N-Q 1 master-nq.htm master-nq.htm

 
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                811-22221                
  
                Wells Fargo Multi-Strategy 100 Master Fund I, LLC               
(Exact name of registrant as specified in charter)
  
c/o Wells Fargo Alternative Asset Management, LLC
333 Market Street, 29th Floor, MAC A0119-291
                                       San Francisco, CA 94105                                       
(Address of principal executive offices) (Zip code)
  
Eileen Alden
Wells Fargo Alternative Asset Management, LLC
333 Market Street, 29th Floor
MAC A0119-291
                                      San Francisco, CA 94105                                     
(Name and address of agent for service)
  
Registrant's telephone number, including area code:(415) 371-4000
  
Date of fiscal year end: January 31
  
Date of reporting period: October 31, 2009
  
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
  
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
 

 

Item 1. Schedule of Investments.
The Schedule of Investments is attached herewith.
  
Wells Fargo Multi-Strategy 100 Master Fund I, LLC
       
             
Schedule of Investments
           
As of October 31, 2009 (Unaudited)
       
(in U.S. dollars)
                   
Strategy
Trusts
   
Cost
 
Fair Value
                          
Convertible Arbitrage - 11.9%
HFR CA Global Opportunity Fund
 
 $        4,869,156
 
 $        6,314,581
 
HFR CA Lazard Rathmore Fund
 
           5,002,623
 
6,921,053
          13,235,634
Distressed Securities - 7.1%
HFR DS Feingold O'keeffe Fund
 
           2,416,300
 
2,419,677
 
HFR DS Opportunity Fund
 
             966,880
 
578,509
 
HFR DS Restoration Fund
 
           1,191,662
 
1,102,787
 
HFR EM Outrider Fund
 
           3,273,900
 
3,578,190
 
HFR EM Select Fund
 
             731,125
 
201,137
           
7,880,300
Equity Hedge - 25.8%
HFR HE Acero Fund
 
           2,930,730
 
2,762,051
 
HFR HE Ajia Lighthorse China Growth Fund
 
           2,607,114
 
3,338,887
 
HFR HE Asia Performance Fund
 
           2,294,888
 
2,483,723
 
HFR HE Europe Performance Fund
 
           2,224,167
 
2,218,421
 
HFR HE PilotRock Fund
 
           3,343,451
 
2,509,804
 
HFR HE Soundpost Fund
 
           4,694,669
 
5,300,848
 
HFR HE Systematic Fund
 
           4,804,178
 
4,594,205
 
HFR HE Timescape Fund
 
           6,419,720
 
5,707,362
           
28,915,301
Event Driven - 7.2%
HFR ED Global Fund
 
           2,183,100
 
2,320,194
 
HFR ED Select IV Fund
 
           5,417,903
 
5,701,374
           
8,021,568
Macro - 15.6%
HFR Macro Augustus Discretionary Currency Fund
 
           4,294,800
 
4,373,878
 
HFR Macro Discovery Fund
 
           6,082,464
 
3,393,111
 
HFR Macro Seagate Fund
 
           4,341,646
 
4,399,947
 
HFR Macro Woodbine Fund
 
           2,204,500
 
2,160,120
 
HFR MF Beach Fund
 
           2,814,533
 
3,129,207
           
17,456,263
Merger Arbitrage - 7.1%
HFR MA Select Opportunity Fund
 
           2,368,000
 
2,391,202
 
HFR MA Shorewater Fund
 
           2,317,691
 
2,484,445
 
HFR MA Strategic Fund
 
           2,809,033
 
2,992,468
           
7,868,115
Relative Value - 25.3%
HFR RVA ARX Fund
 
           5,743,902
 
5,850,088
 
HFR RVA Combined Fund
 
           6,935,581
 
7,183,588
 
HFR RVA Constellation  Fund
 
           2,167,600
 
2,871,255
 
HFR RVA Harvest 1.25x Fund
 
           2,204,500
 
2,202,692
 
HFR RVA Opal  Fund
 
           4,351,800
 
4,785,473
 
HFR RVA Titan Fund
 
           5,148,539
 
5,351,739
           
28,244,835
Total Investments** (Cost - $109,156,328*)  - 100.0%
     
111,622,016
Other Liabilities in Excess of Other Assets - (0.0)%
     
(51,200)
Net Assets - 100.0%
         
 $    111,570,816
             
Percentages shown are stated as a percentage of net assets as of October 31, 2009.
       
             
* The cost and unrealized appreciation (depreciation) of investments as of October 31, 2009, as computed for federal income tax purposes, were as follows:
             
Aggregate cost..............................
 $           105,499,165
         
Gross unrealized appreciation.....
 $             18,422,552
         
Gross unrealized depreciation.....
(12,299,701)
         
Net unrealized appreciation.........
 $               6,122,851
         
             
** Non-income producing securities.
           

 
 

 

  
FAIR VALUE MEASUREMENTS
  
In September  2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years.   SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The Fund adopted SFAS 157 effective at inception.  The three levels of the fair value hierarchy under SFAS 157 are described below:
 
    ●   Level 1  –  price quotations in active markets/exchanges for identical securities
    ●   Level 2  –  other significant observable inputs (including, but not limited to: quoted prices for similar securities, interest rates, credit risk, etc.)
    ●   Level 3  –  significant unobservable inputs (including the Fund's own assumptions used in determining the fair value of investments)
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.  A summary of the inputs used to value the Fund's net assets as of October 31, 2009, is as follows:

 
Valuation Inputs
Investments in
Securities
 
 
Level 1  –  Quoted Prices
$                 -
 
   
Level 2  –  Other Significant Observable Inputs
                   -
 
  
Level 3  –  Significant Unobservable Inputs
   111,622,016
 
 
Total
$ 111,622,016
 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

   
Investments in Securities
 
 
Balance, as of February 1, 2009
$ 89,900,742
 
 
Realized gain (loss)
     (3,866,112)
 
 
Change in unrealized appreciation (depreciation)
     9,702,886
 
 
Net purchases (sales)
   15,884,500
 
 
Net transfers in/out of Level 3
                   -
 
 
Balance, as of October 31, 2009
$111,622,016
 




      Investments in Securities
 
 
The amount of total gains and losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date
$ 8,600,169
 

 
 

 

Item 2. Controls and Procedures.
  
 
(a)
The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  
   
 
(b)
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
 
  
Item 3. Exhibits.
  
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 
 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
  
(Registrant)
Wells Fargo Multi-Strategy 100 Master Fund I, LLC
  
By (Signature and Title)*
/s/ Daniel J. Rauchle
 
Daniel J. Rauchle, President
 
(principal executive officer)
  
Date
 
December 21, 2009
  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
  
By (Signature and Title)*
/s/ Daniel J. Rauchle
 
Daniel J. Rauchle, President
 
(principal executive officer)
  
Date
 
December 21, 2009
  
By (Signature and Title)*
/s/ Eileen Alden
 
Eileen Alden, Treasurer
 
(principal financial officer)
  
Date
 
December 21, 2009
  
* Print the name and title of each signing officer under his or her signature.