rights as provided for in the Agreement. During 2014, the Partnership entered into purchase and sale transactions with an affiliated entity which is also managed by the General Partner. Total purchases and sales at fair value of $274,908 were made with this related party. Transactions with related parties resulted in net gains (losses) of $274,908 and are included in net gain (loss) on investments in the consolidated statement of operations. The terms, conditions and execution of each such purchase and sale were on an arm's-length basis. 10. Administrative fee Kaufman Rossin Fund Services, LLC (the "Administrator') serves as the Partnership's administrator and performs certain administrative and clerical services on behalf of the Partnership. 43 EFTA01144313 BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FOR THE PERIOD JULY 1, 2014 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2014 11. Financial highlights Financial highlights for the period ended December 31, 2014 are as follows: Total return Total return before reallocation to General Partner 0.9 % Reallocation to General Partner (0.1) Total return after reallocation to General Partner 0.8 % Ratio to average limited partners' capital Expenses (including interest and dividends) 10.1 % Reallocation to General Partner 0.1 Expenses and reallcoation to General Partner 10.2 % Net investment income (loss) (5.1) % Financial highlights are calculated for the limited partner class taken as a whole. An individual limited partners return and ratios may vary based on participation in new issues, private investments, different performance and/or management fee arrangements, and the timing of capital transactions. The net investment income (loss) ratio does not reflect the effects of the reallocation to the General Partner. The ratios, excluding nonrecurring expenses and the reallocation to the General Partner, have been annualized. 12. Subsequent events From January 1, 2015 through April 30, 2015, the Partnership accepted additional capital contributions of approximately $9,400,000 and had additional capital withdrawals of approximately $6,190,000. 44 EFTA01144314