Page | ||||
Organizational Structure Summary |
1 | |||
PNC Absolute Return Master Fund LLC Commentary (Unaudited) |
3 | |||
Report of Independent Registered Public Accounting Firm |
8 | |||
Schedule of Investments for PNC Absolute Return Master Fund LLC |
9 | |||
Statements of Assets and Liabilities |
12 | |||
Statements of Operations |
13 | |||
Statements of Changes in Members Capital |
14 | |||
Statements of Cash Flows |
16 | |||
Financial Highlights for PNC Absolute Return Fund LLC |
17 | |||
Consolidated Financial Highlights for PNC Absolute Return TEDI Fund LLC |
18 | |||
Financial Highlights for PNC Absolute Return Master Fund LLC |
19 | |||
Notes to Financial Statements |
20 | |||
Board Approval of Investment Management Agreements and Investment Advisory Agreement (Unaudited) |
33 | |||
Directors and Officers of the Funds (Unaudited) |
35 | |||
Other Information (Unaudited) |
39 |
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1 | The Master Fund commenced investment operations on July 1, 2006. The performance and portfolio holdings discussed herein include the past performance and portfolio holdings of a predecessor fund with the same investment objective and strategies that transferred all of its assets to the Master Fund on July 1, 2006. | |
2 | The HFRX Absolute Return Index is an investable hedge fund index designed to provide consistent returns with minimal correlation to the equity and fixed income markets. | |
3 | The S&P 500 Index is a capitalization weighted index of 500 of the largest companies trading on the NYSE, as selected by Standard & Poors. Widely regarded as the standard for measuring large-cap U.S. stock market performance, the index includes exposure in all sectors and industries. An investor may not invest directly into the index. | |
4 | The Barclays Capital U.S. Aggregate Bond Index (formerly the Lehman Brothers Aggregate Bond Index) is a market-weighted, intermediate-term bond index that encompasses U.S. Treasury and agency securities and investment grade corporate and international (dollar denominated) bonds. It is an unmanaged index frequently used as a general measure of bond market performance. An investor may not invest directly into the index. | |
5 | The G7 is the group of the seven most industrialized nations in the world that met to discuss and draw up global economic policies before they were joined by Russia to form G8. The seven were Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. | |
6 | A credit default swap is a specific kind of counterparty agreement which allows the transfer of third party credit risk from one party to the other. One party in the swap is a lender and faces credit risk from a third party, and the counterparty in the credit default swap agrees to insure this risk in exchange of regular periodic payments (essentially an insurance premium). If the third party defaults, the party providing insurance will have to either purchase from the insured party the defaulted asset or pay the difference between par and fair value. In turn, the insurer pays the insured the remaining interest on the debt, as well as the principal. Credit default swaps generally have a simple structure and flexible conditions and are thus used by banks and investors in order to hedge their exposure to credit risk. It can be considered as a sort of insurance for a credit default or some specified events mentioned in the contract. The buyer of the protection pays a premium to the seller, and this premium is called the credit default swap spread. The premium is quoted in basis points per year of the contracts notional amount and the payment is made quarterly (a basis point is 1/100th of a percentage point). If the events mentioned in the contract happen then the seller of the insurance will cover the losses of the buyer. | |
7 | The JPMorgan Global High Yield Index is designed to mirror the investable universe of the U.S. dollar global high yield corporate debt market, including domestic and international issues. | |
8 | Credit Ratings: Standard & Poors rates securities from AAA (highest quality) to C (lowest quality) with BBB and above being called investment grade securities. BB and below are considered below investment grade securities. |
6
9 | Yield-to-worst rate is the lowest potential yield that can be received on a bond considering all potential call dates prior to maturity. The yield-to-worst is calculated by making worst-case scenario assumptions on the issue by calculating the returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer. This metric is used to evaluate the worst-case scenario for yield to help investors manage risks and ensure that specific income requirements will still be met even in the worst scenarios. | |
10 | The MSCI All Country World Index (the MSCI ACWI) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of May 18, 2011, the MSCI ACWI consisted of 45 country indices comprising 24 developed and 21 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. | |
11 | Exposure typically signifies the dollar amount of long or short positions in a fund per dollar of equity. | |
12 | Tail risk is a form of portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by a normal distribution. Standard deviation is a statistical measurement that sheds light on historical volatility. For example, a volatile stock will have a high standard deviation while the deviation of a stable blue chip stock will be lower. A large dispersion tells us how much the return on the fund is deviating from the expected normal returns. When a portfolio of investments is put together, it is assumed that the distribution of returns will follow a normal pattern. Under this assumption, the probability that returns will move between the mean and three standard deviations, either positive or negative, is 99.97%. This means that the probability of returns moving more than three standard deviations beyond the mean is 0.03%, or virtually zero. However, the concept of tail risk suggests that the distribution is not normal, but skewed, and has fatter tails. The fatter tails increase the probability that an investment will move beyond three standard deviations. |
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% of | ||||||||||||
Members | ||||||||||||
Cost | Value | Capital | ||||||||||
Investment Funds* |
||||||||||||
Credit Based |
||||||||||||
Brigade Leveraged Capital Structures Fund, L.P. |
$ | 803,898 | $ | 1,030,155 | 3.88 | % | ||||||
Chatham Asset Partners High Yield Fund |
880,000 | 967,539 | 3.64 | |||||||||
Claren Road Credit Partners, L.P. |
1,200,000 | 1,433,831 | 5.40 | |||||||||
GSO Liquidity Partners L.P. |
149,315 | 146,162 | 0.55 | |||||||||
GSO Special Situations Fund, L.P. |
207,224 | 275,127 | 1.04 | |||||||||
MKP Credit, L.P. |
1,193,430 | 1,951,110 | 7.34 | |||||||||
Total Credit Based |
4,433,867 | 5,803,924 | 21.85 | |||||||||
Event-Driven |
||||||||||||
Canyon Value Realization Fund, L.P. |
136,204 | 194,502 | 0.73 | |||||||||
Castlerigg Partners, L.P. |
75,593 | 62,124 | 0.23 | |||||||||
Cerberus SPV, LLC |
985,388 | 1,930,826 | 7.27 | |||||||||
Lenado Partners, Series A of Lenado Capital Partners L.P. |
403,134 | 93,196 | 0.35 | |||||||||
Luxor Capital Partners L.P. |
880,000 | 969,248 | 3.65 | |||||||||
Montrica Global Opportunities Fund, L.P. |
156,078 | 86,537 | 0.32 | |||||||||
Taconic Opportunity Fund, L.P. |
897,415 | 1,263,550 | 4.76 | |||||||||
Total Event-Driven |
3,533,812 | 4,599,983 | 17.31 | |||||||||
Global Macro |
||||||||||||
Argonaut Macro Partnership L.P. |
880,000 | 872,521 | 3.28 | |||||||||
Brevan Howard, L.P. |
597,239 | 1,263,538 | 4.76 | |||||||||
COMAC Global Macro Fund, L.P. |
1,000,000 | 1,096,987 | 4.13 | |||||||||
Total Global Macro |
2,477,239 | 3,233,046 | 12.17 | |||||||||
Hedged Equity |
||||||||||||
Atlas Global, LLC(a) |
1,500,000 | 1,864,639 | 7.02 | |||||||||
Perry Partners, L.P. |
67,433 | 82,089 | 0.31 |
9
% of | ||||||||||||
Members | ||||||||||||
Cost | Value | Capital | ||||||||||
Investment Funds* (continued) |
||||||||||||
Hedged Equity (continued) |
||||||||||||
PFM Diversified Fund, L.P. |
$ | 1,500,000 | $ | 1,759,969 | 6.62 | % | ||||||
SAC Multi-Strategy Fund L.P. |
60,402 | 67,812 | 0.26 | |||||||||
Total Hedged Equity |
3,127,835 | 3,774,509 | 14.21 | |||||||||
Managed Futures |
||||||||||||
BlueTrend Fund L.P. (Class A) |
762,473 | 957,380 | 3.60 | |||||||||
Total Managed Futures |
762,473 | 957,380 | 3.60 | |||||||||
Multi-Strategy |
||||||||||||
Amaranth Partners, L.L.C. |
156,400 | 96,234 | 0.36 | |||||||||
Goldman Sachs Investment Partners(a) |
1,712,881 | 1,939,942 | 7.30 | |||||||||
HBK SLV, LP |
84,268 | 79,147 | 0.30 | |||||||||
Millennium USA, LP |
860,737 | 1,164,126 | 4.38 | |||||||||
Total Multi-Strategy |
2,814,286 | 3,279,449 | 12.34 | |||||||||
Volatility |
||||||||||||
Ionic Capital Partners L.P. |
880,000 | 840,165 | 3.16 | |||||||||
Total Volatility |
880,000 | 840,165 | 3.16 | |||||||||
Total Investment Funds |
18,029,512 | 22,488,456 | 84.64 | |||||||||
Affiliated Registered Investment Company |
||||||||||||
PNC Advantage Institutional Money Market Fund Institutional Shares, 0.05% (b) |
1,707,560 | 1,707,560 | 6.43 | |||||||||
Total Investments |
$ | 19,737,072 | 24,196,016 | 91.07 | ||||||||
Other Assets and Other Liabilities (Net) |
2,371,435 | 8.93 | ||||||||||
Members Capital |
$ | 26,567,451 | 100.00 | % | ||||||||
* | All Investment Funds are non-income producing. See Note 6 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 March 31, 2011. |
Country |
Cost | Value | ||||||
Cayman Islands - 0.32% |
$ | 156,078 | $ | 86,537 | ||||
United States - 90.75% |
19,580,994 | 24,109,479 | ||||||
$ | 19,737,072 | $ | 24,196,016 | |||||
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11
PNC Absolute | PNC Absolute | |||||||||||
PNC Absolute | Return TEDI Fund | Return Master | ||||||||||
Return Fund LLC | LLC * | Fund LLC | ||||||||||
Assets |
||||||||||||
Investment in Master Fund |
$ | 23,053,016 | $ | 3,514,435 | $ | | ||||||
Investment Funds, at value (cost $18,029,512) |
| | 22,488,456 | |||||||||
Investment in affiliated registered investment company, at
value (cost $1,707,560)** |
| | 1,707,560 | |||||||||
Cash |
29 | 1,000,000 | | |||||||||
Fund investments made in advance |
| | 3,000,000 | |||||||||
Receivable from Master Fund for tender offers |
1,035,829 | | | |||||||||
Receivable from fund investments sold |
| | 558,847 | |||||||||
Restricted cash |
199,034 | 150,249 | | |||||||||
Receivable from Manager |
199,118 | 36,020 | 31,057 | |||||||||
Other receivables |
1,816 | 1,816 | 12,410 | |||||||||
Prepaid expenses |
| | 5,014 | |||||||||
Total assets |
24,488,842 | 4,702,520 | 27,803,344 | |||||||||
Liabilities |
||||||||||||
Note payable for tender offers |
1,234,863 | 150,249 | | |||||||||
Due to feeder funds for tender offers |
| | 1,035,829 | |||||||||
Capital contributions received in advance |
| 1,000,000 | | |||||||||
Incentive fee payable |
82,519 | 5,656 | | |||||||||
Management fee payable |
| | 87,701 | |||||||||
Administration fees payable |
4,727 | 4,727 | 14,941 | |||||||||
Deferred compensation |
1,816 | 1,816 | 12,410 | |||||||||
Directors fees payable |
| | 1,874 | |||||||||
Other accrued expenses |
70,281 | 72,807 | 83,138 | |||||||||
Total liabilities |
1,394,206 | 1,235,255 | 1,235,893 | |||||||||
Members capital |
$ | 23,094,636 | $ | 3,467,265 | $ | 26,567,451 | ||||||
Members capital |
||||||||||||
Net capital contributions |
$ | 17,892,991 | $ | 4,209,966 | $ | 22,108,507 | ||||||
Accumulated net unrealized appreciation/depreciation on
investments |
5,201,645 | (742,701 | ) | 4,458,944 | ||||||||
Members capital |
$ | 23,094,636 | $ | 3,467,265 | $ | 26,567,451 | ||||||
* | A consolidated Statement of Assets and Liabilities has been presented. | |
** | See Note 5 in Notes to Financial Statements. |
12
PNC Absolute | PNC Absolute | |||||||||||
PNC Absolute | Return TEDI Fund | Return Master | ||||||||||
Return Fund LLC | LLC * | Fund LLC | ||||||||||
Net investment loss allocated from Master Fund |
||||||||||||
Affiliated dividend income |
$ | 457 | $ | 78 | $ | | ||||||
Expenses |
(584,677 | ) | (86,204 | ) | | |||||||
(584,220 | ) | (86,126 | ) | | ||||||||
Investment income |
||||||||||||
Affiliated dividend income |
29 | | 535 | |||||||||
Operating expenses |
||||||||||||
Management fees |
| | 354,685 | |||||||||
Administration fees |
79,150 | 24,853 | 58,855 | |||||||||
Tax service fees |
46,266 | 36,245 | 40,278 | |||||||||
Directors fees |
12,604 | 7,583 | 96,804 | |||||||||
Legal fees |
32,645 | 32,645 | 38,863 | |||||||||
Printing fees |
44,146 | 41,846 | 6,876 | |||||||||
Audit fees |
27,778 | 27,778 | 27,778 | |||||||||
Custodian fees |
864 | 874 | 14,724 | |||||||||
Chief Compliance Officer fees |
2,417 | 2,418 | 3,397 | |||||||||
Tax expense |
| | 8,092 | |||||||||
Line of credit facility fees |
| | 7,486 | |||||||||
Registration fees |
2,150 | 2,331 | | |||||||||
Deferred compensation |
52 | 52 | 520 | |||||||||
Incentive fee |
(141,631 | ) | (3,266 | ) | | |||||||
Other expenses |
11,393 | 1,978 | 12,523 | |||||||||
Total operating expenses |
117,834 | 175,337 | 670,881 | |||||||||
Less: |
||||||||||||
Expense waiver/reimbursement from Manager |
(347,945 | ) | (155,331 | ) | | |||||||
Net operating expenses |
(230,111 | ) | 20,006 | 670,881 | ||||||||
Net investment loss |
(354,080 | ) | (106,132 | ) | (670,346 | ) | ||||||
Net realized and unrealized gain/(loss) on investments: |
||||||||||||
Net realized gain allocated from Master Fund |
897,267 | 137,581 | | |||||||||
Net realized gain from investments |
| | 1,034,848 | |||||||||
Net change in unrealized appreciation/depreciation
allocated from Master Fund |
511,555 | 37,755 | | |||||||||
Net change in unrealized appreciation/depreciation on
investments |
| | 549,310 | |||||||||
Net realized and unrealized gain on investments |
1,408,822 | 175,336 | 1,584,158 | |||||||||
Net increase in Members capital from operating activities |
$ | 1,054,742 | $ | 69,204 | $ | 913,812 | ||||||
* | A consolidated Statement of Operations has been presented. |
13
PNC Absolute | PNC Absolute | |||||||||||
PNC Absolute | Return TEDI Fund | Return Master | ||||||||||
Return Fund LLC | LLC * | Fund LLC | ||||||||||
For the year ended March 31, 2010 |
||||||||||||
From operating activities |
||||||||||||
Net investment loss |
$ | (721,671 | ) | $ | (112,947 | ) | $ | (876,204 | ) | |||
Net realized gain allocated from Master Fund |
2,413,198 | 275,688 | | |||||||||
Net realized gain from investments |
| | 2,688,886 | |||||||||
Net change in unrealized appreciation/depreciation
allocated from Master Fund |
3,073,089 | 332,836 | | |||||||||
Net change in unrealized appreciation/depreciation on
investments |
| | 3,405,925 | |||||||||
Net increase in Members capital from operating
activities |
4,764,616 | 495,577 | 5,218,607 | |||||||||
Members capital transactions |
||||||||||||
Sales of Interests |
| | 378,113 | |||||||||
Cost of Interests repurchased |
(17,858,198 | ) | (1,600,000 | ) | (19,908,195 | ) | ||||||
Net decrease in Members capital from capital
transactions |
(17,858,198 | ) | (1,600,000 | ) | (19,530,082 | ) | ||||||
Members capital |
||||||||||||
Balance at beginning of year |
36,639,797 | 3,733,236 | 40,345,140 | |||||||||
Balance at end of year |
$ | 23,546,215 | $ | 2,628,813 | $ | 26,033,665 | ||||||
For the year ended March 31, 2011 |
||||||||||||
From operating activities |
||||||||||||
Net investment loss |
$ | (354,080 | ) | $ | (106,132 | ) | $ | (670,346 | ) | |||
Net realized gain allocated from Master Fund |
897,267 | 137,581 | | |||||||||
Net realized gain from investments |
| | 1,034,848 | |||||||||
Net change in unrealized appreciation/depreciation
allocated from Master Fund |
511,555 | 37,755 | | |||||||||
Net change in unrealized appreciation/depreciation on
investments |
| | 549,310 | |||||||||
Net increase in Members capital from operating
activities |
1,054,742 | 69,204 | 913,812 | |||||||||
Members capital transactions |
||||||||||||
Sales of Interests |
600,000 | 775,000 | 1,940,921 | |||||||||
Cost of Interests repurchased (net of adjustment for prior
period tenders of $14,870 and $(5,752), respectively) ** |
(2,106,321 | ) | (5,752 | ) | (2,320,947 | ) | ||||||
Net increase/(decrease) in Members capital from
capital transactions |
(1,506,321 | ) | 769,248 | (380,026 | ) | |||||||
14
PNC Absolute | PNC Absolute | |||||||||||
PNC Absolute | Return TEDI Fund | Return Master | ||||||||||
Return Fund LLC | LLC * | Fund LLC | ||||||||||
For the year ended March 31, 2011 (continued) |
||||||||||||
Members capital |
||||||||||||
Balance at beginning of year |
$ | 23,546,215 | $ | 2,628,813 | $ | 26,033,665 | ||||||
Balance at end of year |
$ | 23,094,636 | $ | 3,467,265 | $ | 26,567,451 | ||||||
* | A consolidated Statement of Changes in Members Capital has been presented. | |
** | See Note 3H in Notes to Financial Statements. |
15
PNC Absolute | PNC Absolute | |||||||||||
PNC Absolute | Return TEDI Fund | Return Master | ||||||||||
Return Fund LLC | LLC * | Fund LLC | ||||||||||
Cash flows from operating activities |
||||||||||||
Net increase in Members capital from operating activities |
$ | 1,054,742 | $ | 69,204 | $ | 913,812 | ||||||
Adjustments to reconcile net increase in Members capital
from operating activities to net cash provided by
operating activities: |
||||||||||||
Net realized gain from investments |
| | (1,034,848 | ) | ||||||||
Net change in unrealized appreciation/depreciation on
investments |
| | (549,310 | ) | ||||||||
Purchases of investment in Master Fund |
(997,393 | ) | (943,528 | ) | | |||||||
Purchases of investments |
| | (3,520,218 | ) | ||||||||
Proceeds from sale of investment in Master Fund |
2,181,473 | 139,474 | | |||||||||
Proceeds from sale of investments |
| | 9,281,449 | |||||||||
Net investment loss and realized/unrealized gain on
investments allocated from Master Fund |
(824,602 | ) | (89,210 | ) | | |||||||
Net purchase of short-term investments |
| | (1,491,549 | ) | ||||||||
Decrease in receivable from fund investments sold |
| | 1,190,672 | |||||||||
Decrease in restricted cash |
2,236,786 | 369,751 | | |||||||||
(Decrease)/Increase in receivable from Master Fund for
tender offers |
(35,829 | ) | 1,500,000 | | ||||||||
Increase in fund investments made in advance |
| | (3,000,000 | ) | ||||||||
Decrease/(increase) in receivable from Manager |
(33,583 | ) | 16,219 | (14,047 | ) | |||||||
Decrease in prepaid expenses |
9,961 | 1,612 | 9,257 | |||||||||
Decrease in dividend income receivable |
| | 12 | |||||||||
Decrease in other receivable |
2,184 | 2,184 | 22,603 | |||||||||
Decrease in Chief Compliance Officer fees payable |
(389 | ) | (389 | ) | (389 | ) | ||||||
Decrease in directors fees payable |
(667 | ) | (667 | ) | (5,570 | ) | ||||||
Increase in deferred compensation |
1,566 | 1,566 | 9,827 | |||||||||
Increase in incentive fee payable |
82,519 | 1,937 | | |||||||||
Increase/(decrease) in administration fee payable |
977 | 977 | (6,259 | ) | ||||||||
Decrease in management fee payable |
| | (1,149 | ) | ||||||||
Increase in other accrued expenses |
29,562 | 31,373 | 39,904 | |||||||||
Net cash provided by operating activities |
3,707,307 | 1,100,503 | 1,844,197 | |||||||||
Cash flows from financing activities |
||||||||||||
Proceeds from sales of Interests |
100,000 | 1,275,000 | 1,940,921 | |||||||||
Cost of Interests repurchased |
(3,807,278 | ) | (1,375,503 | ) | (3,785,118 | ) | ||||||
Net cash used in financing activities |
(3,707,278 | ) | (100,503 | ) | (1,844,197 | ) | ||||||
Net change in cash |
29 | 1,000,000 | | |||||||||
Cash |
||||||||||||
Beginning of year |
| | | |||||||||
End of year |
$ | 29 | $ | 1,000,000 | $ | | ||||||
* | A consolidated Statement of Cash Flows has been presented. |
16
Year ended | Year ended | Year ended | Year ended | Year ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 * | ||||||||||||||||
Total return before incentive fee(1) |
3.86 | % | 13.75 | % | (17.59 | %) | 3.29 | % | 6.25 | % | ||||||||||
Incentive fee |
0.58 | % | 0.00 | % | 0.00 | % | (0.03 | %) | (0.39 | %) | ||||||||||
Total return after incentive fee(1) |
4.44 | % | 13.75 | % | (17.59 | %) | 3.26 | % | 5.86 | % | ||||||||||
Members capital, end of year (000s) |
$ | 23,095 | $ | 23,546 | $ | 36,640 | $ | 50,485 | $ | 53,123 | ||||||||||
Ratios to average net assets(2) |
||||||||||||||||||||
Net investment loss ratio, before waivers and reimbursements |
(2.86 | %) | (2.87 | %) | (2.71 | %) | (2.53 | %) | (2.70 | %) | ||||||||||
net of waivers and reimbursements |
(1.44 | %) | (1.99 | %) | (1.93 | %) | (2.00 | %) | (2.17 | %) | ||||||||||
Expense ratio before incentive fee, before waivers and reimbursements |
3.44 | % | 2.90 | % | 2.80 | % | 2.55 | % | 2.40 | % | ||||||||||
net of waivers and reimbursements |
2.02 | % | 2.02 | % | 2.02 | % | 2.02 | % | 1.87 | % | ||||||||||
Expense ratio before incentive fee, net of waivers and reimbursements |
2.02 | % | 2.02 | % | 2.02 | % | 2.02 | % | 1.87 | % | ||||||||||
Incentive fee |
(0.58 | %) | 0.00 | % | 0.00 | % | 0.05 | % | 0.39 | % | ||||||||||
Expense ratio after incentive fee, net of
waivers and reimbursements |
1.44 | % | 2.02 | % | 2.02 | % | 2.07 | % | 2.26 | % | ||||||||||
Portfolio turnover(3) |
14.20 | % | 24.52 | % | 11.39 | % | 14.22 | % | 35.12 | % |
* | On July 1, 2006, the Fund converted into a feeder fund of PNC Absolute Return Master Fund LLC. Performance information prior to July 1, 2006 was that of the stand-alone Fund. | |
(1) | Total return is calculated for all Members taken as a whole. A Members return may vary from these returns based on the timing of capital transactions. Total return is calculated for the period indicated. | |
(2) | Does not include expenses of the Investment Funds in which the Master Fund invests. The net investment income, expense and incentive fee ratios are calculated for all Members taken as a whole, and include income and expenses allocated from the Master Fund. The computation of such ratios based on the amount of income and expenses and incentive fee assessed to a Members capital may vary from these ratios based on the timing of capital transactions. The Manager has contractually agreed to waive certain Fund expenses. See Note 4C in Notes to Financial Statements. | |
(3) | The portfolio turnover shown represents the Master Funds portfolio turnover for July 1, 2006 to March 31, 2007 and the years ended March 31, 2008, March 31, 2009, March 31, 2010, and March 31, 2011. Portfolio turnover for the Fund from April 1, 2006 to June 30, 2006 was 4.21%. Portfolio turnover is calculated for the periods indicated. |
17
Period | ||||||||||||||||||||
Year ended | Year ended | Year ended | Year ended | ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007* | ||||||||||||||||
Total return before incentive fee(1) |
2.63 | % | 13.29 | % | (18.68 | %) | 3.01 | % | 3.85 | % (2) | ||||||||||
Incentive fee |
0.09 | % | (0.09 | %) | 0.00 | % | 0.00 | % | (0.35 | %) (2) | ||||||||||
Total return after incentive fee(1) |
2.72 | % | 13.20 | % | (18.68 | %) | 3.01 | % | 3.50 | % (2) | ||||||||||
Members capital, end of year (000s) |
$ | 3,467 | $ | 2,629 | $ | 3,733 | $ | 4,467 | $ | 2,825 | ||||||||||
Ratios to average net assets(3) |
||||||||||||||||||||
Net investment loss ratio, before waivers and reimbursements |
(7.18 | %) | (6.33 | %) | (5.45 | %) | (5.70 | %) | (10.16 | %)(4) | ||||||||||
net of waivers and reimbursements |
(2.91 | %) | (2.81 | %) | (2.42 | %) | (2.40 | %) | (3.59 | %) (4) | ||||||||||
Expense ratio before incentive fee, before waivers and reimbursements |
7.27 | % | 6.27 | % | 5.55 | % | 5.77 | % | 9.56 | % (4) | ||||||||||
net of waivers and reimbursements |
3.00 | % | 2.74 | % | 2.52 | % | 2.47 | % | 2.99 | % (4) | ||||||||||
Expense ratio before incentive fee, net of waivers and reimbursements |
3.00 | % | 2.74 | % | 2.52 | % | 2.47 | % | 2.99 | % (4) | ||||||||||
Incentive fee |
(0.09 | %) | 0.09 | % | 0.00 | % | 0.00 | % | 0.51 | % (2) | ||||||||||
Expense ratio after incentive fee, net of
waivers and reimbursements |
2.91 | % | 2.83 | % | 2.52 | % | 2.47 | % | 3.50 | % (4) | ||||||||||
Portfolio turnover(5) |
14.20 | % | 24.52 | % | 11.39 | % | 14.22 | % | 35.12 | % (2) |
* | The TEDI Fund was seeded on May 10, 2006 and commenced investment operations on July 1, 2006. | |
(1) | Total return is calculated for all Members taken as a whole. A Members return may vary from these returns based on the timing of capital transactions. Total return is calculated for the period indicated. | |
(2) | Not annualized. | |
(3) | Does not include expenses of the Investment Funds in which the Master Fund invests. The net investment income, expense and incentive fee ratios are calculated for all Members taken as a whole, and include income and expenses allocated from the Master Fund. The computation of such ratios based on the amount of income and expenses and incentive fee assessed to a Members capital may vary from these ratios based on the timing of capital transactions. The Manager has voluntarily agreed to waive certain TEDI Fund expenses. See Note 4C in Notes to Financial Statements. | |
(4) | Annualized. | |
(5) | The portfolio turnover shown represents the Master Funds portfolio turnover and is calculated for the periods indicated. |
18
Period | ||||||||||||||||||||
Year ended | Year ended | Year ended | Year ended | ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007* | ||||||||||||||||
Total return(1) |
3.44 | % | 13.43 | % | (17.62 | %) | 3.29 | % | 4.42 | % (2) | ||||||||||
Members capital, end of year (000s) |
$ | 26,567 | $ | 26,034 | $ | 40,345 | $ | 55,100 | $ | 56,079 | ||||||||||
Ratios to average net assets(3) |
||||||||||||||||||||
Net investment loss |
(2.38 | %) | (2.16 | %) | (2.03 | %) | (1.93 | %) | (1.92 | %) (4) | ||||||||||
Net operating expenses |
2.38 | % | 2.19 | % | 2.12 | % | 2.00 | % | 2.02 | % (4) | ||||||||||
Portfolio turnover rate |
14.20 | % | 24.52 | % | 11.39 | % | 14.22 | % | 35.12 | % (2) |
* | The Master Fund was seeded on May 10, 2006 and commenced investment operations on July 1, 2006. | |
(1) | Total return is calculated for all the Members taken as a whole. A Members return may vary from these returns based on the timing of capital transactions. The total return is calculated for the period indicated. | |
(2) | Not annualized. | |
(3) | Does not include expenses of the Investment Funds in which the Master Fund invests. The net investment income and expense ratios are calculated for all Members taken as a whole. The computation of such ratios based on the amount of income and expenses assessed to a Members capital account may vary from these ratios based on the timing of capital transactions. | |
(4) | Annualized. |
19
20
21
22
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). |
23
Investments by Investment Strategy | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment Funds |
||||||||||||||||
Credit Based |
$ | | $ | 3,431,525 | $ | 2,372,399 | $ | 5,803,924 | ||||||||
Event-Driven |
| 969,248 | 3,630,735 | 4,599,983 | ||||||||||||
Global Macro |
| 2,360,525 | 872,521 | 3,233,046 | ||||||||||||
Hedged Equity |
| 3,624,608 | 149,901 | 3,774,509 | ||||||||||||
Managed Futures |
| 957,380 | | 957,380 | ||||||||||||
Multi-Strategy |
| 1,164,126 | 2,115,323 | 3,279,449 | ||||||||||||
Volatility |
| 840,165 | | 840,165 | ||||||||||||
Affiliated Registered Investment Company |
1,707,560 | | | 1,707,560 | ||||||||||||
Total Investments by Investment Strategy |
$ | 1,707,560 | $ | 13,347,577 | $ | 9,140,879 | $ | 24,196,016 | ||||||||
Change in | ||||||||||||||||||||||||
unrealized | ||||||||||||||||||||||||
Balance as of | Realized gain / | appreciation / | Net purchases / | Net Level 3 | Balance as of | |||||||||||||||||||
Description | March 31, 2010 | (loss) | depreciation | (sales) | transfers in/(out) | March 31, 2011 | ||||||||||||||||||
Credit Based |
$ | 3,529,886 | $ | 485,326 | $ | (176,075 | ) | $ | (1,466,738 | ) | $ | | $ | 2,372,399 | ||||||||||
Event-Driven |
5,638,036 | (350,788 | ) | 707,988 | (2,364,501 | ) | | 3,630,735 | ||||||||||||||||
Global Macro |
| | (7,479 | ) | 880,000 | | 872,521 | |||||||||||||||||
Hedged Equity |
207,302 | (1,789 | ) | 40,107 | (95,719 | ) | | 149,901 | ||||||||||||||||
Multi-Strategy |
2,056,307 | (6,668 | ) | 153,939 | (88,255 | ) | | 2,115,323 | ||||||||||||||||
Opportunistic Equity |
748,107 | 108,855 | (101,638 | ) | (755,324 | ) | | | ||||||||||||||||
Total |
$ | 12,179,638 | $ | 234,936 | $ | 616,842 | $ | (3,890,537 | ) | $ | | $ | 9,140,879 | |||||||||||
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 |
$ | 272,361 | $ | 742,013 | $ | (7,479 | ) | $ | 40,107 | $ | 153,939 |
24
25
26
27
28
Estimated | ||||||||||
Investment Funds | Redemption | Remaining | ||||||||
by Investment Strategy | Fair Value | Redemption Period | Notice Period | Holding Period (2) | ||||||
Credit Based (A) |
||||||||||
Restricted (1) |
$ | 2,372,399 | Annually - 3 years | 90 days | 7 - 12 months | |||||
Unrestricted |
3,431,525 | Quarterly | 45 - 60 days | None | ||||||
Event-Driven (B) |
||||||||||
Restricted (1) |
3,630,735 | N/A | N/A | 8 months | ||||||
Unrestricted |
969,248 | Quarterly | 90 days | None | ||||||
Global Macro (C) |
||||||||||
Restricted (1) |
872,521 | Quarterly | 30 days | 6 months | ||||||
Unrestricted |
2,360,525 | Monthly | 60 - 90 days | None | ||||||
Hedged Equity (D) |
||||||||||
Restricted (1) |
149,901 | N/A | N/A | Unknown | ||||||
Unrestricted |
3,624,608 | Monthly - Quarterly | 45 days | None | ||||||
Managed Futures (E) |
||||||||||
Unrestricted |
957,380 | Monthly | 60 days | None | ||||||
Multi-Strategy (F) |
||||||||||
Restricted (1) |
2,115,323 | Quarterly | 91 days | 10 months | ||||||
Unrestricted |
1,164,126 | Quarterly | 90 days | None | ||||||
Volatility (G) |
||||||||||
Unrestricted |
840,165 | Quarterly | 60 days | None |
(1) | As of March 31, 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. |
29
(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. |
30
On February 24, 2009, the Fund and the TEDI Fund offered to purchase in cash an amount of Interests or portions of Interest up to $2.5 million and $100,000, respectively, of Members capital tendered by Members of the Fund and TEDI Fund at a price equal to the net asset values on June 30, 2009. Tenders with values of $2,500,000 and $100,000 were received and accepted by the Fund and the TEDI Fund, respectively, from limited Members. Non-interest bearing promissory notes were issued by the Fund and the TEDI Fund entitling the Members to a payment on or about 30 days after June 30, 2009. Members of the Fund and TEDI Fund received initial payments of $2,250,000 and $90,000, respectively, on August 3, 2009 and the remaining amounts of $250,000 and $10,000, respectively, were paid on June 16, 2010. | ||
On August 28, 2009, the Master Fund offered to purchase in cash an amount of Interests or portions of Interest up to $10.1 million of Members capital of the Master Fund tendered by Members of the Master Fund at a price equal to the net asset value on December 31, 2009. Pursuant to the terms and conditions set forth in the offer, tenders with a value of $16,958,198 were received and accepted by the Master Fund from Members. Members received a payment on February 1, 2010. | ||
On August 28, 2009, the Fund and the TEDI Fund offered to purchase in cash an amount of Interests or portions of Interest up to $10 million and $100,000, respectively, of Members capital tendered by Members of the Fund and TEDI Fund at a price equal to the net asset values on December 31, 2009. However, pursuant to the terms and conditions of the Offer, the Fund then elected to accept tenders with a value in the amount of $16,858,198 from limited Members. Tenders with values of $100,000 were received and accepted by the TEDI Fund from Members. Non-interest bearing promissory notes were issued by the Fund and the TEDI Fund entitling the Members to a payment on or about 30 days after December 31, 2009. Members of the Fund and TEDI Fund received initial payments of $15,172,378 and $90,000, respectively, on February 1, 2010 and the remaining amounts of $1,685,820 and $10,000, respectively, were paid on June 16, 2010. | ||
On February 26, 2010, the Master Fund offered to purchase in cash an amount of Interests or portions of Interest up to $2.5 million of the Members capital of the Master Fund tendered by Members of the Master Fund at a price equal to the net asset value on June 30, 2010. Tenders with a value of $2,487,621 were received and accepted by the Master Fund from Members. Members received a payment on August 2, 2010. | ||
On February 26, 2010, the Fund and TEDI Fund offered to purchase in cash an amount of Interests or portions of Interest up to $1.0 million and $1.5 million, respectively, of Members capital tendered by Members of the Fund and TEDI Fund at prices equal to the net asset values at June 30, 2010. Tenders with values in the amount of $985,130 and $1,502,491 were received and accepted by the Fund and TEDI Fund, respectively, from limited Members. Non-interest bearing promissory notes were issued by the Fund and TEDI Fund entitling the Members to a payment on or about 30 days after June 30, 2010. Members of the Fund and TEDI Fund received initial payments of $886,617 and $1,352,241, respectively, on August 3, 2010 and the remaining amounts will be paid promptly after completion of the Funds and TEDI Funds March 31, 2011 year-end audits. | ||
On September 10, 2010, the Master Fund offered to purchase in cash an amount of Interests or portions of Interest up to $1.1 million of the Members capital of the Master Fund tendered by Members of the Master Fund at a price equal to the net asset value on December 31, 2010. Tenders with a value of $1,005,207 were received and accepted by the Master Fund from Members. Members received a payment on January 28, 2011. |
31
On September 10, 2010, the Fund and TEDI Fund offered to purchase in cash an amount of Interests or portions of Interest up to $1.0 million and $100,000, respectively, of Members capital tendered by Members of the Fund and TEDI Fund at prices equal to the net asset values at December 31, 2010. Tenders in the amount of $1,005,207 were received and accepted by the Fund from limited Members. No tenders were received or accepted by the TEDI Fund from limited Members. Non-interest bearing promissory notes were issued by the Fund entitling the Members to an initial payment in an amount equal to at least 90% of the tender, on or about 30 days after December 31, 2010. Members of the Fund received initial payments of $904,686 on January 31, 2011 and the remaining amount will be paid promptly after completion of the Funds March 31, 2011 year-end audit. | ||
On February 28, 2011, the Master Fund offered to purchase in cash an amount of Interests or portions of Interest up to $1.1 million of the Members capital of the Master Fund tendered by Members of the Master Fund at a price equal to the net asset value on June 30, 2011. Tenders with an estimated value in the amount of $1,035,829 were received and accepted by the Master Fund from Members based on the value of redeemed Interests as of March 31, 2011. Members are entitled to receive an estimated payment of $1,035,829 on or about 30 days after June 30, 2011. | ||
On February 28, 2011, the Fund and TEDI Fund offered to purchase in cash an amount of Interests or portions of Interest up to $1.0 million and $100,000, respectively, of Members capital tendered by Members of the Fund and TEDI Fund at prices equal to the net asset values at June 30, 2011. Tenders with an estimated value in the amount of $1,035,829 received and accepted by the Fund from limited Members based on the value of redeemed Interests as of March 31, 2011. No tenders were received or accepted by the TEDI Fund from limited Members. Non-interest bearing promissory notes were issued by the Fund entitling the Members to an initial payment in an amount equal to at least 90% of the tender, on or about 30 days after June 30, 2011, and the remaining amount will be paid promptly after completion of the Funds March 31, 2012 year-end audit. |
11. | Line of Credit |
The Master Fund has a line of credit with Boston Private Bank & Trust Company. The Master Fund pays an annual facility fee to Boston Private Bank & Trust Company and interest equal to one quarter of one percent of the amount of the facility outstanding. For the year ended March 31, 2011, the Master Fund had no borrowings outstanding. |
12. | Subsequent Events |
The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of March 31, 2011. |
32
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS | ||
At a meeting held on November 11, 2010, the Directors of the Fund, Master Fund, and TEDI Fund, including a majority of the Directors who are not interested persons (as such term is defined in Section 2(a)(19) of the 1940 Act (the Independent Directors)), met in person and voted to approve the renewal of each Investment Management Agreement (the Investment Management Agreements) between the Fund, Master Fund, TEDI Fund and PNC Capital Advisors, LLC (PNC Capital or the Manager). | ||
The Directors discussed with independent counsel to the Directors a memorandum prepared by independent counsel to the Directors concerning the Directors fiduciary duties under state and federal law when reviewing investment management and investment advisory agreements. The Directors, along with independent counsel to the Directors, reviewed information provided by the Manager concerning its activities as investment manager for the Fund, Master Fund, and TEDI Fund and information in connection with the Directors consideration of the renewal of the Investment Management Agreements. | ||
In reaching their decision to renew the Investment Management Agreements, the Directors considered whether the agreements continue to be in the best interests of the Fund, Master Fund, TEDI Fund and their members, an evaluation based primarily on the nature and quality of the services provided by the Manager and the overall fairness of the agreements to the Fund, Master Fund and TEDI Fund. In the course of their review, the Directors with the assistance of independent counsel to the Directors, considered their legal responsibilities, and reviewed materials received from the Manager. | ||
In their deliberations, the Directors did not identify any particular information that was all-important or controlling, and each Director may have attributed different weights to the various factors. The Directors confirmed that there were no pending litigation or regulatory actions against the Manager that would adversely affect or prohibit the Managers services to the Fund, Master Fund and TEDI Fund. | ||
Based on this review, the Directors concluded that the Manager had the capabilities, resources and personnel necessary to act as the investment manager. With respect to the advisory fees, the Directors noted that such fees remained the same and concluded that the asset-based management fee and performance-based incentive fee were fair and reasonable. | ||
Based on their evaluation of all material factors, including those described above, the Directors concluded that the terms of the agreements remained reasonable and fair and that the renewal of the Investment Management Agreements was in the best interests of the Fund, Master Fund and TEDI Fund and their members. The Board approved the renewal of the Investment Management Agreements. |
33
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT FOR PNC ABSOLUTE RETURN MASTER FUND LLC | ||
The Investment Management Agreement authorizes the Manager to employ an adviser to assist the Manager in the performance of its investment management responsibilities, including any or all of the investment advisory services, provided that any fees or compensation payable to such adviser are paid by the Manager. The Board of Directors of the Master Fund, including a majority of the Independent Directors, met in person at a meeting on November 11, 2010 and approved the renewal of the Investment Advisory Agreement between the Master Fund, the Manager and Ramius Alternative Solutions LLC (Ramius or the Adviser) for another one-year period commencing January 22, 2011. | ||
In reaching their decision to approve the Investment Advisory Agreement, the Directors of the Master Fund, Fund and TEDI Fund, including all of the Independent Directors, at their regular meeting held on November 11, 2010, met with management of Ramius and PNC Capital to discuss the desirability of Ramius serving as the Adviser to the Master Fund. The Directors reviewed, with independent counsel to the Directors, information provided by Ramius concerning its activities as investment adviser for the Master Fund and information in connection with the Directors consideration of the renewal of the Investment Advisory Agreement for Master Fund. In reaching its decision to renew the Investment Advisory Agreement for the Master Fund, the Directors considered whether the agreement continues to be in the best interests of Master Fund and its members, an evaluation based primarily on the nature and quality of the services provided by Ramius and the overall fairness of the agreement to the Master Fund. In the course of their review, the Directors, with the assistance of independent counsel to the Directors, considered their legal responsibilities, and reviewed materials received from Ramius. In their deliberations, the Directors did not identify any particular information that was all-important or controlling, and each Director may have attributed different weights to the various factors. The Directors confirmed that there were no pending litigation or regulatory actions against Ramius that would adversely affect or prohibit its services to the Master Fund. | ||
Based on this review, the Directors concluded that Ramius had the capabilities, resources and personnel necessary to act as the investment adviser. With respect to the advisory fees, the Directors noted that such fees remained the same and concluded that the asset-based management fee and performance-based incentive fee were fair and reasonable. | ||
Based on their evaluation of all material factors, including those described above, the Directors concluded that the terms of the Investment Advisory Agreement remained reasonable and fair and that the renewal of the Investment Advisory Agreement was in the best interests of the Master Fund, Fund and TEDI Fund and their members. The Board approved the renewal of the Investment Advisory Agreement. |
34
Number of | ||||||||
Portfolios in | ||||||||
Position Held | Fund | |||||||
with Funds and | Complex | Other Directorships | ||||||
Name, Age and | Length of Time | Principal Occupation(s) | Overseen by | Held by Director | ||||
Date of Birth | Served | During Past 5 Years | Director | During Past 5 Years(1) | ||||
John R.
Murphy(2)76
Date of Birth: 1/7/34
|
Director Since inception; Co- Chairman of the Board Since February 8, 2010; Chairman of the Board from inception to February 8, 2010 | Vice Chairman, National Geographic Society, March 1998 to present; Managing Partner, Rock Solid Holdings, 2009 to present. | 11 registered investment companies consisting of 36 portfolios | Director, Omnicom Group, Inc. (media and marketing services); Director, Sirsi Dynix (technology). | ||||
Robert D.
Neary(2)
77 Date of Birth:
9/30/33
|
Director and Co-Chairman of the Board Since February 8, 2010 | Retired; Co-Chairman of Ernst & Young LLP (an accounting firm), 1984-1993. | 11 registered investment companies consisting of 36 portfolios | Director, Strategic Distribution, Inc. (sales and management of maintenance supplies) until March 2007; Director, Commercial Metals Company. | ||||
Dorothy A. Berry 67
Date of Birth: 9/12/43
|
Director Since February 8, 2010 | President, Talon Industries, Inc. (administrative, management and business consulting), since 1986; Chairman, Independent Directors Council since 2010. | 11 registered investment companies consisting of 36 portfolios | Chairman and Director, Professionally Managed Portfolios. | ||||
Kelley J.
Brennan(3)
68 Date of Birth: 7/7/42
|
Director Since February 8, 2010 | Retired; Partner, PricewaterhouseCoop ers LLP (an accounting firm), 1981 2002. | 11 registered investment companies consisting of 36 portfolios | None. |
35
Number of | ||||||||
Portfolios in | ||||||||
Position Held | Fund | |||||||
with Funds and | Complex | Other Directorships | ||||||
Name, Age and | Length of Time | Principal Occupation(s) | Overseen by | Held by Director | ||||
Date of Birth | Served | During Past 5 Years | Director | During Past 5 Years(1) | ||||
John G.
Drosdick(2)
67 Date of Birth:
8/9/43
|
Director Since November 1, 2010 |
Retired; Chairman, Chief Executive Officer and President, Sunoco, Inc. (manufacturer and marketer of petroleum and petrochemical products), 2000 2008. | 11 registered investment companies consisting of 36 portfolios | Director, United States Steel Corporation (steel producer); Director, H.J. Heinz Company (U.S.-based food company); Director, Lincoln Financial Corporation (financial services) until 2005. | ||||
Richard W. Furst 72
Date of Birth: 9/13/38
|
Director Since February 8, 2010 |
Consultant and Private Investor, Dean Emeritus and Garvice D. Kincaid Professor of Finance (Emeritus), Gatton College of Business and Economics, University of Kentucky, since 2003. | 11 registered investment companies consisting of 36 portfolios | Director, Central Bank & Trust Co.; Director, Central Bancshares. | ||||
Dale C. LaPorte 68 Date of Birth: 1/04/42 |
Director Since February 8, 2010 |
Retired; Senior Vice President and General Counsel, Invacare Corporation (manufacturer of healthcare products), December 2005-2008; Partner, 1974 2005 and Chairman of Executive Committee, 2000 2004, of Calfee, Halter & Griswold LLP (law firm). | 11 registered investment companies consisting of 36 portfolios | Director, Invacare Corporation. |
36
Number of | ||||||||
Portfolios in | ||||||||
Position Held | Fund | |||||||
with Funds and | Complex | Other Directorships | ||||||
Name, Age and | Length of Time | Principal Occupation(s) | Overseen by | Held by Director | ||||
Date of Birth | Served | During Past 5 Years | Director | During Past 5 Years(1) | ||||
L. White
Matthews,
III65 Date of Birth: 10/5/45 |
Director Since 2003 | Director and Chairman of the Board of Constar International Inc. (plastic packaging manufacturer), 2009 to present; Chairman and Director, Ceridian Corporation (payroll and human resources services), 2003 to 2007. | 11 registered investment companies consisting of 36 portfolios | Director, Matrixx Initiatives, Inc. (pharmaceuticals); Imation Corp. (data storage products). | ||||
Edward D.
Miller, Jr. 67
Date of Birth:
2/1/43
|
Director Since inception | Dean and Chief Executive Officer, Johns Hopkins Medicine, January 1997 to present. | 11 registered investment companies consisting of 36 portfolios | Director, Care Fusion (health care devices). |
(1) | Includes directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended (i.e. public companies), or other investment companies registered under the 1940 Act. The Funds are part of a Fund Complex that is comprised of 10 other registered investment companies which are included in this column for each Director. The total number of portfolios in the Fund Complex overseen by each of the Directors is 36. | |
(2) | Mr. Drosdick will replace Mr. Neary and Mr. Murphy as Chairman of the Board of Directors effective June 3, 2011, upon their retirement. | |
(3) | Effective May 3, 2011, Mr. Brennan resigned as a Director of the Board. |
37
Officers of the Funds | ||
Officers are elected by the Directors and hold office until they resign, are removed or are otherwise disqualified to serve. The following table sets forth certain information about the Funds officers who are not Directors. |
Position with the Funds | ||||
and the Master Fund and | ||||
Name, Address, | Length | Principal Occupation(s) | ||
Date of Birth and Age | of Time Served(1) | During Past 5 Years | ||
Kevin A. McCreadie
Two Hopkins Plaza, 4th
Floor
Baltimore, MD 21201
Date of Birth: 8/14/60 Age: 50 |
President Since 2004 |
President and Chief Executive Officer, PNC Capital Advisors, LLC (formerly PNC Capital Advisors, Inc.), since March 2004; Chief Investment Officer of PNC Capital Advisors, LLC since 2002; Chief Investment Officer of PNC Asset Management Group since 2007; Executive Vice President of PNC Bank, N.A. since 2007. | ||
Jennifer E. Spratley
Two Hopkins Plaza, 4th
Floor
Baltimore, MD 21201
Date of Birth: 2/13/69 Age: 41 |
Vice President Since April 2008 |
Managing Director and Head of Fund Administration, PNC Capital Advisors, LLC (formerly PNC Capital Advisors, Inc.) since 2007; Treasurer, PNC Capital Advisors, Inc., September 2007 September 2009; Unit Leader, Fund Accounting and Administration, SEI Investments Global Funds Services 2005 to 2007; Fund Accounting Director, SEI Investments Global Funds Services 1999 to 2007. | ||
Jeffrey P. Pruitt
1900 East 9th Street, 14th
Floor
Cleveland, OH 44114
Date of Birth: 8/30/71 Age: 39 |
Chief Compliance Officer Since November 2010 |
Head of Compliance Programs, PNC Capital Advisors, LLC since October 2010; Chief Compliance Officer, Thrivent Financial for Lutherans (Thrivent), February 2010-May 2010; Director of Investment Company Compliance, Thrivent, 2004-February 2010. | ||
John F. Kernan
1900 East 9th Street, 14th
Floor
Cleveland, OH 44114
Date of Birth: 9/17/65 Age: 45 |
Treasurer Since June 2010 |
Senior Vice President and Director of Financial Fund Administration, PNC Capital Advisors, LLC (formerly Allegiant Asset Management Company), since July 2004; Senior Vice President, National City Bank, June 2004 September 2009. | ||
Savonne L. Ferguson
Two Hopkins Plaza, 4th
Floor
Baltimore, MD 21201
Date of Birth: 10/31/73 Age: 37 |
Secretary since November 2010 (formerly Assistant Secretary from 2004 to November 2010) |
Vice President and Director of Regulatory Fund Administration, PNC Capital Advisors, LLC (formerly, PNC Capital Advisors, Inc.) since 2010; Vice President, PNC Capital Advisors, Inc. 2007-2009; Assistant Vice President, PNC Capital Advisors, Inc. 2002-2007. | ||
Randi Gage
301 Bellevue Parkway
Wilmington, DE 19809
Date of Birth: 4/27/59 Age: 52 |
Assistant Secretary since February 2011 |
Vice President and Director, Regulatory Administration, BNY Mellon Investment Servicing (US) Inc. since March, 2011; Vice President and Senior Manager, BNY Mellon Investment Servicing (US) Inc. 2009-2011; Assistant Vice President and Manager, BNY Mellon Investment Servicing (US) Inc. 2007-2009; Managing Senior Paralegal, ING USA Annuity and Life Insurance Company 2003 2007. |
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(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. | ||
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. | ||
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this items instructions. | ||
(f) | A copy of the code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party is filed herewith. The registrant undertakes to provide to any person without charge, upon request, a copy of such code of ethics. The request may be made by contacting the registrant at 800-239-0418 or via email to pncalts@pnc.com. |
2011 | 2010 | |||||||||||||||||||||||
All fees | ||||||||||||||||||||||||
and | All other | All other | ||||||||||||||||||||||
services | All fees and | fees and | All fees and | All fees and | fees and | |||||||||||||||||||
billed to | services to | services to | services | services to | services to | |||||||||||||||||||
the | service | service | billed to the | service | service | |||||||||||||||||||
Registrant | affiliates | affiliates | Registrant | affiliates | affiliates | |||||||||||||||||||
that were | that were | that did not | that were | that were | that did not | |||||||||||||||||||
pre- | pre- | require pre- | pre- | pre- | require pre- | |||||||||||||||||||
approved | approved | approval | approved | approved | approval | |||||||||||||||||||
(a) Audit Fees(1) |
$ | 27,056 | N/A | N/A | $ | 25,843 | N/A | N/A | ||||||||||||||||
(b) Audit-Related Fees |
N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
(c) Tax Fees |
$ | 12,778 | N/A | N/A | $ | 17,667 | N/A | N/A | ||||||||||||||||
(d) All Other Fees |
N/A | N/A | N/A | N/A | N/A | N/A |
(1) | Audit fees include amounts related to the audit of the registrants annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. | ||
(e)(1) | The registrants Audit Committee must pre-approve all audit and non-audit services provided by the independent accountant relating to the operations or financial reporting of the registrant its investment manager (other than its sub-adviser) or any entity controlling, controlled by, or under common control with the investment manager (adviser affiliate). Prior to the commencement of any audit or non-audit services to the registrant, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law. | ||
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | N/A | ||
(c) | 100% | ||
(d) | N/A |
(f) | The percentage of hours expended on the principal accountants engagement to audit the registrants financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountants full-time, permanent employees was less than fifty percent. | ||
(g) | The aggregate non-audit fees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $12,778 for the 2011 fiscal year and $17,667 for 2010 fiscal year.. | ||
(h) | Not applicable. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. | |
(b) | Not applicable. |
Number of Accounts |
||||||||||||||||
Managed with | Total Assets | |||||||||||||||
Performance- | Managed with | |||||||||||||||
Number of | Based | Performance- | ||||||||||||||
Accounts | Advisory | Based | ||||||||||||||
Managed | Fees | Total Assets | Advisory Fees | |||||||||||||
Tom Strauss, Stuart Davies,
Vikas Kapoor, Brian Briskin,
Bill Marr, and Hiren Patel* |
||||||||||||||||
Registered investment companies |
2 | 1 | $ | 38,676,634 | $ | 27,642,051 | ||||||||||
Other pooled investment vehicles |
25 | 16 | $ | 718,727,391 | $ | 440,990,968 | ||||||||||
Other accounts |
19 | 8 | $ | 2,439,251,901 | $ | 652,457,238 |
* | All portfolio managers work together as a management team, and no individual portfolio manager is solely responsible for an account. |
(a) | The certifying officers, whose certifications are included herewith, have evaluated the registrants disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrants disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared. Further, in their opinion, the registrants 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 Commissions rules and forms. | ||
(b) | At the date of filing this Form N-CSR, there were no significant changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. |
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. | ||
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | ||
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. | ||
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(registrant)
|
PNC Absolute Return TEDI Fund LLC
|
|||
By (Signature and Title)*
|
/s/ Kevin A. McCreadie | |||
Kevin A. McCreadie, President | ||||
(principal executive officer) | ||||
Date
|
May 27, 2011 |
By (Signature and Title)*
|
/s/ Kevin A. McCreadie
|
|||
(principal executive officer) | ||||
Date
|
May 27, 2011 | |||
By (Signature and Title)*
|
/s/ John Kernan | |||
John Kernan, Treasurer | ||||
(principal financial officer) | ||||
Date
|
May 27, 2011 |
* | Print the name and title of each signing officer under his or her signature. |
1. | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; | ||
2. | Full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (SEC) and in other public communications made by each Company; | ||
3. | Compliance with applicable laws and governmental rules and regulations; | ||
4. | The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and | ||
5. | Accountability for adherence to the Code. |
B. | Each Covered Officer must: |
1. | Not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Companies whereby the Covered Officer would benefit personally to the detriment of the Companies; | ||
2. | Not cause the Companies to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Companies; |
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3. | Report at least annually outside business affiliations or other relationships (e.g., officer, director, governor, trustee, and part-time employment) other than his or her relationship to the Companies, the investment adviser and the administrator. |
C. | There are some conflict of interest situations that may be discussed with general counsel of PNC Capital Advisors, LLC (General Counsel) if material, including but not limited to be service as a director on the board of any public or private company. | ||
D. | To avoid conflict of interest situations with respect to Covered Officers duties to the Companies, Covered Officers may not: |
1. | Receive, as an officer of the Companies, of any gift in excess of $100; | ||
2. | Receive of any entertainment from any company with which the Companies have current or prospective business dealings, unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; | ||
3. | Have any ownership interest in, or any consulting or employment relationship with, any of the Companies service providers, other than its investment adviser, principal underwriter, administrator or any affiliated person thereof; or | ||
4. | Have a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Companies for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officers employment, such as compensation or equity ownership. |
A. | Each Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Companies: | ||
B. | Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Companies to others, whether within or outside the Companies, including to the Companies directors and auditors, and to governmental regulators and self-regulatory organizations: | ||
C. | Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Companies, the adviser and the administrator with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Companies files with, or submits to, the SEC and in other public communications made by the Companies: | ||
D. | It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |
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A. | Each Covered Officer must: |
1. | Upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he or she has received, read, and understands the Code; | ||
2. | Annually thereafter affirm to the Board that he or she has complied with the requirements of the Code; | ||
3. | Not retaliate against any other Covered Officer or any employee of the Companies or their affiliated persons for reports of potential violations that are made in good faith; and | ||
4. | Notify General Counsel promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code. |
B. | General Counsel is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers sought by the Principal Executive Officer will be considered by the Audit Committee of the Board (the Committee). | ||
C. | The Companies will follow these procedures in investigating and enforcing this Code: |
1. | General Counsel will take all appropriate action to investigate any potential violations reported to him or her; | ||
2. | If, after such investigation, General Counsel believes that no violation has occurred, General Counsel is not required to take any further action; | ||
3. | Any matter that the General Counsel believes is a violation shall be reported to the Audit Committee; | ||
4. | If the Audit Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser, the administrator or its board; or a recommendation to dismiss the Covered Officer; | ||
5. | The Board will be responsible for granting waivers, as appropriate; and | ||
6. | Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. |
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Signature: | ||||||
Print Name: | ||||||
Date: | ||||||
7
Name and Address of Entity |
Title and Position |
Nature of the Business | Is the Entity Public or Private? |
Do you receive compensation or have a financial interest in the organization? If so, please describe. |
||||
Signature: | ||||||
Print Name: | ||||||
Date: | ||||||
8
1. | I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
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 second fiscal quarter of the period covered by this report 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: May 27, 2011 | /s/ Kevin A. McCreadie | |||
Kevin A. McCreadie, President | ||||
(principal executive officer) |
1. | I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
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 second fiscal quarter of the period covered by this report 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: May 27, 2011 | /s/ John Kernan | |||
John Kernan, Treasurer | ||||
(principal financial officer) |
SUMMARY TERM SHEET |
1 | |||
1. BACKGROUND AND PURPOSE OF THE OFFER |
2 | |||
2. OFFER TO PURCHASE AND PRICE |
3 | |||
3. AMOUNT OF TENDER |
4 | |||
4. PROCEDURE FOR TENDERS |
4 | |||
5. WITHDRAWAL RIGHTS |
5 | |||
6. PURCHASES AND PAYMENTS |
5 | |||
7. CERTAIN CONDITIONS OF THE OFFER |
6 | |||
8. CERTAIN INFORMATION ABOUT THE FUND |
7 | |||
9. CERTAIN FEDERAL INCOME TAX CONSEQUENCES |
7 | |||
10. MISCELLANEOUS |
8 |
| As stated in the LLC Agreement and Prospectus, the Fund will purchase your Interests in the Fund at their net asset value (that is, the value of the Funds assets minus its liabilities, multiplied by the proportionate Interest in the Fund you desire to redeem). The Offer will remain open until 5:00 p.m., Eastern Time, on October 8, 2010 unless the Offer is extended (the Expiration Date). The net asset value will be calculated for this purpose on December 31, 2010 (the Valuation Date). The Fund reserves the right to adjust the Valuation Date to correspond with any extension of the Offer. | |
| The Fund reserves the right to cancel, extend, amend or postpone the Offer at any time before 5:00 p.m., Eastern Time, on October 8, 2010 subject to conditions discussed in Section 7. Also note that although the Offer expires on October 8, 2010, you will remain a Member of the Fund with respect to the Interests you tendered that are accepted for purchase by the Fund through December 31, 2010, when the net asset value of your Interests is calculated. | |
| You may tender all of your Interests, a portion of your Interests defined as a specified dollar amount, or a portion of your Interests above the minimum required capital account balance of at least $50,000. If you tender only a portion of your Interests, you must maintain a capital account balance of at least $50,000 after giving effect to the amount repurchased by the Fund. The Fund reserves the right to reduce the amount you tender or to purchase your entire Interest in the Fund if the purchase would cause your capital account to have less than the required minimum balance. | |
| If the Fund accepts your tender then the Fund will give you a non-interest bearing and non-transferable promissory note (the Promissory Note) promptly after the Expiration Date, that entitles you to be paid an amount equal to the value, determined as of the Valuation Date, of the repurchased Interests. | |
| The Promissory Note will entitle you to an initial payment that will be in an amount equal to at least 90% of the unaudited net asset value of the purchased Interest, determined as of the Valuation Date (the Initial Payment). The Initial Payment will be made as of the later of (1) 30 days after the Valuation Date, or (2) if PNC Absolute Return Master Fund LLC (the Master Fund), the investment company in which the Fund invests, has requested withdrawal of its capital from any investment funds in order to fund the purchase of Interests, within 10 business days after the Master Fund has received at least 90% of the aggregate amount withdrawn by the Master Fund from the investment funds. | |
| The Promissory Note will also entitle you to a second and final payment equal to (a) the net asset value of the purchased Interest determined as of the Valuation Date as it may be adjusted based upon the results of the annual audit of the Funds financial statements for the fiscal year ending March 31, 2011, minus (b) the Initial Payment (the Post Audit Payment). The Post Audit Payment, if any, will be made promptly after the completion of the Funds annual audit for its fiscal year ending March 31, 2011 (which it expects will be completed 60 days after the fiscal year end). | |
| If the Fund accepts the tender of all or a portion of your Interest, payments will generally be made in cash equal to the value of the Interests repurchased, however, the Fund may under certain limited |
1
circumstances pay all or a portion of the amounts due by an in-kind distribution of securities on a pro rata basis based on the aggregate net asset value of tendered Interests. | ||
| Following this summary is a formal notice of the Funds offer to purchase your Interests. If you desire to tender all or any portion of your Interest for purchase, you must do so by 5:00 p.m., Eastern Time, on October 8, 2010, the expected expiration date of the Offer. Until that time, you have the right to change your mind and withdraw any tender of your Interests. | |
| If you would like the Fund to purchase your Interests, you should (i) mail the Letter of Transmittal (enclosed with the Offer) to the Fund, c/o PNC Alternative Investment Funds, PO Box 9866, Providence RI 02940-8066; or (ii) fax it to the Fund at (508) 599-6128. In either case, the Letter of Transmittal must be received before 5:00 p.m., Eastern Time, on October 8, 2010. If you fax the Letter of Transmittal, you must also mail the original Letter of Transmittal to the Fund promptly after you fax it (although the original does not have to be received before 5:00 P.M., Eastern Time, on October 8, 2010). Of course, the value of your Interests likely will change between July 31, 2010 (the last time net asset value was calculated) and December 31, 2010, when the value of your investment will be determined for purposes of calculating the purchase price for Interests. | |
| If you would like to obtain the most current estimated net asset value of your Interests, which the Fund calculates monthly based upon the information it receives from the manager of the investment company in which the Fund invests, you may call (800) 239-0418 Monday through Friday, except holidays, during normal business hours of 8:30 a.m. to 5:00 p.m., Eastern Time, or write to the address listed above. |
2
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5
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1. | The Form N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: May 27, 2011 | /s/ Kevin A. McCreadie | |||
Kevin A. McCreadie, President | ||||
(principal executive officer) | ||||
1. | The Form N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: May 27, 2011 | /s/ John Kernan | |||
John Kernan, Treasurer | ||||
(principal financial officer) | ||||
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