N-Q 1 d433278dnq.htm MELLON OPTIMA L/S STRATEGY FUND, LLC Mellon Optima L/S Strategy Fund, LLC

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21694

MELLON OPTIMA L/S STRATEGY FUND, LLC

(Exact name of registrant as specified in charter)

 

 

BNY Mellon Financial Center

One Boston Place, 024-0071

Boston, Massachusetts 02108

(Address of principal executive offices) (Zip code)

Peter M. Sullivan, Esq.

BNY Mellon Financial Center

One Boston Place, 024-0081

Boston, Massachusetts 02108

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 722-7000

Date of fiscal year end: March 31

Date of reporting period: December 31, 2012

 

 

 


Item 1 — Schedule of Investments.

Attached hereto.


Mellon Optima L/S Strategy Fund, LLC

Consolidated Schedule of Investments - December 31, 2012 (Unaudited)

 

Investment Funds - United States

   Cost      Value     Percentage of
Net Assets
    Liquidity   Redemption
Notice Period
(# of days)
 

Opportunistic

           

Bay Pond Partners, L.P.

   $ 27,000,000       $ 28,644,296        6.1   Semi-Annually †*     45   

Espalier Global Partners, L.P.

     28,000,000         28,770,564        6.2   Quarterly (a)     30   

Glenview Institutional Partners, L.P.

     28,166,741         34,270,428        7.4   Quarterly †     45   

Karsh Capital II, L.P.

     9,853,883         14,620,719        3.1   Quarterly †     30   

SRS Partners Limited, Class B

     15,000,000         14,559,129        3.1   Quarterly (b)     60   
  

 

 

    

 

 

   

 

 

     
     108,020,624         120,865,136        25.9    
  

 

 

    

 

 

   

 

 

     

Growth

           

Conatus Capital Overseas, Ltd.

     29,225,000         28,869,332        6.2   Quarterly (c)     65   

Highbridge Long/Short Equity Fund, L.P.

     11,773,753         20,870,586        4.5   Quarterly †     45   

Maverick Fund USA, Ltd.

     18,824,416         22,286,625        4.8   Quarterly †     60   

Pequot Partners Liquidating Trust

     993,404         30,619        0.0   ††*  
  

 

 

    

 

 

   

 

 

     
     60,816,573         72,057,162        15.5    
  

 

 

    

 

 

   

 

 

     

Value

           

Amici Qualified Associates, L.P.

     14,948,921         22,179,402        4.8   Quarterly †     45   

Bay II Resource Partners, L.P.

     20,500,000         31,790,350        6.8   Quarterly †     45   

East Side Capital Offshore, Ltd.

     15,000,000         15,487,471        3.3   Monthly (d)     30   

JANA Nirvana Fund, L.P.

     20,000,000         21,698,737        4.7   Quarterly †     60   

Pershing Square, L.P.

     18,000,000         20,697,018        4.4   Quarterly (e)     65   

Scout Capital Partners II, L.P.

     23,000,000         23,928,708        5.1   Quarterly (f)     45   

SEG Partners II, L.P.

     28,000,000         32,826,549        7.1   Quarterly †     45   

Southpoint Qualified Fund, L.P.

     20,000,000         20,669,954        4.4   Quarterly (g)     60   
  

 

 

    

 

 

   

 

 

     
     159,448,921         189,278,189        40.6    
  

 

 

    

 

 

   

 

 

     

Global

           

Amiya Global Emerging Opportunities Fund, Ltd.

     18,339,889         20,547,359        4.4   Quarterly †     30   

Artha Emerging Markets Fund, L.P.

     14,641,770         14,086,370        3.0   Quarterly (h)     60   

Calypso Capital SPV, LLC

     1,138,967         1,039,548        0.2   ††  

Discovery Global Opportunity Fund, Ltd.

     20,000,000         20,554,325        4.4   Semi-Annually (i)     60   

Miura Global Partners II, L.P.

     20,000,000         23,269,381        5.0   Monthly †     90   
  

 

 

    

 

 

   

 

 

     
     74,120,626         79,496,983        17.0    
  

 

 

    

 

 

   

 

 

     

Total Investment Funds

     402,406,744         461,697,470        99.0    
  

 

 

    

 

 

   

 

 

     

Affiliated Investment

           

Dreyfus Institutional Reserves Treasury Prime Fund

     28,463,810         28,463,810        6.1   Daily (j)  
  

 

 

    

 

 

   

 

 

     

Total Investments

   $ 430,870,554         490,161,280        105.1    
  

 

 

    

 

 

   

 

 

     

Other Liabilities in Excess of Assets

        (23,951,753     (5.1 %)     
     

 

 

   

 

 

     

Total Net Assets

      $ 466,209,527        100.0    
     

 

 

   

 

 

     

 

1


Mellon Optima L/S Strategy Fund, LLC

Consolidated Schedule of Investments - December 31, 2012 (Unaudited)

 

(a)   Investment has a 1 year soft lock-up period with a 2% early withdrawal fee. $20 million was invested on 1/1/12 and an additional $8 million was invested on 8/1/12.

 

(b)   Investment has a 1 year hard lock-up period. Subsequently, the investment has a 1 year soft lock-up period with a 5% early withdrawal fee. $15 million was invested on 5/1/12.

 

(c)   Investment has a 1 year soft lock-up period with a 1.5% early withdrawal fee. $29,225,000 was invested on 10/1/12.

 

(d)   Investment has a 2 year soft lock-up period with a 4% early withdrawal fee during the first year and a 2% early withdrawal fee during the second year. $15,000,000 was invested on 11/1/12.

 

(e)   Up to 1/8 of the investment amount can be redeemed each quarter, essentially creating a gate that would require a minimum of eight quarters to fully withdraw. In addition, the investment may be subject to a gate if more than 20% of the net asset value of Pershing Square, L.P. is redeemed on the redemption date. $18 million was invested on 8/1/11.

 

(f)   Investment has a 1 year soft lockup period with a 5% early withdrawal fee. $5 million was invested on 4/1/12.

 

(g)   Partners may withdraw 25% of their balance each quarter, essentially creating a gate that would require four calendar quarters to fully withdraw. $20 million was invested on 2/1/12.

 

(h)   75% of this investment may be subject to a gate.

 

(i)   Investment has a 1 year soft lock-up period with a 5% early withdrawal fee during the first six months and a 3% early withdrawal fee during the remaining six months. $20,000,000 was invested on 11/1/12.

 

(j)   Investment in affiliated money market mutual fund. The 7-day yield at 12/31/12 was 0.00%.

 

  The investment amount has no lock-up or other redemption restrictions.

 

††   Illiquid investment. The investment is expected to liquidate over the next one to five years.

 

*   Investment held by Mellon Optima 1099 Domestic Access Fund LLC.

 

2


Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

December 31, 2012 (unaudited)

Significant Accounting Policies:

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Valuation of the Fund and its Investments

In accordance with the authoritative guidance on fair value measurements and disclosure under GAAP, the Fund discloses fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

• Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

• Level 2 — Quoted prices which are not active, quoted prices for restricted securities, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

• Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

The net asset value of the Fund is determined by or at the direction of the Adviser as of the close of business at the end of each calendar month and on any other date the Board may designate in accordance with the valuation principles set forth below or as may be determined from time to time pursuant to policies established by the Board.

The Board has approved procedures pursuant to which the Fund values its investments in Investment Funds at fair value. In accordance with these procedures, fair value as of the end of each calendar month and on any other date the Board may designate ordinarily is the value determined as of such date for each Investment Fund in accordance with the Investment Fund’s valuation policies and reported at the time of the Fund’s valuation. As a general matter, the fair value of the Fund’s interest in an Investment Fund represents the amount that the Fund could reasonably expect to receive from an Investment Fund if the Fund’s capital was withdrawn from the Investment Fund at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. All valuations utilize financial information supplied by the Investment Funds and are net of management fees and performance incentive fees or allocations payable to the Investment Funds’ managers or pursuant to the Investment Funds’ agreements. In the event that an Investment Fund does not report a value to the Fund on a timely basis at the end of each calendar month, the Fund determines the fair value of its interest in such Investment Fund based on the most recent value reported by the Investment Fund, as well as any other relevant information available at the time the Fund values its portfolio. These investments are categorized within Level 3 of the fair value hierarchy.

Shares of registered, open-end investment companies are valued at their net asset value. Securities for which market quotations are readily available and which are traded on a domestic or foreign securities exchange are valued at their last sale prices on the exchange where the securities are primarily traded.

Short-term instruments with less than sixty days remaining to maturity are valued at amortized cost, which approximates market value. If the Fund acquires a short-term instrument with more than sixty days remaining to its maturity, it is valued at current market value until the sixtieth day prior to maturity and then is valued at amortized cost based on the value on such date unless the Board determines during such sixty-day period that amortized cost does not represent fair value. In both instances, these instruments are categorized within Level 2 of the fair value hierarchy.

 

3


Mellon Optima L/S Strategy Fund, LLC

December 31, 2012 (unaudited)

Significant Accounting Policies (continued):

A. Valuation of the Fund and its Investments (continued)

The following is a summary of the inputs used as of December 31, 2012 in valuing the Fund’s investments carried at fair value:

 

Investments in Securities   

Level 1 –

Quoted

Prices

     Level 2 –
Other Significant
Observable Inputs
    

Level 3 –

Significant

Unobservable Inputs

     Total  

Investment Funds

   $ —         $ —         $ 461,697,470       $ 461,697,470   

Affiliated Mutual Fund

     28,463,810         —           —           28,463,810   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 28,463,810       $ —         $ 461,697,470       $ 490,161,280   
  

 

 

    

 

 

    

 

 

    

 

 

 

The Investment Funds have been disclosed by strategy in the Consolidated Schedule of Investments.

For the period ended December 31, 2012, there have been no significant changes to the Fund’s fair valuation methodology.

For the period ended December 31, 2012, there were no transfers between Level 1 and Level 2 of the fair value hierarchy.

 

4


Item 2 — Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date.

(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) during Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3 — Exhibits.

Separate certifications for the Registrant’s Principal Executive Officer and Principal Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as Ex99.CERT.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

MELLON OPTIMA L/S STRATEGY FUND, LLC
By:  

/s/    JENNIFER L. CARNES

  Jennifer L. Carnes
 

Vice President, Treasurer and

Chief Financial Officer

Date:       February 28, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/    JENNIFER L. CARNES

  Jennifer L. Carnes
 

Vice President, Treasurer and

Chief Financial Officer

Date:       February 28, 2013
By:  

/s/    DAVID K. MOSSMAN

  David K. Mossman
  President and Chief Executive Officer
Date:       February 28, 2013