-----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, EvCvPwxYpOj901HnkGDTd+Kwpl1YqIOWtqVImTa4vCvlxemP8fdB3sDVURZPPLyz OV+OgUTfaz1ZrDqtuJY8Vw== 0000935069-07-002838.txt : 20071128 0000935069-07-002838.hdr.sgml : 20071128 20071128172542 ACCESSION NUMBER: 0000935069-07-002838 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20070930 FILED AS OF DATE: 20071128 DATE AS OF CHANGE: 20071128 EFFECTIVENESS DATE: 20071128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: UBS WILLOW FUND LLC CENTRAL INDEX KEY: 0001106258 IRS NUMBER: 134101846 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-09841 FILM NUMBER: 071272391 BUSINESS ADDRESS: STREET 1: 1285 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2127132000 MAIL ADDRESS: STREET 1: 1285 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10018 FORMER COMPANY: FORMER CONFORMED NAME: PW WILLOW FUND LLC DATE OF NAME CHANGE: 20000210 N-Q 1 g42002willow_nq.txt UBS WILLOW NQ 9_07 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 811-09841 --------- UBS Willow Fund, L.L.C. ------------------------------------------------------ (Exact name of registrant as specified in charter) 51W 52nd Street, 23rd Floor New York, NY 10019 ------------------------------------------------------ (Address of principal executive offices) (Zip code) James Dwyer c/o UBS Financial Services Inc. 51W 52nd Street, 23rd Floor New York, NY 10019 ------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 212-882-5819 ------------ Date of fiscal year end: December 31 ----------- Date of reporting period: September 30, 2007 ------------------ Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached herewith. UBS WILLOW FUND, L.L.C. SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SEPTEMBER 30, 2007
PAR MARKET VALUE ----------------------------------------------------------------------------------------------------------------------------------- UNITED STATES OF AMERICA ------------------------ INVESTMENTS IN SECURITIES (62.12%) ---------------------------------- CORPORATE BONDS (25.79%) ------------------------ APPLIANCES (1.15%) 35,580,000 Fedders North America, Co. Guarnt., 9.875%, 03/01/14 (Callable 03/01/09 @ 104.94) $ 5,337,000 ------------ AUTOMOTIVE/TRUCK PARTS & EQUIPMENT (6.26%) 2,000,000 Delphi Auto Systems Corp., 6.55%, 06/15/09 1,823,334 5,000,000 Delphi Automotive Systems, 6.50%, 05/01/09 4,575,000 26,668,000 Holley Performance Prods., Inc., Sr. Notes, 12.50%, 09/15/09 22,667,800 ------------ 29,066,134 ------------ CONTAINERS - PAPER/PLASTIC (5.02%) 12,000,000 Pliant Corp, Sr. Sub. Notes, 18.00%, 07/15/12 11,730,000 13,000,000 Pliant Corp. Co. Guarnt., 11.125%, 09/01/09 (Callable 11/26/07 @ 105.56) 11,591,671 ------------ 23,321,671 ------------ ELECTRIC - INTEGRATED (1.92%) 50,000,000 Northwestern Corp., 7.875%, 03/15/07 (a),(b) 3,750,000 69,000,000 Northwestern Corp., 8.75%, 03/15/12 (a),(b) 5,175,000 ------------ 8,925,000 ------------ FUNERAL SERVICES & RELATED ITEMS (0.00%) 3,000,000 Loewen Group Intl., Inc., 7.20%, 04/15/01 (b) -- 2,000,000 Loewen Group Intl., Inc., 7.50%, 06/01/03 (b) -- ------------ -- ------------ INDEPENDENT POWER PRODUCTION (4.54%) 19,000,000 Calpine Canada Ener Fin, Co. Guarnt., 8.50%, 05/01/08 (a),(b) 21,090,000 ------------ OIL COMPANIES - EXPLORATION & PRODUCTION (4.08%) 19,549,000 Transmeridian Exploration, Inc., 12.00%, 12/15/10 (Callable 12/15/08 @ 106.00) 18,962,530 ------------ SATELLITE TELECOMMUNICATIONS (0.19%) 6,571,000 ICG Services Inc., Sr. Disc. Notes, 10.00%, 02/15/08 (a),(b) -- 3,333,000 ICG Services Inc., Sr. Disc. Notes, 9.875%, 05/01/08 (a),(b) -- 6,809,000 Iridium, L.L.C./Capital Corp., Series A, Co. Guarnt., 13.00%, 07/15/05 (a),(b) 204,270 12,525,000 Iridium, L.L.C./Capital Corp., Series B, Co. Guarnt., 14.00%, 07/15/05 (a),(b) 375,750 5,300,000 Iridium, L.L.C./Capital Corp., Series C/En, Co. Guarnt., 11.25%, 07/15/05 (a),(b) 159,000 4,850,000 Iridium, L.L.C./Capital Corp., Series D, Co. Guarnt., 10.875%, 07/15/05 (a),(b) 145,500 ------------ 884,520 ------------ 1 UBS WILLOW FUND, L.L.C. SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SEPTEMBER 30, 2007 PAR MARKET VALUE ----------------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS (CONTINUED) --------------------------- TELEPHONE - INTEGRATED (2.63%) 18,000,000 Primus Telecomm Group, Sr. Notes, 8.00%, 01/15/14 (Callable 01/15/09 @ 104.00) $ 12,240,000 ------------ TOTAL CORPORATE BONDS (Cost $133,981,183) 119,826,855 ------------ BANK LOANS (5.78%) ------------------ 10,405,406 Collins & Aikman Products Co., Revolver, 0.00%, 08/31/09 4,604,392 6,208,946 Collins & Aikman Products Co., Supplemental Revolving Credit Facility, 0.00%, 08/31/09 2,747,459 12,051,753 Collins & Aikman Products Co., Term B-1 Loan, 0.00%, 08/31/11 5,332,901 15,119,709 Galey & Lord Term Loan Facility, 0.00%, 07/31/09 491,390 17,500,000 Le Nature's Inc., Term B Loan, 0.00%, 01/01/11 9,125,000 12,028,197 Pasminco Bilateral Facilities Claim, 0.00%, 1,157,714 10,000,000 Pasminco Finance Original Claim Usd Loan, 0.00%, 01/16/00 962,500 4,000,000 Pasminco Finance, Ltd., Frn Euroclear, 0.00%, 02/10/03 385,000 5,937,349 Pasminco Pirie Silver Pty. Ltd. Claim, 0.00%, 07/15/04 571,470 1,600,000 Pasminco Syndicated Loan Facility Claim, 0.00%, 09/03/07 154,000 14,024,063 Pasminco Transferable Loan Facility Claim, 0.00%, 12/17/02 1,349,816 ------------ TOTAL BANK LOANS (Cost $27,008,916) 26,881,642 ------------ SHARES ------------ COMMON STOCK (26.11%) --------------------- AUTOMOTIVE (PARTS & EQUIPMENT) (0.45%) 3,411,889 Wagon p.l.c. 2,068,001 ------------ BUILDING MAINTENANCE & SERVICE (2.84%) 515,456 Integrated Electrical Services, Inc. 13,200,828 ------------ CABLE TELEVISION (3.69%) 1,026,177 Knology, Inc. (b) 17,167,941 ------------ CONTAINERS - PAPER/PLASTIC (0.00%) 3,984 Pliant Corp. -- ------------ DISTRIBUTION/WHOLESALE (2.45%) 323,765 Core-Mark Holding Co., Inc. 11,406,241 ------------ ELECTRONIC COMPONENTS - SEMICONDUCTORS (1.43%) 1,819,039 ZiLOG, Inc. (b) 6,621,302 ------------ INDEPENDENT POWER PRODUCTION (1.86%) 25,000 Boston Generating L.L.C. 8,625,000 ------------ METAL - ALUMINUM (4.63%) 86,300 Ormet Corp. 1,639,700 2 UBS WILLOW FUND, L.L.C. SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SEPTEMBER 30, 2007 SHARES MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCK (CONTINUED) ------------------------ METAL - ALUMINUM (CONTINUED) 1,075,000 Ormet Corp. * $ 19,887,500 ------------ 21,527,200 ------------ OIL - FIELD SERVICES (6.34%) 6,392,255 Northern Offshore Ltd. 29,472,323 ------------ TELECOM 50,000 Abovenet, Inc. 3,975,000 ------------ TEXTILE - APPAREL (0.00%) 1,013,596 Galey & Lord -- ------------ WIRELESS EQUIPMENT (1.56%) 431,001 USA Mobility, Inc. 7,270,987 ------------ TOTAL COMMON STOCK (Cost $96,721,686) 121,334,823 ------------ PREFERRED STOCKS (4.09%) ------------------------ CONTAINERS - PAPER/PLASTIC (3.03%) 35,212 Pliant Corp. Series AA 14,084,800 ------------ INDEPENDENT POWER PRODUCTION (1.06%) 153,104 Entegra Holdings, L.L.C. 4,899,328 ------------ TOTAL PREFERRED STOCKS (Cost $15,758,285) 18,984,128 ------------ WARRANTS (0.15%) ---------------- AUTOMOTIVE/TRUCK PARTS & EQUIPMENT (0.00%) 277,487 Khpp Holdings, Inc. -- ------------ INDEPENDENT POWER PRODUCTION (0.15%) 1,572 Machgen 707,400 ------------ TOTAL WARRANTS (Cost $310,731) 707,400 ------------ NUMBER OF CONTRACTS ------------ PUT OPTIONS (0.20%) ------------------- STOCK INDEX (0.20%) 5,000 Ishares Russell 2000, 12/31/07, $75, 12/31/07 925,000 ------------ TOTAL PUT OPTIONS (Cost $2,010,000) 925,000 ------------ INVESTMENTS IN SECURITIES (Cost $275,790,801) 288,659,848 ------------ SECURITIES SOLD, NOT YET PURCHASED ((2.69)%) -------------------------------------------- COMMON STOCK SOLD, NOT YET PURCHASED ((1.13)%) ---------------------------------------------- FINANCIAL SERVICES (300,000) Americredit Corp. (5,274,000) ------------ TOTAL COMMON STOCK SOLD, NOT YET PURCHASED (Cost $(5,220,380)) (5,274,000) ------------ 3 UBS WILLOW FUND, L.L.C. SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SEPTEMBER 30, 2007 PAR MARKET VALUE ----------------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS SOLD, NOT YET PURCHASED ((1.55)%) ------------------------------------------------- MEDICAL - HOSPITALS ((0.91)%) (4,000,000) Medcath Holdings Corp., Sr. Notes, 9.875%, 07/15/12 (Callable 07/15/08 @ 104.94) $ (4,240,000) ------------ RETAIL - AUTOMOBILE ((0.64)%) (3,000,000) Sonic Automotive, Inc., Series B, Sr. Sub. Notes, 8.625%, 08/15/13 (Callable 08/15/08 @ 104.31) (b) (2,970,000) ------------ TOTAL CORPORATE BONDS SOLD, NOT YET PURCHASED (Cost $(7,057,407)) (7,210,000) ------------ SECURITIES SOLD, NOT YET PURCHASED (PROCEEDS $(12,277,787)) (12,484,000) ------------ DERIVATIVE CONTRACTS -------------------- CREDIT DEFAULT SWAPS ((0.51)%) Purchase Contracts (2,389,230) ------------ TOTAL CREDIT DEFAULT SWAPS (2,389,230) ------------ TOTAL DERIVATIVE CONTRACTS - net (2,389,230) ------------ TOTAL INVESTMENTS IN SECURITIES -- 58.92% 273,786,618 ------------ OTHER ASSETS IN EXCESS OF OTHER LIABILITIES -- 41.08% 190,881,513 ------------ TOTAL NET ASSETS -- 100.00% $464,668,131 ============ * Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities owned amounted to $19,887,500 which represented 4.28% of net assets at September 30, 2007. (a) Security is in default. (b) Non-income producing security 4
UBS WILLOW FUND, L.L.C. SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SEPTEMBER 30, 2007 CREDIT SWAPS
INTEREST MATURITY NOTIONAL UNREALIZED UNREALIZED % OF NET SWAP COUNTERPARTY & REFERENCED OBLIGATION RATE DATE AMOUNT GAIN LOSS ASSETS - ------------------------------------------------------------------------------------------------------------------------------------ BUY CONTRACTS BEAR STEARNS Equifax, Inc, 6.90%, 07/01/28 0.70 10/10/07 10,000,000 $ - $ (2,398) (0.00%) JP MORGAN The Sherwin-Williams Co., 7.375%, 02/01/27 0.67 03/20/11 10,000,000 - (159,982) (0.03%) MERRILL LYNCH Avnet, Inc., 8.00%, 11/15/06 5.15 10/02/07 5,000,000 - (2,769) (0.00%) CDX HY8 2.75 12/20/07 75,000,000 - (2,008,188) (0.43%) CVS Corp., 5.63%, 03/15/06 1.15 10/09/07 5,000,000 - (1,645) (0.00%) National Rural Utilities Cooperative Finance Corp., 5.75%, 11/01/08 2.00 10/03/07 5,000,000 - (1,333) (0.00%) Textron, Inc., 6.38%, 11/15/08 1.48 10/10/07 5,000,000 - (2,349) (0.00%) Tyson Foods Inc., 8.25% 10/01/2011 1.20 03/20/11 10,000,000 - (210,566) (0.05%) -------------------------------------- $ - $(2,389,230) (0.51%) ====================================== 5
UBS WILLOW FUND, L.L.C. SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) - -------------------------------------------------------------------------------- SEPTEMBER 30, 2007 SEPTEMBER 30, 2007 INVESTMENTS IN SECURITIES-BY TYPE PERCENTAGE OF NET ASSETS (%) - --------------------------------- ---------------------------- CORPORATE BONDS 25.79 COMMON STOCK 26.11 BANK LOANS 5.78 PREFERRED STOCKS 4.09 WARRANTS 0.15 SHORT BONDS (1.55) SHORT STOCKS (1.13) OPTIONS (.20) ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's 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 registrant's 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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. 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. (Registrant) UBS Willow Fund, L.L.C. -------------------------------------------------------------------- By (Signature and Title)* /s/ Douglas Lindgren ------------------------------------------------------- Douglas Lindgren, Principal Executive Officer Date November 27, 2007 ---------------------------------------------------------------------------- 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 (Signature and Title)* /s/ Douglas Lindgren ------------------------------------------------------- Douglas Lindgren, Principal Executive Officer Date November 27, 2007 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ Robert Aufenanger ------------------------------------------------------- Robert Aufenanger, Principal Financial Officer Date November 27, 2007 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 g42002_cert.txt UBS WILLOW 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Douglas Lindgren, certify that: 1. I have reviewed this report on Form N-Q of UBS Willow Fund, L.L.C.; 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 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 quarter 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: November 27, 2007 /s/ Douglas Lindgren ---------------------- ---------------------------------------------- Douglas Lindgren, Principal Executive Officer CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Robert Aufenanger, certify that: 1. I have reviewed this report on Form N-Q of UBS Willow Fund, L.L.C.; 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 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 quarter 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: November 27, 2007 /s/ Robert Aufenanger ---------------------- ---------------------------------------------- Robert Aufenanger, Principal Financial Officer -----END PRIVACY-ENHANCED MESSAGE-----