-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GGB7ilqcrE2p82r4ZDGik1dLbHrmf9zEgQXbJBOPoZoHrqewxqg6OtZBJ1P2jhbj pyFTDJ85X77we7ZfXAD7Dw== 0000950123-09-039069.txt : 20090828 0000950123-09-039069.hdr.sgml : 20090828 20090828092843 ACCESSION NUMBER: 0000950123-09-039069 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090630 FILED AS OF DATE: 20090828 DATE AS OF CHANGE: 20090828 EFFECTIVENESS DATE: 20090828 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PNC Long-Short Master Fund LLC CENTRAL INDEX KEY: 0001339208 IRS NUMBER: 432097065 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-21818 FILM NUMBER: 091041291 BUSINESS ADDRESS: STREET 1: 2 HOPKINS PLAZA STREET 2: 11TH FL. CITY: BALTIMORE STATE: MD ZIP: 21201 BUSINESS PHONE: 800-239-0418 MAIL ADDRESS: STREET 1: 2 HOPKINS PLAZA STREET 2: 11TH FL. CITY: BALTIMORE STATE: MD ZIP: 21201 FORMER COMPANY: FORMER CONFORMED NAME: Mercantile Long-Short Manager Master Fund LLC DATE OF NAME CHANGE: 20050920 N-Q 1 g54160_lngshrtmstr-nq.txt 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 811-21818 PNC LONG-SHORT MASTER FUND LLC (Exact name of registrant as specified in charter) ---------- Two Hopkins Plaza Baltimore, MD 21201 (Address of principal executive offices) (Zip code) SEI Investments Global Funds Services 1 Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-239-0418 DATE OF FISCAL YEAR END: MARCH 31, 2010 DATE OF REPORTING PERIOD: JUNE 30, 2009 ITEM 1. SCHEDULE OF INVESTMENTS PNC LONG-SHORT MASTER FUND LLC QUARTERLY REPORT (UNAUDITED) JUNE 30, 2009 PNC LONG-SHORT MASTER FUND LLC SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2009
% OF INVESTMENT FUNDS* COST VALUE MEMBERS' CAPITAL - ----------------- ----------- ----------- ---------------- SECTOR HEDGED EQUITY Artis Partners 2X (Institutional), L.P.** $ 1,589,994 $ 4,124,882 11.82% DAFNA Fund, L.L.C., Series A** 1,387,404 2,058,069 5.90 Lucas Energy Total Return Partners, L.P. 2,460,180 1,628,673 4.67 ----------- ----------- ----- Total Sector Hedged Equity 5,437,578 7,811,624 22.39 EVENT HEDGED EQUITY Castlerigg Partners, L.P. 1,208,178 802,130 2.30 Harbinger Capital Partners Fund I, L.P. 1,804,077 1,891,964 5.42 Owl Creek II, L.P. 1,968,391 2,228,431 6.39 ----------- ----------- ----- Total Event Hedged Equity 4,980,646 4,922,525 14.11 U.S. HEDGED EQUITY Blue Harbour Strategic Value Partners, L.P.** 4,000,000 2,934,754 8.41 Wynnefield Partners Small Cap Value, L.P. 1,308,773 1,754,814 5.03 ----------- ----------- ----- Total U.S. Hedged Equity 5,308,773 4,689,568 13.44 INTERNATIONAL HEDGED EQUITY Firebird Global Fund II, L.P. 58,015 32,213 0.09 Horseman Global Fund, L.P. 857,630 2,479,237 7.10 Kingdon Associates, L.P. 1,234,055 2,019,170 5.79 ----------- ----------- ----- Total International Hedged Equity 2,149,700 4,530,620 12.98 TRADING Cipher Composite Fund L.P. 895,546 1,612,104 4.62 Peak Select Partners L.P. 956,883 1,604,568 4.60 Quantitative Global 1X Fund LLC 1,000,000 1,027,499 2.94 ----------- ----------- ----- Total Trading 2,852,429 4,244,171 12.16 CREDIT Camulos Partners, L.P.** 2,974,842 1,064,269 3.05 ----------- ----------- ----- Total Credit 2,974,842 1,064,269 3.05 ----------- ----------- ----- Total Investment Funds 23,703,968 27,262,777 78.13 ----------- ----------- ----- REGISTERED INVESTMENT COMPANY - ----------------------------- SEI Daily Income Trust Money Market Fund 4,093,715 4,093,715 11.73 ----------- ----------- ----- Total Investments $27,797,683 $31,356,492 89.86% =========== =========== =====
* All Investment Funds are non-income producing. ** Fund investment fully or partially segregated to cover tender offers. As of June 30, 2009, the value of the PNC Long-Short Master Fund LLC's (the "Master Fund") investments by country as a percentage of members' capital is as follows:
COUNTRY COST VALUE - ------- ----------- ----------- United States - 89.86% $27,797,683 $31,356,492 ----------- ----------- $27,797,683 $31,356,492 =========== ===========
Percentages above are based on members' capital of $34,894,844. The aggregate cost of investments for tax purposes was expected to be similar to book cost of $27,797,683. Net unrealized appreciation on investments for tax purposes was $3,558,809 consisting of $7,797,985 of gross unrealized appreciation and $4,239,176 of gross unrealized depreciation. The investments in Investment Funds above, representing 89.86% of members' capital, have been fair valued in accordance with procedures established by the Board of Directors. PNC LONG-SHORT MASTER FUND LLC SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2009 On April 1, 2008, the Master Fund adopted the Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards (SFAS No. 157) which clarifies the definition of fair value for financial reporting, established a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: Level 1 - quoted prices in active markets for identical investments Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates prepayment speeds, credit risks, etc.) Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The table below sets forth information about the level within the fair value hierarchy at which the Master Fund's investments are measured at June 30, 2009:
Level 1 Level 2 Level 3 Total ---------- ------- ----------- ----------- Investments in other hedge funds $ -- $-- $27,262,777 $27,262,777 Investment in registered investment company 4,093,715 -- -- 4,093,715 ---------- --- ----------- ----------- TOTAL $4,093,715 $-- $27,262,777 $31,356,492 ========== === =========== ===========
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value:
Change in Beginning unrealized Net transfers Ending Balance as Realized appreciation/ Net purchase/ in and/or out Balance as of 3/31/09 gain/(loss) (depreciation) sales of Level 3 of 6/30/09 ---------- ----------- -------------- ------------ -------------- ----------- $28,190,344 $336,380 $2,220,585 $(3,484,532) $-- $27,262,777
The Investment Funds provide for periodic redemptions ranging from monthly to annually with lock up provisions of up to two years from initial investment.
INVESTMENT FUNDS LIQUIDITY - ---------------- ----------- Artis Partners 2X (Institutional), L.P. Quarterly Blue Harbour Strategic Value Partners, L.P. Annually Camulos Partners, L.P. Quarterly Castlerigg Partners, L.P. Quarterly Cipher Composite Fund L.P. Monthly DAFNA Fund, L.L.C., Series A Monthly Firebird Global Fund II, L.P. Semi-Annual Harbinger Capital Partners Fund I, L.P. Quarterly Horseman Global Fund, L.P. Monthly Kingdon Associates, L.P. Quarterly Lucas Energy Total Return Partners, L.P. Monthly Owl Creek II, L.P. Annually Peak Select Partners L.P. Monthly Quantitative Global 1X Fund LLC Monthly Wynnefield Partners Small Cap Value, L.P. Semi-Annual
For information on the Master Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Master Fund's most recent semi-annual or annual financial reports. ITEM 2. CONTROLS AND PROCEDURES (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) As of the date of this Form N-Q there were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. ITEM 3. EXHIBITS. (a) Separate certifications for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. 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. PNC Long-Short Master Fund LLC /s/ Kevin A. McCreadie - ------------------------------------- Kevin A. McCreadie Chief Executive Officer Date: August 27, 2009 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. /s/ Kevin A. McCreadie - ------------------------------------- Kevin A. McCreadie Chief Executive Officer Date: August 27, 2009 /s/ Jennifer E. Spratley - ------------------------------------- Jennifer E. Spratley Chief Financial Officer Date: August 27, 2009 EX-99.CERT 2 g54160_cert302.txt CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Kevin A. McCreadie, certify that: 1. I have reviewed this report on Form N-Q of PNC Long-Short Master Fund LLC; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 27, 2009 /s/ Kevin A. McCreadie - ------------------------------------- Kevin A. McCreadie Chief Executive Officer CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Jennifer E. Spratley, certify that: 1. I have reviewed this report on Form N-Q of PNC Long-Short Master Fund LLC; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 27, 2009 /s/ Jennifer E. Spratley - ------------------------------------- Jennifer E. Spratley Chief Financial Officer -----END PRIVACY-ENHANCED MESSAGE-----