N-Q 1 g56454_lngshrtmstr-nq.txt G56454_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: DECEMBER 31, 2009 ITEM 1. SCHEDULE OF INVESTMENTS PNC LONG-SHORT MASTER FUND LLC QUARTERLY REPORT (UNAUDITED) DECEMBER 31, 2009 PNC LONG-SHORT MASTER FUND LLC SCHEDULE OF INVESTMENTS (UNAUDITED) DECEMBER 31, 2009
% OF MEMBERS' INVESTMENTS COST VALUE CAPITAL LIQUIDITY*** ----------- ----------- ----------- -------- ------------ INVESTMENT FUNDS* SECTOR HEDGED EQUITY Artis Partners 2X (Institutional), L.P.** $ 696,277 $ 2,137,816 6.65% Quarterly ----------- ----------- ----- DAFNA Fund, L.L.C., Series A** 1,082,147 1,669,712 5.19 Monthly Lucas Energy Total Return Partners, L.P.** 2,091,153 1,717,292 5.34 Monthly ----------- ----------- ----- Total Sector Hedged Equity 3,869,577 5,524,820 17.18 INTERNATIONAL HEDGED EQUITY Bay II Resource Partners, L.P. 1,000,000 1,287,682 4.01 Quarterly Firebird Global Fund II, L.P. 111,488 25,422 0.08 Semi-Annual Kingdon Associates, L.P.** 925,542 1,684,225 5.24 Quarterly Millgate Partners, L.P. 1,800,000 1,735,351 5.40 Quarterly ----------- ----------- ----- Total International Hedged Equity 3,837,030 4,732,680 14.73 CTA/MACRO Cipher Composite Fund, L.P.** 680,615 1,256,553 3.91 Monthly Peak Select Partners L.P.** 832,612 1,427,507 4.44 Monthly Quantitative Global 1X Fund LLC 1,000,000 1,027,172 3.19 Monthly ----------- ----------- ----- Total Trading 2,513,227 3,711,232 11.54 EVENT HEDGED EQUITY Castlerigg Partners, L.P.** 199,131 132,797 0.41 Quarterly Harbinger Capital Partners Fund I, L.P.** 1,002,640 1,295,019 4.03 Quarterly Owl Creek II, L.P. 1,965,682 2,430,296 7.56 Annually ----------- ----------- ----- Total Event Hedged Equity 3,167,453 3,858,112 12.00 U.S. HEDGED EQUITY Blue Harbour Strategic Value Partners, L.P. 1,475,317 1,193,933 3.71 Annually Scopia Partners, L.L.C. 1,000,000 1,008,114 3.14 +++ ----------- ----------- ----- Total U.S. Hedged Equity 2,475,317 2,202,047 6.85 CREDIT Camulos Partners, L.P. 2,030,155 705,623 2.19 Quarterly+ ----------- ----------- ----- Total Credit 2,030,155 705,623 2.19 ----------- ----------- ----- Total Investment Funds 17,892,759 20,734,514 64.49 ----------- ----------- ----- REGISTERED INVESTMENT COMPANY SEI Daily Income Trust Money Market Fund Fund, Class A, 0.100%++ 1,941,506 1,941,506 6.04 Daily ----------- ----------- ----- Total Registered Investment Company 1,941,506 1,941,506 6.04 ----------- ----------- ----- Total Investments $19,834,265 $22,676,020 70.53% =========== =========== =====
* All investment funds are non-income producing. ** Fund investment fully or partially segregated to cover tender offers. *** Liquidity terms shown apply after lock-up provisions. + Investment Fund has suspended redemptions as of December 31, 2009. ++ Rate shown is the 7-day effective yield as of December 31, 2009. +++ Monthly liquidity with 120 days notice/quarterly liquidity with 60 days notice. As of December 31, 2009, the value of the "Master Fund" investments by country as a percentage of members' capital is as follows:
COUNTRY COST VALUE ------- ----------- ----------- United States - 70.53% $19,834,265 $22,676,020 ----------- ----------- $19,834,265 $22,676,020 ----------- -----------
PNC LONG-SHORT MASTER FUND LLC SCHEDULE OF INVESTMENTS (UNAUDITED) DECEMBER 31, 2009 Percentages shown on previous page are based on members' capital of $32,149,374. The aggregate cost of investments for tax purposes was expected to be similar to book cost of $19,834,265. Net unrealized appreciation on investments for tax purposes was $2,841,755 consisting of $5,038,581 of gross unrealized appreciation and $2,196,826 of gross unrealized depreciation. The investments in Investment Funds shown on the previous page, representing 64.49% of members' capital, have been fair valued in accordance with procedures established by the Board of Directors. The following table summarizes the valuation of the Master Fund's investments under ASC 820 fair value hierarchy levels as of December 31, 2009:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- ----------- ----------- ----------- Investment Funds $ -- $16,379,240 $4,355,274 $20,734,514 Registered Investment Company 1,941,506 -- -- 1,941,506 ---------- ----------- ----------- ----------- Total $1,941,506 $16,379,240 $4,355,274 $22,676,020 ========== =========== =========== ===========
The following is a reconciliation of the investments in Investment Funds in which significant unobservable inputs (Level 3) were used in determining value. The Master Fund adopted Accounting Standards Update 2009-12, Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), ASU 2009-12, as of December 31, 2009. The "Net transfers in and/or out of Level 3" shown in the reconciliation below reflect the adoption of ASU 2009-12.
Change in Ending Beginning unrealized Net transfers in Balance Balance as Realized appreciation/ Net purchase/ and/or out of as of of 3/31/09 gain/(loss) (depreciation) sales Level 3 12/31/09 ----------- ----------- -------------- ------------- -------------- ----------- $28,190,344 ($1,206,560) $2,019,476 ($5,185,639) ($19,462,347) $4,335,274 ----------- ----------- ----------- ------------ ------------ -----------
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 chief executive officer and the chief 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 26, 2010 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 26, 2010 /s/ Jennifer E. Spratley ------------------------------------- Jennifer E. Spratley Chief Financial Officer Date: February 26, 2010