N-Q 1 pnclgshrtmstrnqcomb12_08.txt PNC LONG SHORT MASTER NQ 12_08 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, 2009 DATE OF REPORTING PERIOD: DECEMBER 31, 2008 ITEM 1. SCHEDULE OF INVESTMENTS PNC LONG-SHORT MASTER FUND LLC QUARTERLY REPORT (UNAUDITED) DECEMBER 31, 2008 PNC LONG-SHORT MASTER FUND LLC SCHEDULE OF INVESTMENTS (UNAUDITED) DECEMBER 31, 2008
% OF INVESTMENT FUNDS* COST VALUE MEMBERS' CAPITAL SECTOR HEDGED EQUITY Artis Partners 2X (Institutional), L.P.** $ 2,857,623 $ 4,953,321 12.88% DAFNA Fund, L.P. 1,978,980 2,536,228 6.59 Lucas Energy Total Return Partners, L.P. 2,460,180 1,382,056 3.59 TCS Capital II, L.P. 1,852,411 2,798,661 7.28 ----------- ----------- ----- Total Sector Hedged Equity 9,149,194 11,670,266 30.34 EVENT HEDGED EQUITY Castlerigg Partners, L.P. 1,500,000 1,000,003 2.60 Harbinger Capital Partners Fund I, L.P. 2,500,000 2,382,436 6.19 Owl Creek II, L.P. 4,000,000 4,190,521 10.90 ----------- ----------- ----- Total Event Hedged Equity 8,000,000 7,572,960 19.69 INTERNATIONAL HEDGED EQUITY Firebird Global Fund II, L.P. 1,000,000 514,042 1.34 Horseman Global Fund, L.P. 1,390,085 4,765,156 12.39 Kingdon Associates, L.P.** 1,234,055 1,736,049 4.51 ----------- ----------- ----- Total International Hedged Equity 3,624,140 7,015,247 18.24 U.S. HEDGED EQUITY Blue Harbour Strategic Value Partners, L.P. 4,000,000 2,779,348 7.23 Wynnefield Partners Small Cap Value, L.P. 2,041,100 2,787,144 7.25 ----------- ----------- ----- Total U.S. Hedged Equity 6,041,100 5,566,492 14.48 TRADING Cipher Composite Fund L.P.** 1,231,104 2,235,995 5.81 Peak Select Partners L.P. 1,302,237 2,367,873 6.16 ----------- ----------- ----- Total Trading 2,533,341 4,603,868 11.97 CREDIT Camulos Partners, L.P. 3,500,000 1,478,732 3.84 ----------- ----------- ----- Total Credit 3,500,000 1,478,732 3.84 ----------- ----------- ----- Total Investment Funds $32,847,775 $37,907,565 98.56% =========== =========== =====
* All investments are non-income producing. ** Fund investment fully or partially segregated to cover tender offers. As of December 31, 2008, 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 Great Britain - 12.39% $ 1,390,085 $ 4,765,156 United States - 86.17% 31,457,690 33,142,409 ----------- ----------- $32,847,775 $37,907,565 =========== ===========
Percentages above are based on members' capital of $38,463,017. The aggregate cost of investments for tax purposes was expected to be similar to book cost of $32,847,775. Net unrealized appreciation on investments for tax purposes was $5,059,790 consisting of $10,483,353 of gross unrealized appreciation and $5,423,563 of gross unrealized depreciation. The investments in Investment Funds above, representing 98.56% of members' capital, have been fair valued in accordance with procedures established by the Board of Directors. In September, 2006, the Financial Accounting Standards Board ("FASB") released STATEMENT OF FINANCIAL ACCOUNTING STANDARDS ("SFAS") No. 157, which provides enhanced guidance for using fair value to measure assets and liabilities. The Master Fund adopted SFAS No. 157 on April 1, 2008. SFAS No. 157 establishes a fair PNC LONG-SHORT MASTER FUND LLC SCHEDULE OF INVESTMENTS (UNAUDITED) DECEMBER 31, 2008 value hierarchy and specifies that a valuation technique used to measure fair value shall maximize the use of observable inputs and minimize the use of unobservable inputs. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy under SFAS No. 157 are described below: - Level 1 -- Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date; - Level 2 -- Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and - Level 3 -- Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). As required by SFAS No.157, investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 consider several inputs and may include Level 1 or Level 2 inputs as components of the overall fair value measurement. The table below sets forth information about the level within the fair value hierarchy at which the Master Fund's investments are measured at December 31, 2008:
Level 1 Level 2 Level 3 Total ------- ------- ----------- ----------- Investments in other hedge funds $-- $-- $37,907,565 $37,907,565 ------- ------- ----------- -----------
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 of Realized appreciation/ Net purchase/ in and/or out Balance as of 3/31/08 gain/(loss) (depreciation) sales of Level 3 12/31/08 ------------- ----------- -------------- ------------- ------------- ------------- $49,812,745 $1,662,813 $(10,467,993) $(3,100,000) $-- $37,907,565 ------------- ----------- -------------- ------------- ------------- -------------
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: February 23, 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: February 23, 2009 /s/ Jennifer E. Spratley ------------------------ Jennifer E. Spratley Chief Financial Officer Date: February 23, 2009