Item 1. | Schedule of Investments. |
% of | ||||||||||||
Members | ||||||||||||
Cost | Value | Capital | ||||||||||
Investment Funds* |
||||||||||||
Credit Based |
||||||||||||
Brigade Leveraged Capital Structures Fund, L.P. |
$ | 803,918 | $ | 1,031,937 | 3.64 | % | ||||||
Chatham Asset Partners High Yield Fund |
880,000 | 960,076 | 3.38 | |||||||||
Claren Road Credit Partners, L.P. |
1,200,000 | 1,465,334 | 5.17 | |||||||||
GSO Liquidity Partners L.P. |
88,941 | 85,802 | 0.30 | |||||||||
GSO Special Situations Fund, L.P. |
181,163 | 245,786 | 0.87 | |||||||||
MKP Credit, L.P. |
1,193,430 | 1,904,374 | 6.72 | |||||||||
Total Credit Based |
4,347,452 | 5,693,309 | 20.08 | |||||||||
Event-Driven |
||||||||||||
Canyon Value Realization Fund, L.P. |
123,195 | 180,937 | 0.64 | |||||||||
Castlerigg Partners, L.P. |
40,400 | 30,926 | 0.11 | |||||||||
Cerberus SPV, LLC |
900,657 | 1,762,438 | 6.22 | |||||||||
Lenado Partners, Series A of Lenado Capital
Partners L.P.(a) |
403,134 | 96,214 | 0.34 | |||||||||
Luxor Capital Partners L.P. |
880,000 | 976,678 | 3.44 |
% of | ||||||||||||
Members | ||||||||||||
Cost | Value | Capital | ||||||||||
Investment Funds* (continued) |
||||||||||||
Event-Driven (continued) |
||||||||||||
Montrica Global Opportunities Fund, L.P. |
$ | 156,078 | $ | 83,119 | 0.29 | % | ||||||
Taconic Opportunity Fund, L.P. |
897,415 | 1,238,280 | 4.37 | |||||||||
Trian Partners |
1,000,000 | 1,059,111 | 3.74 | |||||||||
Total Event-Driven |
4,400,879 | 5,427,703 | 19.15 | |||||||||
Global Macro |
||||||||||||
Argonaut Macro Partnership L.P. |
880,000 | 840,977 | 2.97 | |||||||||
Brevan Howard, L.P. |
597,239 | 1,270,272 | 4.48 | |||||||||
COMAC Global Macro Fund, L.P. |
1,000,000 | 1,128,055 | 3.98 | |||||||||
Prologue Delaware Feeder Fund L.P. |
1,100,000 | 1,095,738 | 3.86 | |||||||||
Total Global Macro |
3,577,239 | 4,335,042 | 15.29 | |||||||||
Hedged Equity |
||||||||||||
Ascend Partners Fund II L.P. |
1,100,000 | 1,097,247 | 3.87 | |||||||||
Atlas Global, LLC(a) |
1,500,000 | 1,883,594 | 6.65 | |||||||||
Indus Europe Fund L.P. |
1,000,000 | 1,018,917 | 3.59 | |||||||||
Karsch Capital II L.P. |
1,000,000 | 983,137 | 3.47 | |||||||||
Perry Partners, L.P. |
55,556 | 68,557 | 0.24 | |||||||||
PFM Diversified Fund, L.P. |
1,500,000 | 1,732,296 | 6.11 | |||||||||
SAC Multi-Strategy Fund L.P. |
50,057 | 56,198 | 0.20 | |||||||||
Total Hedged Equity |
6,205,613 | 6,839,946 | 24.13 | |||||||||
Managed Futures |
||||||||||||
BlueTrend Fund L.P. (Class A) |
762,473 | 946,134 | 3.34 | |||||||||
Total Managed Futures |
762,473 | 946,134 | 3.34 | |||||||||
Multi-Strategy |
||||||||||||
Amaranth Partners, L.L.C. |
156,400 | 96,234 | 0.34 | |||||||||
Goldman Sachs Investment Partners(a) |
1,258,762 | 1,396,074 | 4.93 | |||||||||
HBK SLV, LP |
64,378 | 59,435 | 0.21 | |||||||||
Millennium USA, LP |
860,737 | 1,186,266 | 4.18 | |||||||||
Total Multi-Strategy |
2,340,277 | 2,738,009 | 9.66 | |||||||||
Volatility |
||||||||||||
Ionic Capital Partners L.P. |
880,000 | 833,030 | 2.94 | |||||||||
Total Volatility |
880,000 | 833,030 | 2.94 | |||||||||
Total Investment Funds |
22,513,933 | 26,813,173 | 94.59 | |||||||||
Affiliated Registered Investment Company |
||||||||||||
PNC Advantage Institutional Money
Market Fund Institutional
Shares, 0.05% (b) |
1,085,132 | 1,085,132 | 3.83 | |||||||||
Total Investments |
$ | 23,599,065 | 27,898,305 | 98.42 | ||||||||
Other Assets and Other Liabilities (Net) |
447,579 | 1.58 | ||||||||||
Members Capital |
$ | 28,345,884 | 100.00 | % | ||||||||
* | All Investment Funds are non-income producing. See Note 3 for additional information on liquidity of Investment Funds. | |
(a) | Fund investment fully or partially segregated to cover tender offers. | |
(b) | Rate shown is the 7-day effective yield as of June 30, 2011. |
Country | Cost | Value | ||||||
Cayman Islands 0.29% |
$ | 156,078 | $ | 83,119 | ||||
United States 98.13% |
22,840,144 | 27,815,186 | ||||||
$ | 23,599,065 | $ | 27,898,305 | |||||
Level 1 | Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Master Fund can access at the measurement date; |
Level 2 | Quoted prices which are not in active markets, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
Level 3 | Inputs which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
Investments by Investment Strategy | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment Funds |
||||||||||||||||
Credit Based |
$ | | $ | 3,457,347 | $ | 2,235,962 | $ | 5,693,309 | ||||||||
Event-Driven |
| 976,678 | 4,451,025 | 5,427,703 | ||||||||||||
Global Macro |
| 2,398,327 | 1,936,715 | 4,335,042 | ||||||||||||
Hedged Equity |
| 6,715,191 | 124,755 | 6,839,946 | ||||||||||||
Managed Futures |
| 946,134 | | 946,134 | ||||||||||||
Multi-Strategy |
| 1,186,266 | 1,551,743 | 2,738,009 | ||||||||||||
Volatility |
| 833,030 | | 833,030 | ||||||||||||
Affiliated Registered Investment Company |
1,085,132 | | | 1,085,132 | ||||||||||||
Total Investments by Investment Strategy |
$ | 1,085,132 | $ | 16,512,973 | $ | 10,300,200 | $ | 27,898,305 | ||||||||
Change in | ||||||||||||||||||||||||||||
unrealized | Net Level 3 | |||||||||||||||||||||||||||
Balance as of | Realized gain / | appreciation / | transfers | Balance as of | ||||||||||||||||||||||||
Description | March 31, 2011 | (loss) | depreciation | Purchases | Sales | in/(out) | June 30, 2011 | |||||||||||||||||||||
Credit Based |
$ | 2,372,399 | $ | 9,106 | $ | (50,002 | ) | $ | | $ | (95,541 | ) | $ | | $ | 2,235,962 | ||||||||||||
Event-Driven |
3,630,735 | 80,433 | (46,777 | ) | 1,000,000 | (213,366 | ) | | 4,451,025 | |||||||||||||||||||
Global Macro |
872,521 | | (35,806 | ) | 1,100,000 | | | 1,936,715 | ||||||||||||||||||||
Hedged Equity |
149,901 | 3,664 | (2,924 | ) | 130 | (26,016 | ) | | 124,755 | |||||||||||||||||||
Multi-Strategy |
2,115,323 | 48,064 | (89,571 | ) | | (522,073 | ) | | 1,551,743 | |||||||||||||||||||
Total |
$ | 9,140,879 | $ | 141,267 | $ | (225,080 | ) | $ | 2,100,130 | $ | (856,996 | ) | $ | | $ | 10,300,200 | ||||||||||||
Credit Based | Event-Driven | Global Macro | Hedged Equity | Multi-Strategy | ||||||||||||||||
Change in unrealized
appreciation/depreciation included in
earnings related to the securities still
held at reporting date |
$ | (50,002 | ) | $ | (46,777 | ) | $ | (35,806 | ) | $ | (2,924 | ) | $ | (89,571 | ) |
Estimated | ||||||||||
Investment Funds | Redemption | Remaining | ||||||||
by Investment Strategy | Fair Value | Redemption Period | Notice Period | Holding Period (2) | ||||||
Credit Based (A) |
||||||||||
Restricted (1)
|
$ | 2,235,962 | Annually - 3 years | 90 days | 7 - 12 months | |||||
Unrestricted
|
3,457,347 | Quarterly | 45 - 60 days | None | ||||||
Event-Driven (B) |
||||||||||
Restricted (1)
|
4,451,025 | N/A | N/A | 8 months | ||||||
Unrestricted
|
976,678 | Quarterly | 90 days | None | ||||||
Global Macro (C) |
||||||||||
Restricted (1)
|
1,936,715 | Quarterly | 30 days | 6 months | ||||||
Unrestricted
|
2,398,327 | Monthly | 60 - 90 days | None | ||||||
Hedged Equity (D) |
||||||||||
Restricted (1)
|
124,755 | N/A | N/A | Unknown | ||||||
Unrestricted
|
6,715,191 | Monthly - Quarterly | 45 days | None | ||||||
Managed Futures (E) |
||||||||||
Unrestricted
|
946,134 | Monthly | 60 days | None | ||||||
Multi-Strategy (F) |
||||||||||
Restricted (1)
|
1,551,743 | Quarterly | 91 days | 10 months | ||||||
Unrestricted
|
1,186,266 | Quarterly | 90 days | None | ||||||
Volatility (G) |
||||||||||
Unrestricted
|
833,030 | Quarterly | 60 days | None |
(1) | As of June 30, 2011, certain of these Investment Funds have notified the Master Fund of certain restrictions on liquidity which may include side pocket investments, suspended redemptions, restrictions from redeeming for an extended period of time from the measurement date or other restrictions. Certain other Investment Funds have redemption terms which inhibit liquidity for a period greater than 90 days. | |
(2) | Represents remaining holding period of locked-up Investment Funds or estimated remaining restriction period for illiquid investments such as side pockets and suspended redemptions. For some illiquid investments, the remaining holding period is unknown and is either stated in the table or excluded from the range shown for other investments in the strategy. | |
(A) | Credit based aims to generate return via positions in the credit sensitive areas of the fixed income markets which generally covers corporate, structured and mortgage debt. A myriad of securities can be utilized for expressing long or short positions including investment grade corporate bonds, high yield bonds, bank loans, mortgage-backed securities, asset-backed securities, CDS, etc. Most portfolios are structured to have low interest rate exposure and many funds attempt to achieve returns with low/moderate volatility. |
(B) | Event-driven covers several major strategies that all rely upon defined corporate events including merger arbitrage, activist, special situations/restructuring and distressed/bankruptcy investing. While market exposure can vary depending on the strategy and implementation, typically there is some exposure to large market movements, changes in credit spreads, market illiquidity and increased volatility. | |
(C) | Global macro seeks to profit from broad trends in global markets across equities, fixed income, credit, currency and commodity markets through a discretionary trading style typically predicated upon analysis of macroeconomic factors. Global macro tends to have low correlation with other strategies and offers performance opportunities in a variety of market environments. | |
(D) | Hedged equity focuses on equity strategies with low/moderate market exposure. The strategy attempts to profit from active security selection and management of long/short exposure profile. The funds have a modest cyclical dependence on equity returns and are typically managed to be low/moderate volatility. | |
(E) | Managed futures aims to profit from broad trends or reversals in global markets across equities, fixed income, credit, currency and commodity markets through systematic trading strategies typically executed through very liquid financial instruments. Managed futures strategies tend to be characterized by higher volatility returns but the uncorrelated nature of those returns can provide a benefit to overall portfolio construction. | |
(F) | Multi-strategy is an investment style that offers flexibility to allocate assets dynamically across a wide variety of strategies based on the opportunity set in each strategy at a given point in time. | |
(G) | Volatility strategies cover a range of investment styles that focus on trading the volatility of securities in various asset classes including equity, fixed income, etc. The exposures can range from long, short or neutral to the direction of the volatility of a security or asset class. |
(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). | ||
(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
(Registrant) PNC Absolute Return TEDI Fund LLC | ||||||
By (Signature and Title)* | /s/ Kevin A. McCreadie | |||||
Kevin A. McCreadie, President | ||||||
(Principal Executive Officer) | ||||||
Date |
8-24-2011 | |||||
By (Signature and Title)* | /s/ Kevin A. McCreadie | |||||
Kevin A. McCreadie, President | ||||||
(Principal Executive Officer) | ||||||
Date |
8-24-2011 | |||||
By (Signature and Title)* | /s/ John Kernan | |||||
John Kernan, Treasurer | ||||||
(Principal Financial Officer) | ||||||
Date |
8-23-2011 | |||||
* | Print the name and title of each signing officer under his or her signature. |
1. | I have reviewed this report on Form N-Q of PNC Absolute Return TEDI 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. | The registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
Date: 8-24-2011 | ||||
/s/ Kevin A. McCreadie | ||||
Kevin A. McCreadie, President | ||||
(Principal Executive Officer) |
1. | I have reviewed this report on Form N-Q of PNC Absolute Return TEDI 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. | The registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
Date: 8-23-2011 | /s/ John Kernan | |||
John Kernan, Treasurer | ||||
(Principal Financial Officer) | ||||