Nuveen Mortgage Opportunity Term Fund 2 (XJMTX)
Filed: 29 Apr 13, 12:00am
Exhibit 99.1
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Financial Statements for the Years Ended December 31, 2012 and December 31, 2011 and Report of Independent Auditors
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Investment Manager
Wellington Management Company, LLP
280 Congress Street
Boston, Massachusetts 02210
Administrator
The Bank of New York Mellon
Alternative Investment Services Division
101 Barclay Street
New York, NY 10286
Custodian
BNY Mellon Asset Servicing
2 Hanson Place, 7th Floor
Brooklyn, NY 11217
Independent Auditors
PricewaterhouseCoopers LLP
125 High Street
Boston, Massachusetts 02110
Legal Counsel
K&L Gates LLP
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111
This report is for the Partners’ information only. Additional information regarding the Wellington Management Legacy Securities PPIF (Offshore), LP may be obtained from the Investment Manager at the address or telephone number provided below:
Wellington Management Company, LLP
c/o Wellington Management Legacy Securities PPIF (Offshore), LP
280 Congress Street
Boston, Massachusetts 02210
Telephone: (617) 951-5000
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
TABLE OF CONTENTS
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Independent Auditor’s Report | 1 | |||
Statements of Assets, Liabilities and Partners’ Capital | 2 | |||
Statements of Operations | 3 | |||
Statements of Changes in Partners’ Capital | 4 | |||
Statements of Cash Flows | 5 | |||
Notes to Financial Statements | 6-12 | |||
Independent Auditor’s Report
To the General and Limited Partners of
Wellington Management Legacy Securities PPIF (Offshore), LP
We have audited the accompanying financial statements of Wellington Management Legacy Securities PPIF (Offshore), LP (“the Fund”), which comprise the statements of assets, liabilities and partners’ capital, as of December 31, 2012 and 2011, and the related statements of operations, of changes in partners’ capital, and of cash flows for the years then ended.
Management’s Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.
Auditor’s Responsibility
Our responsibility is to express an opinion on the financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund’s preparation and fair presentation of the 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 Fund’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 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 financial statements referred to above present fairly, in all material respects, the financial position of Wellington Management Legacy Securities PPIF (Offshore), LP (the “Fund”) at December 31, 2012 and 2011, and the results of its operations, changes in its partners’ capital and its cash flows for the years then ended, in accordance with accounting principles generally accepted in the United States of America.
Emphasis of Matter
As discussed in Note 6 to the financial statements, on March 6, 2013, the General Partner began an orderly process to wind down the affairs of the Fund. Our opinion is not modified with respect to this matter.
April 16, 2013
PricewaterhouseCoopers LLP, 125 High Street, Boston, MA 02110
T: (617) 530 5000, F:(617) 530 5001, www.pwc.com/us
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Statements of Assets, Liabilities and Partners’ Capital
December 31, 2012 and 2011
(in United States Dollars)
| December 31, 2012 | December 31, 2011 | |||||||
Assets | ||||||||
Investment in Wellington Management Legacy Securities PPIF Master Fund, LP (the “Master Fund”), at fair value | $ | 950,455,201 | $ | 713,408,980 | ||||
Cash | 239,428 | 266,327 | ||||||
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Total assets | $ | 950,694,629 | $ | 713,675,307 | ||||
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Liabilities and partners’ capital | ||||||||
Liabilities | ||||||||
Management fees payable | $ | 443,170 | $ | 346,714 | ||||
Professional fees payable | 240,877 | 178,602 | ||||||
Administration fees payable | 37,065 | 48,931 | ||||||
Due to Limited Partners | — | 172,050 | ||||||
Other accrued expenses | 64,565 | 43,774 | ||||||
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Total liabilities | 785,677 | 790,071 | ||||||
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Partners’ capital | ||||||||
General Partner | 40,570,230 | 86,778 | ||||||
Limited Partners | 909,338,722 | 712,798,458 | ||||||
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Total partners’ capital | 949,908,952 | 712,885,236 | ||||||
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Total liabilities and partners’ capital | $ | 950,694,629 | $ | 713,675,307 | ||||
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The accompanying notes are an integral part of these financial statements.
2
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Statements of Operations
For the Years Ended December 31, 2012 and December 31, 2011
(in United States Dollars)
| For the Years Ended | ||||||||
| December 31, 2012 | December 31, 2011 | |||||||
Net investment income allocated from Master Fund | ||||||||
Interest income | $ | 92,346,416 | $ | 110,586,395 | ||||
Interest expense | (10,150,493 | ) | (10,129,795 | ) | ||||
Administration fees | (359,899 | ) | (348,539 | ) | ||||
Professional fees | (63,552 | ) | (61,977 | ) | ||||
Other expenses | (59,817 | ) | (52,962 | ) | ||||
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Net investment income allocated from Master Fund | 81,712,655 | 99,993,122 | ||||||
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Offshore Feeder expenses | ||||||||
Management fees | 1,669,161 | 1,460,699 | ||||||
Administration fees | 264,337 | 275,367 | ||||||
Professional fees | 173,315 | 171,246 | ||||||
Other expenses | 40,000 | 17,185 | ||||||
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Total Offshore Feeder expenses | 2,146,813 | 1,924,497 | ||||||
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Net investment income | 79,565,842 | 98,068,625 | ||||||
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Net realized gain (loss) and change in unrealized appreciation (depreciation) allocated from Master Fund | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 111,061,162 | 1,175,620 | ||||||
Swap contracts | (36,048,495 | ) | (6,460,247 | ) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 258,309,628 | (224,724,865 | ) | |||||
Swap contracts | 27,060,669 | (24,307,358 | ) | |||||
UST Warrant | 494,258 | 560,650 | ||||||
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Net realized gain (loss) and change in unrealized appreciation (depreciation) allocated from Master Fund | 360,877,222 | (253,756,200 | ) | |||||
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Net increase (decrease) in partners’ capital resulting from operations | $ | 440,443,064 | $ | (155,687,575 | ) | |||
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The accompanying notes are an integral part of these financial statements.
3
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Statements of Changes in Partners’ Capital
For the Years Ended December 31, 2012 and December 31, 2011
(in United States Dollars)
| Offshore Cayman Feeders | ||||||||||||||||||||
| General Partner | Advent Legacy Securities, Ltd. | Wellington Management Legacy Securities PPIF (Offshore) Ltd. | Other Limited Partners’ | Total | ||||||||||||||||
Partners’ capital, at December 31, 2011 | $ | 86,778 | $ | 87,690,177 | $ | 596,509,305 | $ | 28,598,976 | $ | 712,885,236 | ||||||||||
Distributions Investment proceeds | (24,654 | ) | (25,097,673 | ) | (170,161,233 | ) | (8,135,788 | ) | (203,419,348 | ) | ||||||||||
Net increase in partners’ capital resulting from operations | 53,599 | 54,271,884 | 368,429,863 | 17,687,718 | 440,443,064 | |||||||||||||||
Carried interest | 40,454,507 | (5,151,093 | ) | (35,303,414 | ) | — | — | |||||||||||||
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Partners’ capital, at December 31, 2012 | $ | 40,570,230 | $ | 111,713,295 | $ | 759,474,521 | $ | 38,150,906 | $ | 949,908,952 | ||||||||||
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| Offshore Cayman Feeders | ||||||||||||||||||||
| General Partner | Advent Legacy Securities, Ltd. | Wellington Management Legacy Securities PPIF (Offshore) Ltd. | Other Limited Partners’ | Total | ||||||||||||||||
Partners’ capital, at December 31,2010 | $ | 11,125,968 | $ | 91,592,135 | $ | 622,256,218 | $ | 30,227,694 | $ | 755,202,015 | ||||||||||
Contributions | 19,897 | 20,255,093 | 137,328,732 | 6,565,993 | 164,169,715 | |||||||||||||||
Distributions Investment proceeds | (6,157 | ) | (6,267,519 | ) | (42,493,532 | ) | (2,031,711 | ) | (50,798,919 | ) | ||||||||||
Net decrease in Partners’ Capital resulting from operations | (18,676 | ) | (19,277,175 | ) | (130,228,724 | ) | (6,163,000 | ) | (155,687,575 | ) | ||||||||||
Carried interest | (11,034,254 | ) | 1,387,643 | 9,646,611 | — | — | ||||||||||||||
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Partners’ capital, at December 31, 2011 | $ | 86,778 | $ | 87,690,177 | $ | 596,509,305 | $ | 28,598,976 | $ | 712,885,236 | ||||||||||
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The accompanying notes are an integral part of these financial statements.
4
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Statements of Cash Flows
For the Years Ended December 31, 2012 and December 31, 2011
(in United States Dollars)
| For the Years Ended | ||||||||
| December 31, 2012 | December 31, 2011 | |||||||
Cash flows from operating activities: | ||||||||
Net increase (decrease) in partners’ capital resulting from operations | $ | 440,443,064 | $ | (155,687,575 | ) | |||
Adjustments to reconcile net increase (decrease) in partners’ capital resulting from operations to net cash provided (used in) by operating activities: | ||||||||
Investments made in Master Fund | — | (164,169,715 | ) | |||||
Distributions received from Master Fund | 205,543,656 | 52,849,119 | ||||||
Net investment income allocated from Master Fund | (81,712,655 | ) | (99,993,122 | ) | ||||
Net realized (gain) loss and change in unrealized (appreciation) depreciation allocated from Master Fund | (360,877,222 | ) | 253,756,200 | |||||
Increase (decrease) in management fees payable | 96,456 | (234,861 | ) | |||||
Increase in professional fees payable | 62,275 | 69,850 | ||||||
Decrease in administration fees payable | (11,866 | ) | (10,952 | ) | ||||
Decrease in due to Limited Partners | (172,050 | ) | (60,000 | ) | ||||
Decrease in due to General Partner | — | (2,000 | ) | |||||
Decrease in distribution payable | — | (189,212 | ) | |||||
Increase (decrease) in other accrued expenses | 20,791 | (2,194 | ) | |||||
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Net cash provided by (used in) operating activities | 203,392,449 | (113,674,462 | ) | |||||
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Cash flows from financing activities: | ||||||||
Distributions | (203,419,348 | ) | (50,798,919 | ) | ||||
Contributions | — | 164,169,715 | ||||||
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Net cash provided by (used in) financing activities | (203,419,348 | ) | 113,370,796 | |||||
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Net change in cash | (26,899 | ) | (303,666 | ) | ||||
Cash: | ||||||||
Beginning of year | 266,327 | 569,993 | ||||||
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End of year | $ | 239,428 | $ | 266,327 | ||||
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The accompanying notes are an integral part of these financial statements.
5
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements
December 31, 2012 and December 31, 2011
(in United States Dollars)
| 1. | Organization |
Wellington Management Legacy Securities PPIF (Offshore), LP (the “Offshore Feeder”) is a Delaware limited partnership that commenced operations on October 1, 2009 (the “Initial Closing Date”). The General Partner of the Offshore Feeder is Wellington PPIF Management, LLC, a Delaware limited liability company (the “General Partner”), and the Offshore Feeder’s investment manager is Wellington Management Company, LLP (the “Investment Manager”). The Offshore Feeder’s investment objective is to achieve attractive returns by investing substantially all of its assets in Wellington Management Legacy Securities PPIF Master Fund, LP (the “Master Fund”).
The Master Fund’s investment objective is to seek to generate attractive returns through long-term opportunistic investments in commercial mortgage backed securities and non-agency residential mortgage backed securities issued prior to 2009 that were originally rated AAA or an equivalent rating by two or more nationally recognized statistical rating organizations without ratings enhancement and that are secured directly by the actual mortgage loans, leases or other assets and not other securities (collectively, “Eligible Assets”). At least 90% of the assets underlying any Eligible Asset will be situated in the United States, and must be purchased solely from financial institutions from which the Secretary of the United States Department of the Treasury (the “UST”) may purchase assets pursuant to Section 101(a)(1) of the United States Emergency Economic Stabilization Act of 2008, as amended. There can be no assurance that Master Fund will achieve its investment objective or generate any positive returns.
The Master Fund serves as the investment vehicle for the General Partner and its limited partners: Wellington Management Legacy Securities PPIF, LP, a Delaware limited partnership (the “Onshore Feeder”) and the Offshore Feeder, (together referred to as the “Private Investor Funds”) and the UST, under a master-feeder structure. The limited partners in the Offshore Feeder are Wellington Management Legacy Securities PPIF (Offshore) Ltd. (the “Cayman Feeder”), a Cayman Islands exempted company, Advent Legacy Securities PPIF, Ltd. (“Advent Feeder”), a Cayman Islands exempted company, collectively the “Offshore Cayman Feeders”, and Other Limited Partners’ (“Series B Limited Partners”).
The General Partner may designate one or more series of limited partner interest in the Offshore Feeder. Except for changes in the fees paid or the distribution waterfall applied with respect to a particular series, the rights and obligations of the Limited Partners in each series will be the same. The General Partner has designated the Series B Limited Partners interest.
The financial statements of the Master Fund, including the schedules of investments, are attached herewith in this report and should be read in conjunction with the Offshore Feeder’s financial statements.
As of December 31, 2012 and December 31, 2011, the percentage of the Master Fund owned by the Offshore Feeder was 35.89% based on capital committed.
6
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2012 and December 31, 2011
(in United States Dollars)
Due to the long-term nature of the Master Fund’s investments, the Offshore Feeder’s investment in the Master Fund is considered to be illiquid and is not transferable without the written consent of the Master Fund’s General Partner.
The term of the Offshore Feeder will continue until the dissolution date, which is October 1, 2017, unless the Offshore Feeder is sooner dissolved in accordance with the terms of the partnership agreement. However, the General Partner, in its sole discretion, may extend the term of the Offshore Feeder for up to two successive one-year periods.
| 2. | Summary of Significant Accounting Policies |
Basis of Accounting
The financial statements of the Offshore Feeder are expressed in United States Dollars and are prepared in accordance with accounting principles generally accepted in the United States of America (“US GAAP”).
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in partners’ capital from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Fair Value Measurement
The Offshore Feeder records its investment in the Master Fund at fair value. Valuation of securities held by the Master Fund and disclosures relating to the Offshore Feeder’s underlying investments held within the Master Fund are discussed in the notes to the Master Fund financial statements attached herewith in this report.
Investment Transactions, Investment Income and Expenses
Investment transactions are recorded on the effective date. The Offshore Feeder records its proportionate share of the Master Fund’s income, expenses, and realized and unrealized gains and losses. In addition, the Offshore Feeder records its own income and expenses on the accrual basis.
Income Taxes
ASC 740-10 establishes financial accounting and disclosure requirements for recognition and measurement of tax positions taken or expected to be taken on an income tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable taxing authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit in the current year.
The Offshore Feeder is treated as a partnership for U.S. federal income tax purposes and, as such, is generally not subject to U.S. federal or state income tax. Each partner of the Offshore Feeder generally is liable for its share of all U.S. federal and state taxes, if any, imposed on the net investment income and realized gains of the Offshore Feeder.
7
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2012 and December 31, 2011
(in United States Dollars)
No income tax liability for uncertain tax positions has been recorded in the accompanying financial statements. The Offshore Feeder is subject to examination by U.S. Federal and State tax authorities for tax returns filed after December 31, 2009. Each partner is individually responsible for reporting income or loss, to the extent required by the federal and state income tax laws and regulations, based upon its respective share.
Cash
The Offshore Feeder maintains cash in a bank deposit account that, at times, may exceed U.S. federally insured limits. The Offshore Feeder has not experienced any losses in such accounts and does not believe it is exposed to any significant credit risk on such bank deposits.
Indemnifications
The Offshore Feeder enters into contracts that contain a variety of indemnifications. The Offshore Feeder’s maximum exposure under these arrangements is unknown. However, the Offshore Feeder has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Risk Factors
Risks associated with the investment portfolio of the Master Fund are discussed in the notes to the Master Fund financial statements attached herewith in this report.
| 3. | Partners’ Capital |
Capital Commitments and Capital Contributions
Under the terms of the Limited Partnership Agreement, the General Partner admitted Limited Partners (the “Limited Partners” and collectively with the General Partner, “Partners”) to the Offshore Feeder on October 1, 2009 (commencement of operations). In aggregate, a total of $825,000,000 in Limited Partners and $100,000 in General Partner capital commitments were accepted. As of December 31, 2012 and December 31, 2011, the Offshore Feeder called and has received all capital commitments in cash contributions from the Partners.
Capital Allocations
For financial reporting and other purposes, income, gains, deductions, losses and credits of the Offshore Feeder will generally be allocated among the Partners for each fiscal year based on capital commitments as described in the distributions section below. The Offshore Feeder will initially pay the expenses of the Offshore Cayman Feeders and then will be reimbursed by charging such amounts to the Offshore Cayman Feeders’ respective capital account.
The General Partner is entitled to a priority allocation of profit, “carried interest” that is allocated from the capital account of the limited partners to the capital account of the General Partner if the performance of the Offshore Feeder exceeds a cumulative preferred 5% annual return, compounded
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Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2012 and December 31, 2011
(in United States Dollars)
annually, on their unreturned capital contribution. For financial statement presentation purposes, the calculation of the carried interest is calculated on a hypothetical liquidation basis as if the Master Fund were to liquidate its investments at the current reported value and net proceeds received by the Offshore Feeder were distributed in accordance with the provisions below. The General Partner, in its sole discretion, may waive or reduce management fee and incentive allocation with respect to specific investors. During the year ended December 31, 2011, carried interest of $11,034,254 was allocated back to the Limited Partners as a result of the Offshore Feeder’s performance. In 2012, the General Partner was allocated $40,454,507 in carried interest. See item (3) in the distribution section that follows for further detail.
Distributions
Distributions are from cash proceeds received from the Master Fund for the sale or disposition of investments, dividends, interest or other income from investments after the effects of any reserves made to meet future expenses and liabilities of the Offshore Feeder. Distributions are made at the discretion of the General Partner and are allocated pursuant to the distribution priorities set forth below:
| (1) | First, 100% to the Partners until they have received distributions equal to the Partners’ aggregate capital contributions to date; |
| (2) | Second, 100% to the Partners until the aggregate cumulative distributions received by the Partners are equal to a cumulative preferred 5% annual return, compounded annually, on their unreturned capital contributions to date for the period outstanding; |
| (3) | Third, 100% to the Series B Limited Partners, 85% to each Partner other than a Series B Limited Partners on a pro rata basis based on their commitment percentages in the Offshore Feeder, and then 15% to the General Partner, until the aggregate cumulative distributions received by the General Partner are equal to a cumulative 3.5% annual fee to date of Limited Partners’ capital balance; and |
| (4) | Finally, 100% to the Partners on a pro rata basis based on their commitment percentages in the Offshore Feeder. |
During the year ended December 31, 2012 and December 31, 2011, the Offshore Feeder did not make recallable distributions to the Partners.
For the years end December 31, 2012 and December 31, 2011, the Offshore Feeder has incurred expenses specifically related to the Cayman Feeder and Advent Feeder. Such expenses have been allocated to the applicable feeder as incurred, rather than pro-rata.
| 4. | Management Agreement |
The Offshore Feeder has entered into a portfolio management, research and administrative services agreement (the “Management Agreement”) with the Investment Manager. In consideration of the services rendered to the Offshore Feeder by the Investment Manager pursuant to the Management Agreement, the Offshore Feeder shall pay a management fee to the General Partner, payable quarterly in arrears, equal to 0.20% per annum of the average month-end capital balances of its Limited Partners during the quarter (the “Management Fee”). Series B Limited Partners are exempt from this management fee.
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Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements(continued)
December 31, 2012 and December 31, 2011
(in United States Dollars)
During the years ended December 31, 2012 and December 31, 2011, the Offshore Feeder incurred Management Fees of $1,669,161 and $1,460,699, respectively. As of December 31, 2012 and December 31, 2011, $443,170 and $346,714 remained payable by the Offshore Feeder, respectively.
10
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2012 and December 31, 2011
(in United States Dollars)
| 5. | Financial Highlights |
The financial highlights are calculated for the years ended December 31, 2012 and December 31, 2011 for each limited partner and exclude data for the General Partner; calculations of these highlights on an individual limited partner basis may yield results that vary from those stated herein due to the timing of capital transactions and different expense arrangements.
Ratios to limited partners’ capital:(5)
| 2012 | 2011 | |||||||
| Weighted Average Partners’ Capital (4) | Weighted Average Partners’ Capital (4) | |||||||
Advent Feeder | ||||||||
Expenses before carried interest(1)(2) | 1.59 | % | 1.71 | % | ||||
Carried interest(2) | 4.97 | % | (1.48 | )% | ||||
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Total expenses(1)(2) | 6.56 | % | 0.23 | % | ||||
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Net investment income(1)(2) | 9.40 | % | 12.79 | % | ||||
Cayman Feeder | ||||||||
Expenses before carried interest(1)(2) | 1.52 | % | 1.64 | % | ||||
Carried interest(2) | 5.01 | % | (1.51 | )% | ||||
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Total expenses(1)(2) | 6.53 | % | 0.13 | % | ||||
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Net investment income(1)(2) | 9.44 | % | 12.83 | % | ||||
Other Limited Partners’ | ||||||||
Expenses(2) | 1.28 | % | 1.41 | % | ||||
Net investment income(2) | 9.47 | % | 12.90 | % | ||||
| Inception through | ||||||||||||
| December 31, 2012 | December 31, 2011 | December 31, 2010 | ||||||||||
Internal rate of return(3) | ||||||||||||
Advent Feeder | 16.17 | % | (5.02 | )% | 20.51 | % | ||||||
Cayman Feeder | 16.27 | % | (4.81 | )% | 20.87 | % | ||||||
Other Limited Partners’ | 18.17 | % | (4.63 | )% | 23.72 | % | ||||||
| (1) | Includes amounts allocated from the Master Fund. |
| (2) | The ratios of expenses and net investment income to Partners’ Capital represent the expenses before and after carried interest and net investment income for the years allocated to the Limited Partners, as reported on the Statements of Operations, to Limited Partners’ Capital. |
| (3) | The internal rate of return (“IRR”) since inception is presented for each group of Limited Partners and is net of all expenses and profit sharing allocations, if any, to the General Partner. The IRR is computed based on the actual dates of the Limited Partners’ cash flows and the residual value of the Limited Partners’ capital account at December 31, 2012 and December 31, 2011. The IRR is not calculated using weighted average partners’ capital. |
| (4) | Weighted average partners’ capital was calculated using the end of the month partners’ capital balance, adjusted for timing of capital transactions. |
| (5) | The ratios may vary if the calculation is performed on an individual Limited Partner’s level. |
11
Wellington Management Legacy Securities PPIF (Offshore), LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2012 and December 31, 2011
(in United States Dollars)
| 6. | Subsequent Events |
The Offshore Feeder has evaluated the impact of all subsequent events on the Offshore Feeder through April 16, 2013, the date the financial statements were available to be issued, and has determined that the following subsequent events required disclosure in the financial statements.
On January 29, 2013 and February 20, 2013, the Offshore Feeder made distributions to the Partners in the amounts of $190,598,100 and $313,281,572. On March 6, 2013, management approved a plan to wind up the affairs of the Master Fund and Offshore Feeder. Pursuant to this plan, on March 19, 2013, in connection with the orderly liquidation of the remaining investments of the Master Fund, the Offshore Feeder distributed $506,930,411.
12