N-Q 1 d240215dnq.htm ARDEN SAGE MULTI-STRATEGY INSTITUTIONAL FUND, L.L.C. Arden Sage Multi-Strategy Institutional Fund, L.L.C.

 

 

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 811-22224

 

 

Arden Sage Multi-Strategy

Institutional Fund, L.L.C.

(Exact name of registrant as specified in charter)

 

 

Arden Asset Management LLC

375 Park Avenue, 32nd Floor

New York, NY 10152

(Address of principal executive offices) (Zip code)

 

 

SEI Investments Global Fund Services

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 212-751-5252

Date of fiscal year end: March 31

Date of reporting period: June 30, 2012

 

 

 

Item 1. Schedule of Investments

Arden Sage Multi-Strategy Institutional Fund, L.L.C. (the “Fund”) invests substantially all of its assets in Arden Sage Multi-Strategy Master Fund, L.L.C. (the “Master Fund”). As of June 30, 2012, the Fund owned 10.9% of the Master Fund. The Master Fund’s consolidated schedule of investments in Portfolio Funds is listed below.

Arden Sage Multi-Strategy Master Fund, L.L.C.

Consolidated Schedule of Investments (unaudited)

June 30, 2012

 

Portfolio Fund

        Cost           Value          
 
 		 %* of
Members’
Capital		   
  
  		   Liquidity**

Equity (Long/Short) - Variable Exposure:

                 

Cobalt Partners L.P.

      $     8,593,394         $     9,181,554           4.07 %    Semi-Annually

Highline Capital Partners QP, L.P.

        6,163,388           6,637,165           2.94 %    Quarterly

JHL Capital Group Fund Ltd.

        5,421,005           5,603,419           2.48 %    Quarterly

Lakewood Capital Partners, L.P.

        8,907,744           9,873,075           4.37 %    Quarterly

Newbrook Capital Partners L.P.

        5,500,000           5,648,516           2.50 %    Quarterly

Pennant Windward Offshore Fund, Ltd.

        12,032,720           13,875,940           6.15 %    Quarterly

PFM Diversified Fund, L.P.

        7,239,249           7,143,574           3.16 %    Quarterly

PFM Meritage Fund, L.P.

        3,850,922           3,626,708           1.61 %    Quarterly
    

 

 

    

Total Equity (Long/Short) - Variable Exposure

        57,708,422           61,589,951           27.28 %   
    

 

 

    

Multi - Event Driven:

                 

Elliott International, Ltd.

        12,402,553           13,901,375           6.16 %    Quarterly

Empyrean Capital Overseas Fund, Ltd.

        7,214,005           7,190,148           3.18 %    Quarterly

Eton Park Fund, L.P.

        784,893           1,006,880           0.45 %    Annually

Eton Park Overseas Ltd.

        1,693,189           1,660,051           0.73 %    Annually

Fir Tree Value Fund II, L.P.

        8,488,366           9,571,552           4.24 %    Quarterly

Greywolf Capital Overseas Fund

        34,520           34,383           0.02 %    ‡

Greywolf Capital Partners II, L.P.(1)

        64,550           41,525           0.02 %    ‡

Magnetar Capital, Ltd.

        632,771           692,917           0.31 %    †

Magnetar Capital Fund, L.P.(1)

        309,805           330,261           0.15 %    ‡

Magnetar SPV LLC

        239,014           212,461           0.09 %    †

Perry Partners International

        157,801           168,977           0.07 %    ‡

Taconic Opportunities Fund, L.P.(1)

        50,505           63,525           0.03 %    ‡

Wexford Offshore Spectrum Fund

        39,969           27,595           0.01 %    ‡

Wexford Spectrum Fund I, L.P.(1)

        126,228           94,499           0.04 %    †
    

 

 

    

Total Multi - Event Driven

        32,238,169           34,996,149           15.50 %   
    

 

 

    

Equity - Event:

                 

Altima Global Special Situations Fund, Ltd.

        1,608,465           1,505,579           0.67 %    ‡

BHR Master Fund, Ltd.

        6,732,742           7,787,502           3.45 %    Quarterly

Broad Peak Fund, Ltd.

        40,297           8,543           0.00 %    †

Covalent Capital Partners (Offshore), L.P.

        6,034,424           5,748,442           2.55 %    Quarterly

Luxor Capital Partners, L.P.

        8,092,384           8,136,252           3.60 %    Quarterly

Montrica Global Opportunities Fund, L.P.(1)

        407,832           337,064           0.15 %    †

Octavian Global Fund, L.P.

        499,630           398,065           0.18 %    ‡

Octavian Global Fund, Ltd.

        335,866           343,869           0.15 %    ‡

Owl Creek II L.P.

        1,853,758           1,692,057           0.75 %    Quarterly

Owl Creek Overseas Fund, Ltd.

        1,277,676           1,281,699           0.57 %    Quarterly
    

 

 

    

Total Equity - Event

        26,883,074           27,239,072           12.07 %   
    

 

 

    

Arden Sage Multi-Strategy Master Fund, L.L.C.

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2012

 

Portfolio Fund

        Cost           Value          
 
 		 %* of
Members’
Capital		   
  
  		   Liquidity**

Equity (Long/Short) - Sector/Region:

                 

Artha Emerging Markets Fund, L.P.

      $     4,291,935         $     4,202,559           1.86 %    Quarterly

Criterion Horizons Fund, L.P.

        9,345,949           10,048,465           4.45 %    Monthly

Kylin Fund, L.P.

        8,083,588           7,760,880           3.44 %    Quarterly
    

 

 

    

Total Equity (Long/Short) - Sector/Region

        21,721,472           22,011,904           9.75 %   
    

 

 

    

Equity (Market Neutral) - Fundamental/Trading:

                 

Citadel Global Equities Fund, Ltd.

        8,500,000           9,262,643           4.10 %    Monthly

Level Global L.P.

        87,458           91,338           0.04 %    ‡

Millennium International, Ltd.

        8,500,000           8,950,432           3.97 %    Quarterly
    

 

 

    

Total Equity (Market Neutral)
Fundamental/Trading

        17,087,458           18,304,413           8.11 %   
    

 

 

    

Fixed Income Relative Value:

                 

Bluecrest Capital International, Ltd.

        5,000,000           5,118,347           2.27 %    Quarterly

Brevan Howard Multi-Strategy Fund, L.P.(1)

        3,535,310           3,528,386           1.56 %    Monthly

Pelagus Capital Fund Inc.

        6,060,718           6,285,784           2.78 %    Monthly

The Drake Absolute Return Fund, L.P.

        286,714           283,652           0.13 %    †
    

 

 

    

Total Fixed Income Relative Value

        14,882,742           15,216,169           6.74 %   
    

 

 

    

Discretionary Global:

                 

Caxton Global Investments, Ltd.

        6,000,000           5,750,540           2.55 %    Quarterly

QFR Victoria Fund, Ltd.

        6,704,744           6,999,106           3.10 %    Quarterly

Woodbine Capital Fund, Ltd.

        2,340,969           2,169,314           0.96 %    Quarterly
    

 

 

    

Total Discretionary Global

        15,045,713           14,918,960           6.61 %   
    

 

 

    

Stressed / Distressed Credit:

                 

Cerberus International, Ltd.

        2,294,323           2,506,161           1.11 %    †

Cerberus SPV, LLC

        3,324,001           3,178,465           1.41 %    †

Credit Distressed Blue Line Fund, L.P.

        446,246           410,139           0.18 %    †

Credit Distressed Blue Line Offshore Fund, Ltd.

        881,484           592,080           0.26 %    Quarterly

York Credit Opportunities Fund, L.P.

        5,228,698           6,186,787           2.74 %    Semi-Annually
    

 

 

    

Total Stressed / Distressed Credit

        12,174,752           12,873,632           5.70 %   
    

 

 

    

Credit - Event:

                 

Anchorage Capital Partners, L.P.

        36,350           37,923           0.02 %    ‡

Dune Capital, L.P.(1)

        215,409           169,588           0.08 %    †

Dune Capital International, Ltd.

        76,752           80,577           0.04 %    ‡

Fortress Value Recovery Fund I, Ltd.

        32,198           27,772           0.01 %    †

Redwood Domestic Fund, L.P.(1)

        190,032           269,395           0.12 %    Bi-Annually

Redwood Offshore Fund, Ltd.

        8,460,617           10,504,762           4.65 %    Bi-Annually

Silver Point Capital Fund, L.P.(1)

        572,190           884,763           0.39 %    ‡
    

 

 

    

Total Credit - Event

        9,583,548           11,974,780           5.31 %   
    

 

 

    

Arden Sage Multi-Strategy Master Fund, L.L.C.

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2012

 

Portfolio Fund

     Cost         Value        
 
 		 %* of
Members’
Capital		   
  
  		   Liquidity**

Credit - Relative Value:

          

Claren Road Credit Fund, Ltd.

   $ 8,500,000       $ 8,507,309         3.77 %    Quarterly

Sorin Offshore Fund, Ltd.

     45,816         51,569         0.02 %    †
 

 

 

    

Total Credit - Relative Value

     8,545,816         8,558,878         3.79 %   
 

 

 

    

Convertible Arbitrage:

          

Linden Investors, L.P.

     6,129,447         6,093,744         2.70 %    Quarterly
 

 

 

    

Tail Hedge:

          

Man Systematic TailProtect Offshore Fund, Ltd.

     2,750,000         2,599,805         1.15 %    Monthly
 

 

 

    

Multi - Relative Value:

          

Bennelong Asia Pacific Multi-Strategy Equity Fund, Ltd.(1)

     548,908         377,252         0.17 %    ‡
 

 

 

    

Total Portfolio Funds

     225,299,521         236,754,709         104.88 %   
 

 

 

    

Cash Equivalent:

          

SEI Daily Income Trust Treasury Fund, Cl A, 0.01%(2)

     1,666,311         1,666,311         0.74 %    Daily
 

 

 

    

Total Cash Equivalent

     1,666,311         1,666,311         0.74 %   
 

 

 

    

Total Investments(3)

   $ 226,965,832       $ 238,421,020         105.62 %   
 

 

 

    
 

 

 

    

 

  * Percentages are based on Members’ Capital at the end of the period of $225,742,014.
    ** Liquidity terms shown apply after initial lock-up provisions.
  † Portfolio Fund is in the process of an orderly wind-down with the return of capital to investors. Final distribution dates cannot be estimated.
  ‡ The Master Fund’s remaining investment in the Portfolio Fund is a side pocket, which is in the process of liquidating. Final distribution dates cannot be estimated.
  (1) 

Portfolio Fund is held by Arden Sage Multi-Strategy 1099 Blocker Fund, LLC, which is 100% owned by the Master Fund.

  (2) 

The rate shown is the 7-day effective yield as of June 30, 2012.

  (3) 

The Master Fund has established a line of credit agreement with Societe Generale that is collateralized by a security interest in the Master Fund’s custody account. For more information regarding the line of credit, please refer to the Master Fund’s most recent annual financial statements.

At June 30, 2012, the aggregate cost of investments for tax purposes was $225,299,521. Net unrealized appreciation on investments for tax purposes was $11,455,188 consisting of $14,402,579 of gross unrealized appreciation and ($2,947,391) of gross unrealized depreciation.

The investments in Portfolio Funds shown above, representing 104.88% of Members’ Capital, have been fair valued.

Arden Sage Multi-Strategy Master Fund, L.L.C.

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2012

The following table summarizes the valuation of the Master Fund’s investments fair value hierarchy levels as of June 30, 2012.

 

Investments by investment strategy:

      Level 1         Level 2         Level 3         Total   

Equity (Long/Short) - Variable Exposure

    $             -       $         46,804,978       $         14,784,973       $         61,589,951   

Multi - Event Driven

      -         9,571,552         25,424,597         34,996,149   

Equity - Event

      -         13,535,944         13,703,128         27,239,072   

Equity (Long/Short) - Sector/Region

      -         22,011,904         -         22,011,904   

Equity (Market Neutral) - Fundamental/Trading

      -         -         18,304,413         18,304,413   

Fixed Income Relative Value

      -         14,932,517         283,652         15,216,169   

Discretionary Global

      -         14,918,960         -         14,918,960   

Stressed / Distressed Credit

      -         -         12,873,632         12,873,632   

Credit - Event

      -         -         11,974,780         11,974,780   

Credit - Relative Value

      -         8,507,309         51,569         8,558,878   

Convertible Arbitrage

      -         -         6,093,744         6,093,744   

Tail Hedge

      -         2,599,805         -         2,599,805   

Multi - Relative Value

      -         -         377,252         377,252   
  

 

 

  

Total investments by investment strategy

    $ -       $ 132,882,969       $ 103,871,740       $ 236,754,709   
  

 

 

  
  

 

 

  

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

 

Investments by investment
strategy		  

Balance

as of 3/31/12

     Realized
gain/
(loss) 		    Change in
unrealized
appreciation/
(depreciation)		     Purchases     Sales     Transfers
out of
strategy		     Transfers
into strategy		     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance
as of
6/30/12		  

Equity (Long/Short) - Variable Exposure

   $ 5,751,131      $ 179,365      $ (557,765 )    $ -      $ (2,800,000 )    $ -      $ -      $ 12,212,242      $ -      $ 14,784,973   

Multi - Event Driven

     25,957,165        (550 )      (6,110 )      255,555        (781,463 )      -        -        -        -        25,424,597   

Equity - Event

     24,767,703        (72,022 )      (761,518 )      -        (2,275,356 )      -        -        -        (7,955,679 )      13,703,128   

Equity (Long/Short) - Sector/Region

     9,870,439        -        -        -        -        -        -        -        (9,870,439 )      -   

Equity (Market Neutral) - Fundamental/Trading

     17,925,226        -        379,187        -        -        -        -        -        -        18,304,413   

Fixed Income Relative Value

     10,180,399        -        2,793        -        -        -        -        -        (9,899,540 )      283,652   

Discretionary Global

     4,047,760        -        -        -        -        -        -        -        (4,047,760 )      -   

Stressed / Distressed Credit

     7,300,874        (7,014 )      (242,023 )      -        (464,728 )      -        -        6,286,523        -        12,873,632   

Credit - Event

     11,919,678        10,073        81,835        -        (36,806 )      -        -        -        -        11,974,780   

Credit - Relative Value

     -        -        37        -        -        -        51,532        -        -        51,569   

Convertible Arbitrage

     8,837,728        (14,647 )      (229,337 )      -        (2,500,000 )      -        -        -        -        6,093,744   

Multi - Relative Value

     661,083        -        (283,831 )      -        -        -        -        -        -        377,252   

Tactical / Other

     51,532        -        -        -        -        (51,532 )      -        -        -        -   
 

 

 

  

Total

   $     127,270,718      $ 95,205        $    (1,616,732 )    $     255,555        $    (8,858,353 )      $    (51,532 )    $     51,532      $     18,498,765        $    (31,773,418 )    $     103,871,740   
 

 

 

  
 

 

 

  

Arden Sage Multi-Strategy Master Fund, L.L.C.

Consolidated Schedule of Investments (unaudited) (concluded)

June 30, 2012

 

Investments by investment strategy:    The amount of gains/(losses) included in
gain/(loss) attributable to the change  in
unrealized gains/(losses) relating to assets
still held at 6/30/12		  

 

  

Equity (Long/Short) - Variable Exposure

    $     (557,765 ) 

Multi - Event Driven

      (6,110 ) 

Equity - Event

      (761,518 ) 

Equity (Market Neutral) - Fundamental/Trading

      379,187   

Fixed Income Relative Value

      2,793   

Stressed / Distressed Credit

      (242,023 ) 

Credit - Event

      81,835   

Credit - Relative Value

      37   

Convertible Arbitrage

      (229,337 ) 

Multi - Relative Value

      (283,831 ) 
  

 

 

  

Total

        $ (1,616,732 ) 
  

 

 

  
  

 

 

  

The Master Fund recognizes transfers into and out of the levels indicated above at the beginning of the reporting period. The net Level 3 transfers in/(out) noted above are due to a change in liquidity of the underlying Portfolio Funds between the measurement dates. The Master Fund did not have any transfers between Level 1 and Level 2 during the period ended June 30, 2012.

In accordance with a 2009 amendment to the Topic 820 of the Financial Accounting Standards Board codification, if a reporting entity has the ability to redeem its investment in a Portfolio Fund at the measurement date or within the near-term then the investment is deemed to be a Level 2 investment.

For information regarding the Master Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Master Fund’s most recent annual financial statements.

Item 2. Controls and Procedures

(a) The certifying officers, whose certifications are included herewith, have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrant’s disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting 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.

(a) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)     Arden Sage Multi-Strategy Institutional Fund, L.L.C.
By (Signature and Title)*    

/s/ Craig Krawiec

    Craig Krawiec
    Chief Executive Officer

Date: August 29, 2012

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/ Craig Krawiec

    Craig Krawiec
    Chief Executive Officer

Date: August 29, 2012

 

By (Signature and Title)*    

/s/ Andrew Katz

    Andrew Katz
    Chief Financial Officer

Date: August 29, 2012

 

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