N-Q 1 d834697dnq.htm GMAM ABSOLUTE RETURN STRATEGIES FUND, LLC GMAM Absolute Return Strategies 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            811-21259                                     

                             GMAM Absolute Return Strategies Fund, LLC                    

(Exact name of registrant as specified in charter)

General Motors Investment Management Corporation

1345 Avenue of the Americas, 20th Floor

                                     New York, NY 10105                                    

(Address of principal executive offices) (Zip code)

Merryl Hoffman, Esq.

General Motors Investment Management Corporation

1345 Avenue of the Americas, 20th Floor

                                                 New York, NY 10105                                                 

(Name and address of agent for service)

Registrant’s telephone number, including area code:  212-418-6134  

Date of fiscal year end:  March 31      

Date of reporting period: December 31, 2014

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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. § 3507.

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED)

 

 

 

  Initial
Acquisition
Date		   Cost   Number
of
Shares		   Percentage
of
Members’
Capital		 Fair Value   Expiration
Date
of Lock-Up
Period*** (1)		 Liquidity***
 

 

 

Investments in Investment Funds # ^ - 96.77%

Credit - 21.41%

Avenue Europe International, Ltd., Class L5, Series 0210L

   Aug-05    $ 1,919,968      195    0.02% $ 867,366    (2) (2)

Avenue Europe Opportunities Master Fund, L.P., Class S **

   May-10      1,509,736      *    0.03%   1,410,190    (2) (2)

Bayview Opportunity Offshore IIa, L.P.

   Jan-10      11,549,935      *    0.53%   26,520,046    N/A Quarterly

Bayview Opportunity Offshore IVa, L.P.

   May-14      30,108,831      *    0.63%   31,770,560    Jun-19 Quarterly

Bayview Opportunity Offshore, L.P.

   Mar-08      1,933,817      *    0.11%   5,595,904    N/A Quarterly

Cerberus International II, Ltd., Class A Series 57-1

   Jul-10      60,265,341      53,577    1.84%   93,109,731    N/A Semi-Annually

Cerberus International Ltd., Class A

   Dec-01      11,777,441      30    0.65%   32,938,391    (2) (2)

Cerberus International SPV, Ltd., Class I

   Jun-10      6,054,366      8,369    0.31%   15,770,791    (2) (2)

JPS Credit Opportunities Fund (Cayman) Ltd., - Series C USD - Series 04 - 2014

   Apr-14      100,000,000      100,000    2.05%   103,414,826    N/A Quarterly

JPS Credit Opportunities Fund (Cayman) Ltd., - Series C USD - Series 10-2014

   Oct-14      25,000,000      25,000    0.50%   25,292,157    N/A Quarterly

King Street Capital, L.P.

   Jun-02      58,675,604      *    2.71%   136,761,195    N/A Quarterly

King Street Capital, L.P., Special Investment **

   Jan-06      14,167,448      *    0.58%   29,076,384    (2) (2)

MKP Credit Offshore, Ltd., Non Voting III - Series A

   Sep-09      79,013,335      74,790    2.38%   120,316,047    N/A Quarterly

PIMCO Global Credit Opportunity Offshore Fund Ltd., Class B-1 USD Series 3

   Nov-12      80,000,000      55,861    1.77%   89,474,793    N/A Quarterly

PIMCO Global Credit Opportunity Offshore Fund Ltd., Class B-1 USD Series 25

   Apr-13      15,000,000      9,764    0.31%   15,639,862    N/A Quarterly

PIMCO Global Credit Opportunity Offshore Fund Ltd., Class B-1 USD Series 29

   Aug-13      25,000,000      16,293    0.52%   26,096,523    N/A Quarterly

Regiment Capital Ltd., Class M, Series 1

   Feb-06      18,258,680      164,777    0.49%   24,856,673    N/A Semi-Annually

Silver Point Capital Offshore Fund, Ltd., Class D **

   Dec-07      1,137,910      164    0.05%   2,470,860    (2) (2)

Silver Point Capital Offshore Fund, Ltd., Class H Series 242

   Nov-07      67,543,636      6,636    2.46%   124,057,497    N/A Annually

Stone Lion Fund L.P., Class K Interests

   Jan-13      50,842,029      *    1.18%   59,641,271    N/A Quarterly

Stone Lion Fund Ltd., Class K Series 1

   Jan-11      76,156,143      75,488    1.98%   99,959,533    N/A Quarterly

Styx International Fund, Ltd., Class A, Series 1

   Apr-02      12,531,589      4,405    0.31%   15,708,191    (2) (2)
         

 

 

      
  1,080,748,791   
         

 

 

      

Event Driven - 8.80%

Empyrean Capital Overseas Fund, Ltd., Class A-3 Series 12 14E

   Aug-04      568,171      105    0.00%   104,640    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class A-3 Series 12 14I

   Aug-04      31,070,059      49,146    0.97%   48,961,394    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 10 13B

   Jul-07      3,454,452      3,891    0.09%   4,540,949    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 2 14C

   Jul-07      14,630      19    0.00%   19,743    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 2 14D

   Jul-07      42,220      55    0.00%   56,958    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 2 14E

   Jul-07      49,610      64    0.00%   66,887    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 6 14C

   Jul-07      107,960      145    0.00%   139,548    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 6 14D

   Jul-07      311,560      419    0.01%   402,667    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 6 14E

   Jul-07      366,130      492    0.01%   472,856    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class H Series 12 14B

   Jul-07      60,504,956      111,615    2.20%   111,158,684    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Class N Series 12 14E

   Nov-10      17,479,699      21,568    0.43%   21,490,567    N/A Quarterly

Empyrean Capital Overseas Fund, Ltd., Special Investment **

   Nov-06      139,860      140    0.01%   208,758    (2) (2)

OZ Asia Overseas Fund, Ltd., Class C Prime **

   May-06      7,272,972      7,588    0.12%   6,124,886    (2) (2)

Senator Global Opportunity Offshore Fund II Ltd Class A1 Series 11

   Jul-14      185,068,495      185,068    3.81%   192,521,407    N/A Quarterly

Senator Sidecar Offshore Fund LP

   Oct-10      4,737,522      *    0.12%   6,178,473    (2) (2)

Senrigan Fund Limited, Series B Unrestricted - October 2011

   Oct-11      50,000,000      50,000    1.03%   51,758,536    N/A Quarterly
         

 

 

      
  444,206,953   
         

 

 

      

Long/Short Equity - 26.40%

Aleutian Fund, Ltd., Class A Unrestricted Series 2

   Jan-11      149,084,341      149,084    3.89%   196,234,857    N/A Monthly

Aleutian Fund, Ltd., Class A Unrestricted Series 28

   Jul-14      30,000,000      30,000    0.61%   30,945,798    N/A Monthly

FrontPoint Offshore Healthcare Flagship Enhanced Fund, L.P.

   Apr-09      115,474      *    0.00%   109,365    (2) (2)

FrontPoint Offshore Healthcare Flagship Fund, L.P.

   May-05      166,092      *    0.00%   101,587    (2) (2)

JAT Capital Offshore Fund, Ltd., E1 Unrestricted Series Jul-14

   Jul-14      50,000,000      50,000    0.93%   47,126,085    Jun-16 Annually

Lansdowne Developed Markets Fund Limited, Class N2 (Non- Restricted) US$ Shares

   Feb-07      73,054,734      257,380    3.04%   153,359,639    N/A Monthly

Pennant Windward Fund, Ltd., Class A Series 1

   Jul-09      133,012,437      64,310    3.74%   188,779,818    N/A Quarterly

Samlyn Offshore, Ltd., Class A1 Series 51

   Oct-07      100,285,626      68,506    3.15%   158,981,650    Jun-15 Semi-Annually

Suvretta Offshore Fund, Ltd., Class 1-D Series 2013-01

   Jan-13      20,000,000      20,000    0.61%   31,021,697    N/A Quarterly

Suvretta Offshore Fund, Ltd., Class 1-E Series 2013-03

   Mar-13      60,000,000      54,982    1.55%   77,999,573    N/A Quarterly

TPG-Axon Partners (Offshore), Ltd., Class L Series 118

   Dec-07      125,758,648      109,491    2.81%   141,905,163    N/A Quarterly

 

1

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED) (continued)

 

 

 

  Initial
Acquisition
Date		   Cost   Number
of Shares		   Percentage
of
Members’
Capital		 Fair Value   Expiration
Date
of Lock-Up
Period*** (1)		 Liquidity***
 

 

 

Investments in Investment Funds # ^ - 96.77% (continued)

TPG-Axon Partners (Offshore), Ltd., Class S **

   Dec-08    $ 3,708,415      3,787    0.07% $ 3,536,132    (2) (2)

Viking Global Equities III Ltd., Class H Series 1E

   Feb-09      138,072,975      88,115    5.12%   258,224,920    N/A Monthly

Zaxis Offshore Limited, Class C Series 1 - Non Restricted

   Nov-01      32,000,807      16,750    0.88%   44,440,354    N/A Monthly
         

 

 

      
  1,332,766,638   
         

 

 

      

Multi-Strategy - 10.42%

Hudson Bay International Fund, Ltd., Class A-UR-TNV2 Series 1

   Nov-13      75,000,000      33,116    1.52%   76,669,211    Jun-16 Quarterly

Hudson Bay International Fund, Ltd., Class A-UR-TNV2 Series 2

   Feb-14      25,000,000      25,000    0.48%   24,403,949    Sep-16 Quarterly

Hudson Bay International Fund, Ltd., Class A-UR-TNV2 Series 3

   Mar-14      20,000,000      20,000    0.38%   19,137,934    Dec-16 Quarterly

Hudson Bay International Fund, Ltd., Class A-UR-TNV2 Series 4

   Jul-14      30,000,000      30,000    0.57%   28,845,562    Mar-17 Quarterly

Hutchin Hill Capital Offshore Fund, Ltd. - Class C, Non Restricted

   Mar-11      132,281,876      125,446    3.44%   173,689,343    N/A Quarterly

O’Connor Global Multi-Strategy Alpha Limited, Class M Series 1

   Oct-01      105,181,688      72,745    3.51%   177,448,171    N/A Quarterly

Shepherd Investments International, Ltd., Class AA Series BF

   Jan-02      485,228      685    0.03%   1,281,176    (2) (2)

Shepherd Investments International, Ltd., Class B Holdback

   Aug-12      12,836,362      *    0.25%   12,873,797    (2) (2)(3)

Shepherd Investments International, Ltd., Class B Special Investment Holdback

   Aug-12      292,645      *    0.01%   293,924    (2) (2)(3)

Shepherd Investments International, Ltd., Class MQ Holdback

   Aug-12      8,004,087      *    0.16%   8,027,551    (2) (2)(3)

Shepherd Investments International, Ltd., Class MQ Series M4F

   Mar-10      248,659      246    0.01%   447,418    (2) (2)

Shepherd Investments International, Ltd., Class S **

   Feb-06      5,359,222      5,467    0.04%   1,805,076    (2) (2)

Shepherd Select Asset Ltd., Class A

   Aug-12      899,603      801    0.02%   1,007,589    (2) (2)
         

 

 

      
  525,930,701   
         

 

 

      

Relative Value - 16.77%

Aristeia International Limited, Class A Voting USD, Series AV Benchmark

   Mar-03      56,808,949      78,209    1.98%   99,897,406    N/A Quarterly

BlackRock Fixed Income GlobalAlpha Offshore Fund, Ltd., Class G - Series 2

   Feb-13      96,973,773      96,198    2.02%   102,064,762    N/A Monthly

Capstone Vol (Offshore) Limited, Class A - 0913

   Sep-13      75,000,000      75,000    1.45%   73,272,203    Sep-13 Quarterly

Capstone Vol (Offshore) Limited, Class A - 0914

   Sep-14      75,000,000      75,000    1.43%   72,099,654    Sep-14 Quarterly

PDT Fusion Offshore Fund, Ltd., Class A NI Series 61 - February 2014

   Feb-14      25,000,000      250,000    0.53%   26,838,215    N/A Quarterly

PDT Partners Offshore Fund, Ltd., Class A NI Series 1 - January 2013

   Jan-13      88,896,986      888,970    2.37%   119,587,502    N/A Quarterly

Renaissance Institutional Diversified Alpha Fund LLC (Series SA)

   Apr-12      91,431,143      *    2.09%   105,667,148    N/A Quarterly

Two Sigma Eclipse Cayman Fund, Ltd., Class A1 Series Benchmark

   Feb-10      6,716,792      2,868    0.24%   12,075,276    N/A Quarterly

Two Sigma Spectrum Cayman Fund, Ltd., Class A1 Series Benchmark 2

   Nov-09      137,799,069      85,740    4.66%   235,387,075    N/A Quarterly
         

 

 

      
  846,889,241   
         

 

 

      

Trading - 12.97%

Brevan Howard Fund Limited - Class B US

   Aug-09      158,548,300      822,743    3.74%   188,776,617    N/A Monthly

Bridgewater Pure Alpha Fund II, Ltd., Series: 1000-321

   Mar-12      105,398,941      105,399    2.31%   116,390,563    N/A Monthly

COMAC Global Macro Fund Limited - USD Class E Shares Non Voting

   Dec-09      51,811,699      487,087    0.98%   49,729,224    N/A Monthly

Edgestream Nias Fund Ltd., Class A Series 1B (January 2014)

   Feb-09      92,282,851      96,124    2.13%   107,329,828    N/A Monthly

Edgestream Sumatra Fund, L.P.

   Jan-13      905,249      *    0.02%   1,117,024    N/A Monthly

Kepos Alpha Fund Ltd., Class F-R Series 18

   Jan-12      65,000,000      63,905    1.82%   91,929,457    N/A Monthly

Two Sigma Compass Cayman Fund, Ltd., Class A1 Series Benchmark

   Jan-10      52,870,002      44,117    1.97%   99,419,897    N/A Monthly
         

 

 

      
  654,692,610   
         

 

 

      

Total Investments in Investment Funds # ^ - 96.77%

   3,620,926,778      4,885,234,934   

Investments in Securities # ^ - 0.05%

BlackLight Power, Inc. (4)

   2,537,760    0.05%   2,537,760   

Investment in Time Deposit - 3.10%

   156,397,926      156,397,926   
   

 

 

        

 

 

      

Total Investments - 99.92%

 $ 3,779,862,464      5,044,170,620   
   

 

 

        

 

 

      

OTHER ASSETS IN EXCESS OF LIABILITIES - 0.08%

   4,045,853   
         

 

 

      

MEMBERS’ CAPITAL - 100.00%

 $ 5,048,216,473   
         

 

 

      

 

2

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED) (continued)

 

 

 

     Investment Strategy as a percentage of Members’ Capital

 

     Strategy Allocation Percentage of
Members’
Capital		  

 

  

     Credit

   21.41%       

     Event Driven

     8.80%       

     Long/Short Equity

   26.40%       

     Multi-Strategy

   10.42%       

     Relative Value

   16.77%       

     Trading

   12.97%       
  

 

 

  

     Total Investments in Investment Funds

   96.77%       
  

 

 

  

 

#

Non-income producing securities.

^

Securities are issued in private placement transactions and as such are restricted as to resale. Total cost and fair value of restricted securities as of December 31, 2014 was $3,623,464,538 and $4,887,772,694, respectively.

*

Security is a partnership that does not issue shares.

**

Denotes investments in side pockets, which may include multiple investments aggregated under the same Investment Fund.

***

Investing in GMAM Absolute Return Strategy Fund I (“Fund I”) involves certain risks, including the risk that the entire amount invested may be lost. Investments in Investment Funds may be restricted from redemptions or subject to fees for redemptions as part of contractual obligations agreed to by General Motors Investment Management Corporation (the “Advisor”) on behalf of Fund I. Investment Funds generally require the Advisor to provide advanced notice of its intent to redeem Fund I’s total or partial interest and may delay or deny satisfying a redemption request depending on the Investment Fund’s governing agreements. Additionally, liquidity in Investment Funds may be limited due to a “gate” that may be imposed by the Investment Fund. Gates are imposed to prevent disorderly withdrawals from the Investment Funds, and may limit the amount of capital allowed to be redeemed on any respective liquidity date. Investment Funds typically exercise gates when redemption requests exceed a specified percentage of the overall Investment Funds’ net assets or in the case of an investor level gate, when a redemption request exceeds a specified percentage of the investor’s investment. Some of the Investment Funds may acquire assets or securities which lack readily assessable market values, are less liquid or should be held until the resolution of a special event or circumstance. Some of these investments are held in so-called “side pockets”, sub-funds within the Investment Funds, or special purpose vehicles, which are liquidated separately, potentially over a much longer period than the liquidity an investment in the Investment Funds may provide. Were Fund I to seek to liquidate its investment in an Investment Fund which maintains these investments in side pocket arrangements, or which holds substantially all of its assets in illiquid securities, Fund I may not be able to fully liquidate its investment promptly.

(1)

Investments in Investment Funds may be composed of multiple tranches. The Expiration Date of Lock-Up Period relates to the earliest date after December 31, 2014 that redemption from a tranche or a portion there of, that is in a lock-up period, is possible. Other tranches may have an initial available redemption date that is subsequent to the Expiration Date of Lock-Up Period. Redemptions from Investment Funds may be subject to fees.

(2)

These investments are not redeemable until a realization or liquidity event occurs for the underlying investments as determined by the respective Investment Fund. Total fair value of these investments as of December 31, 2014 was $140,237,905, which includes $44,632,286 of side pocket investments.

(3)

The holdback represents the portion of the compulsory redemption initiated by the Investment Fund that has not been distributed. The realization of the investment will occur upon the dissolution of the Investment Fund.

(4)

Received on November 30, 2014 as an in-kind distribution resulting from the final liquidation of Black Bear Offshore Liquidating Fund SPC September 30, 2009.

 

3

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

NOTES TO THE SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED)

 

 

Investment Valuation – Investments in Investment Funds – GMAM Absolute Return Strategy Fund I, a series of GMAM Absolute Return Strategies Fund, LLC (“Fund I”), seeks to achieve its objectives through the allocation of capital among selected investment managers (the “Portfolio Managers”) or the investment funds that they manage (“Investment Funds”). Pursuant to the provisions of Accounting Standards Codification Topic 820 (“ASC 820”), Fair Value Measurement Disclosures, for investments in investment companies, Fund I values its investments in Investment Funds at fair value based on the net asset values (“NAV”) per share or its equivalent of the respective Investment Funds, which is provided by the Portfolio Managers or the Investment Funds. General Motors Investment Management Corporation (the “Advisor”) generally conducts initial and annual reviews of the valuation methodology used by Portfolio Managers or Investment Funds to ascertain that they utilize readily available market values and otherwise follow fair value procedures that the Advisor reasonably believes are consistent with those set forth in the Advisor’s own valuation policies and procedures. In addition, the Advisor performs other reviews to help assess the reasonableness of the reported NAVs, including periodic reasonability tests of changes in each Investment Fund’s NAV (i.e. investment performance) and annual reviews of the audited financial statements of the Investment Funds.

Where estimates are used in determining the NAV, there may be a material difference from the values that would exist in a ready market due to the inherent subjectivity of these estimates. The valuations provided by the Portfolio Managers or the Investment Funds have been determined pursuant to the valuation policies of the respective Portfolio Manager or Investment Funds’ management and cannot be corroborated by either the Advisor or the Board of Managers with available market prices. In accordance with these procedures, fair value as of each month-end ordinarily is the NAV determined as of such month-end for each Investment Fund in accordance with the Investment Fund’s valuation policies and reported at the time of Fund I’s valuation. As a general matter, the fair value of Fund I’s interest in an Investment Fund represents the amount that Fund I could reasonably expect to receive from an Investment Fund if Fund I’s interest were redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that Fund I believes to be reliable.

If the Advisor determines that the most recent value reported by the Portfolio Manager or Investment Fund does not represent fair value or if the Portfolio Manager or the Investment Fund fails to report a value to Fund I, a fair value determination is made under procedures established by and under the general supervision of the Board of Managers. The values assigned to these investments are based on available information and do not necessarily represent amounts that might ultimately be realized, as such amounts depend on future circumstances and cannot reliably be determined until the individual investments are actually liquidated. As of December 31, 2014, the Valuation Committee of Fund I had made a fair valuation determination for one investment held by Fund I. If certain investments are considered probable of being sold at the measurement date, Fund I will value its interests in the particular Investment Funds at the expected sales price, which may differ from its NAV.

 

4

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

NOTES TO THE SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED) (continued)

 

 

 

In accordance with ASC 820, Fund I discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. Fair value is defined as the price that Fund I would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. The guidance establishes a three-tier hierarchy to distinguish between inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the fair value of Fund I’s investments. The inputs are summarized in the three broad levels listed below:

 

  —   Level 1 - quoted prices in active markets for identical securities
  —   Level 2 - other significant observable inputs
  —   Level 3 - significant unobservable inputs (including Fund I’s assumptions in determining the fair value of Investment Funds)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Classification of an investment that is measured at NAV per share (or its equivalent) within the fair value hierarchy requires judgment and consideration. Based upon the guidance outlined in Accounting Standards Update (“ASU”) No. 2009-12, Fair Value Measurements and Disclosures - Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), the following factors were considered in determining the classification of Fund I’s investments:

 

  1.

Investments which allow for a full redemption on at least a quarterly basis and which, where applicable, may be subject to redemption fees of no greater than 0.10% of Fund I’s NAV, and/or represent less than 50% of any underlying fund-level gate threshold, are generally classified as Level 2 in the fair value hierarchy. All other investments in alternative Investment Funds are classified as Level 3 in the fair value hierarchy.

 

  2.

Other factors impacting liquidity considerations may include, but are not limited to, an evaluation of current market conditions, knowledge of the Investment Fund manager’s operations and processes, and an analysis of Investment Fund activity with respect to investor initiated subscriptions and redemptions (as represented and communicated by the Portfolio Manager).

 

5

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

NOTES TO THE SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED) (continued)

 

 

 

The following table summarizes the fair value hierarchy of Fund I’s investments carried at fair value as of December 31, 2014:

 

 

  
Description    Level 1      Level 2      Level 3      Total Fair Value as 
of December 31,
2014		  

 

  

Investments in Investment Funds

            

Credit

      $                 —       $ 249,023,030       $ 831,725,761       $ 1,080,748,791       

Event Driven

      —         49,066,034         395,140,919         444,206,953       

Long/Short Equity

      —         495,601,081         837,165,557         1,332,766,638       

Multi-Strategy

      —         177,448,171         348,482,530         525,930,701       

Relative Value

      —         555,091,667         291,797,574         846,889,241       

Trading

      —         465,915,993         188,776,617         654,692,610       
  

 

 

  

Total Investments in Investment Funds

      —         1,992,145,976         2,893,088,958         4,885,234,934       
  

 

 

  

Investments in Securities

      —         —         2,537,760         2,537,760       

Investment in Time Deposit

      —         156,397,926         —         156,397,926       
  

 

 

  

Total Investments

      $ —       $ 2,148,543,902       $ 2,895,626,718       $ 5,044,170,620       
  

 

 

  

The following table is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value for the nine months ended December 31, 2014:

 

Description Balance as of
March 31, 2014		   Transfers in   Transfers out   Net realized
gain (loss)		   Net change in
unrealized
appreciation
(depreciation)		   Purchases   Redemptions   Balance as of
December 31, 2014		  

 

  

Credit

 $ 707,155,761    $ 128,803,902    $ –    $ 24,558,894    $ 594,071    $ 30,114,029    $ (59,500,896 )  $ 831,725,761       

Event Driven

   373,403,255      –      (330,929 )    69,685,224      (46,891,065 )    185,068,495      (185,794,061 )    395,140,919       

Long/Short Equity

   780,205,668      –      –      20,357,472      25,426,344      80,000,000      (68,823,927 )    837,165,557       

Multi-Strategy

   320,882,588      –      –      (695,738 )    3,849,658      30,030,360      (5,584,338 )    348,482,530       

Relative Value

   142,470,815      77,031,629      –      2,106,985      3,398,145      75,000,000      (8,210,000 )    291,797,574       

Trading

   184,774,658      –      –      –      4,001,959      –      –      188,776,617       

Investments in Securities

   –      –      –      –      –      2,537,760      –      2,537,760       

 

  

Total

 $ 2,508,892,745    $ 205,835,531    $ (330,929 )  $ 116,012,837    $ (9,620,888 )  $ 402,750,644    $ (327,913,222 )  $ 2,895,626,718       

 

  

Net change in unrealized appreciation (depreciation) for the period on Level 3 assets held as of December 31, 2014 is $148,839,350.

Fund I recognizes transfers into and out of the levels indicated above at the beginning of the reporting period. The transfers into Level 3 noted in the reconciliation table above, resulted during the second fiscal quarter end from a transfer to a new share class for an underlying Investment Fund, which is subject to a lock-up period, as well as, a newly instituted gate provision by another underlying Investment Fund. The transfer out of Level 3 noted in the reconciliation table above, resulted during the first, second and third fiscal quarter ends from an underlying Investment Fund’s transfer of a portion of the allocated illiquid investment to a liquid series. Typical reasons for changes in leveling include an underlying Investment Fund instituting or removing a gate and/or changes in the proportion of Fund I’s investment relative to the underlying Investment Fund’s total assets under management, which may affect liquidity and result in a change in the respective fair value hierarchy level. In addition, Fund I may add to or reduce an investment which could impact the liquidity of the investment, and therefore change the classification of the investment based upon Fund I’s leveling criteria. No transfers were made between Level 1 and Level 2 during the period ended December 31, 2014.

 

6

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

NOTES TO THE SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED) (continued)

 

 

 

The following is a summary of the investment strategies and redemption notice periods of the investments in Investment Funds held in Fund I as of December 31, 2014, by strategy. Investment Funds with no current redemption restrictions may be subject to future gates, lock-up provisions or other restrictions, in accordance with their offering and governing documents. Unless otherwise noted below, Fund I had no unfunded capital commitments as of December 31, 2014.

Portfolio Managers implementing credit strategies strive to profit from mispricings of a variety of credit and credit related instruments. Portfolio Managers may conduct distressed and special situations investing, relative value credit strategies, and long biased/opportunistic credit investing. Credit portfolios may hold a variety of credit instruments including corporate bonds, bank debt, convertible bonds, government securities, asset backed securities, mortgages, and credit default swaps. Credit strategies may include portfolio hedges consisting of equity, index hedges, credit default swaps, and other credit and non-credit instruments. The Investment Funds within this strategy generally have redemption notice periods of 60 to 180 days. Fund I has unfunded capital commitments totaling $47.7 million as of December 31, 2014.

Portfolio Managers using event driven strategies seek to profit from opportunities created by significant transactional events such as spin-offs, mergers and acquisitions, bankruptcy reorganizations, recapitalizations, and share buybacks. In addition, positions may be taken in related securities of different companies or in different securities of the same issuer for the purpose of arbitraging price differences. The Investment Funds within this strategy generally have redemption notice periods of 60 to 65 days.

Portfolio Managers implementing long/short equity strategies attempt to profit from security mispricings in equity markets. Portfolio Managers construct portfolios consisting of long and short positions based on perceived value, which may be determined by a variety of techniques including fundamental, quantitative, and technical analysis. In addition, indices, exchange traded funds (“ETFs”), and derivatives may be used for hedging purposes to limit exposure to various risk factors. The Investment Funds within this strategy generally have redemption notice periods of 30 to 90 days.

Portfolio Managers using a multi-strategy approach seek to diversify risks and reduce volatility associated with reliance on a single strategy that may perform poorly in some market environments. The Investment Funds within this strategy generally have a redemption notice period of 65 days.

Portfolio Managers using relative value strategies seek to take advantage of pricing discrepancies between instruments including equities, debt, options, and futures. These managers may use mathematical, fundamental or technical analysis to determine market mispricings. Securities may be mispriced relative to the underlying security, related securities, groups of securities or the overall market. The Investment Funds within this strategy generally have redemption notice periods of 10 to 60 days.

 

7

GMAM Absolute Return Strategy Fund I

(A Series of GMAM Absolute Return Strategies Fund, LLC)

NOTES TO THE SCHEDULE OF INVESTMENTS

DECEMBER 31, 2014 (UNAUDITED) (concluded)

 

 

 

Portfolio Managers implementing trading strategies manage macro or trend following funds. Macro hedge funds typically make investments on anticipated price movements of stock markets, interest rates, foreign exchange currencies, and physical commodities. Macro managers employ a “top-down” global approach and may invest in a variety of markets to participate in expected market movements. Trend following funds allocate assets among investments by switching into investments that appear to be beginning an uptrend and switching out of investments that appear to be beginning a downtrend. Typically, technical trend-following indicators are used to determine the direction of a fund and to identify buy and sell signals. The Investment Funds within this strategy generally have redemption notice periods of 7 to 92 days.

Accounting Pronouncement - In June 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services - Investment Companies (Topic 946): Amendments to Scope, Measurement, and Disclosure Requirements relating to the criteria used in defining an investment company under U.S. GAAP. The new standard sets forth an assessment of fundamental characteristics that need to exist as well as certain typical characteristics that are generally present, for an entity to be considered an investment company. An entity regulated under the Investment Company Act of 1940 is directly considered an investment company under the new standard and as such it does not have to conduct the assessment of characteristics. The update also includes additional disclosure requirements for an entity to disclose the fact that it is an investment company, and to provide information about changes, if any, in its status as an investment company. Finally, an entity will also need to include disclosures around financial support that has been provided or is contractually required to be provided to any of its investees. The requirements of the standard are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with early application prohibited. The Advisor has implemented the standard, with no material impact to the Fund I’s financial statements.

Investment Valuation - Investment in Time Deposit - Fund I values its investments in short-term securities (“Time Deposit”) at cost, which approximates fair value.

Tax Basis - The cost of Investments for federal income tax purposes is adjusted for items of taxable income allocated to Fund I from the Investments. The allocated taxable income has not been provided to Fund I for all of the Investments as of December 31, 2014. As such, the tax basis of Investments is listed below adjusted by using the most recent available taxable income adjustment allocated to Fund I as of September 30, 2014.

 

  Tax Basis   Book Basis  

Cost basis

 $ 3,777,732,205    $ 3,623,464,538   
  

 

 

     

 

 

  

Accumulated gross unrealized appreciation

 $ 1,205,020,017    $ 1,283,066,052   

Accumulated gross unrealized depreciation

   (94,979,528 )    (18,757,896 ) 
  

 

 

     

 

 

  

Accumulated net unrealized appreciation on investments

 $ 1,110,040,489    $ 1,264,308,156   
  

 

 

     

 

 

  

 

8

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)

    GMAM Absolute Return Strategies Fund, LLC

 

By (Signature and Title)*

    /s/ John S. Stevens

    John S. Stevens, President and Chief Executive Officer

    (principal executive officer)

 

Date

    02/27/15

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/ John S. Stevens

    John S. Stevens, President and Chief Executive Officer

    (principal executive officer)

 

Date

    02/27/15

 

By (Signature and Title)*

    /s/ Richard T. Mangino

    Richard T. Mangino, Treasurer

    (principal financial officer)

 

Date

    02/27/15

* Print the name and title of each signing officer under his or her signature.