This excerpt taken from the C 10-K filed Feb 23, 2007.
Investments in Sub-Masters
During the year ended November 30, 2006, the General Partner created five legal entities (collectively the Sub-Master Funds) based on specific trading strategies and contributed assets and liabilities related to those strategies from the Master Fund to the Sub-Master Funds. In addition, during the year the Master Fund made direct investments into Tribeca Global Convertible Investments Ltd., an existing fund managed by the General Partner.
Summarized information at November 30, 2006 reflecting the fair value of total assets, total liabilities, net capital and the Master Funds interest in each of the Tribeca Sub-Master Funds as well as Tribeca Global Convertibles Investments, Ltd. is shown in the following table:
The notional amount of all Portfolio Funds derivative contracts is approximately $2.7 billion representing trading activities in various interest rate, foreign exchange and equity instruments.
In the normal course of business, the Master Fund enters into trading activities which include, but are not limited to, futures, forwards, call and put options, warrants, swaps and contracts for differences, all of which are forms of derivative financial instruments. Derivative financial instruments are generally used by the Master Fund to manage underlying portfolio risks, such as interest, currency, credit and market risks. The Master Fund manages the risks associated with derivatives on an aggregate basis, along with the risks associated with its trading activities and as part of its overall risk management policies. The notional amount of all Master Fund derivative contracts is approximately $18.8 billion.