N-Q 1 fp0015768_nq.htm
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22763

CPG Carlyle Fund, LLC (Formerly, CPG Carlyle Private Equity Fund, LLC)
(Exact name of registrant as specified in charter)

805 Third Avenue
New York, New York 10022
(Address of principal executive offices) (Zip code)

Mitchell A. Tanzman
c/o Central Park Advisers, LLC
805 Third Avenue
New York, New York 10022
(Name and address of agent for service)

Registrant's telephone number, including area code: (212) 317-9200

Date of fiscal year end: March 31

Date of reporting period: June 30, 2015

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.

ITEM 1. SCHEDULE OF INVESTMENTS.

The Schedule of Investments is attached herewith.
 
CPG Carlyle Private Equity Fund, LLC
Schedule of Investments (Unaudited)
June 30, 2015 
 
CPG Carlyle Private Equity Fund, LLC (a)
      
       
Investment in CPG Carlyle Private Equity Master Fund, LLC, at value - 100.12% (b)
  
$
693,964,444
  
Liabilities in excess of other assets - (0.12%)
    
(848,608
)
Net Assets - 100.00%
    
$
693,115,836
  
 
(a)  Invests the majority of its assets in CPG Carlyle Private Equity Master Fund, LLC. 
(b)  Categorized as Level 3 investment. 
 
The Schedule of Investments of CPG Carlyle Private Equity Master Fund, LLC is included below.
 
CPG Carlyle Private Equity Master Fund, LLC 
Schedule of Investments (Unaudited) 
June 30, 2015
Geographic
        
       
Region
  
Cost
    
Fair Value
  
Investment Funds - 75.07%
          
Co-Investments - 1.55%
          
Carlyle ECI Coinvestment, L.P. a
North America
  
$
3,015,557
    
$
3,255,362
  
Carlyle Interlink Coinvestment, L.P. a
North America
    
3,018,382
      
2,960,939
  
CSP III Magellan Co-investment (Cayman), L.P. a
North America
    
4,082,566
      
4,568,859
  
Total Co-Investments
      
10,116,505
      
10,785,160
  
                   
Primary Investments - 7.61%
                  
Carlyle Asia Partners IV, L.P. a
Asia/Pacific
    
18,737,550
      
17,479,808
  
Carlyle Europe Technology Partners III, L.P. a
Europe
    
3,343,429
      
3,100,867
  
Carlyle Global Financial Services Partners II, L.P. a
Global
    
13,226,342
      
12,913,352
  
Carlyle International Energy Partners, L.P. a
Global
    
5,510,691
      
5,115,176
  
Carlyle Partners VI, L.P. a
North America
    
6,855,258
      
6,519,257
  
Carlyle Strategic Partners III, L.P. a
North America
    
7,679,242
      
7,693,521
  
Total Primary Investments
      
55,352,512
      
52,821,981
  
                   
Secondary Investments - 65.91%
                  
Brazil Buyout Coinvestment, L.P. a
South America
    
197,004
      
158,246
  
Carlyle Asia Growth Partners III, L.P. a
Asia/Pacific
    
3,615,017
      
3,202,187
  
Carlyle Asia Growth Partners III Coinvestment, L.P. a
Asia/Pacific
    
538,951
      
544,624
  
Carlyle Asia Growth Partners IV, L.P. a
Asia/Pacific
    
35,299,441
      
41,007,029
  
Carlyle Asia Growth Partners IV Coinvestment, L.P. a
Asia/Pacific
    
2,574,422
      
3,135,649
  
Carlyle Asia Partners II, L.P. a
Asia/Pacific
    
12,838,340
      
13,059,854
  
Carlyle Asia Partners II Coinvestment, L.P. a
Asia/Pacific
    
5,202,065
      
3,799,459
  
Carlyle Asia Partners III, L.P. a
Asia/Pacific
    
15,455,425
      
18,556,426
  
Carlyle Asia Partners III Coinvestment, L.P. a
Asia/Pacific
    
1,391,299
      
1,518,761
  
Carlyle Asia Partners III Coinvestment AIV (Scot), L.P. a
Asia/Pacific
    
278,249
      
336,096
  
Carlyle Equity Opportunity Fund Coinvestment, L.P. a
North America
    
150,042
      
231,150
  
Carlyle Europe Partners II, L.P. a
Europe
    
2,898,504
      
3,209,947
  
Carlyle Europe Partners II Coinvestment, L.P. a
Europe
    
1,726,379
      
1,816,510
  
Carlyle Europe Partners II Investment Holdings, L.P. - Ensus II a
Europe
    
176,175
      
72,684
  
Carlyle Europe Partners III, L.P. a
Europe
    
5,082,326
      
7,520,382
  
Carlyle Europe Partners III Investment Holdings, L.P. a
Europe
    
8,010,921
      
10,246,381
  
Carlyle Europe Technology Partners, L.P. a
Europe
    
-
      
437,988
  
Carlyle Europe Technology Partners Coinvestment, L.P. a
Europe
    
82,450
      
101,685
  
Carlyle Europe Technology Partners II Coinvestment, L.P. a
Europe
    
319,132
      
310,296
  
Carlyle Global Financial Services Partners, L.P. a
Global
    
37,270,137
      
56,805,465
  
Carlyle Global Financial Services Partners Coinvestment, L.P. a
Global
    
1,099,726
      
1,279,930
  
Carlyle Global Financial Services Partners II Coinvestment, L.P. a
Global
    
79,481
      
242,992
  
Carlyle Infrastructure Partners, L.P. a
North America
    
39,132,163
      
45,459,498
  
Carlyle Japan Partners Coinvestment, L.P. a
Asia/Pacific
    
172,364
      
377,380
  
Carlyle Japan Partners II Coinvestment, L.P. a
Asia/Pacific
    
1,524,570
      
1,376,376
  
Carlyle Partners IV, L.P. a
North America
    
368,663
      
5,702,545
  
Carlyle Partners IV Coinvestment, L.P. a
North America
    
984,796
      
567,879
  
Carlyle Partners IV Coinvestment (Cayman), L.P. a
North America
    
701,480
      
1,450,843
  
Carlyle Partners V, L.P. a
North America
    
126,969,909
      
146,123,740
  
Carlyle Partners V Coinvestment, L.P. a
North America
    
9,385,248
      
8,524,595
  
Carlyle Partners V Coinvestment (Cayman), L.P. a
North America
    
2,440,912
      
2,836,190
  
Carlyle Partners VI Coinvestment A, L.P. a
North America
    
58,265
      
91,984
  
Carlyle Partners VI Coinvestment A (Cayman), L.P. a
North America
    
321,171
      
322,569
  
Carlyle/Riverstone Global Energy and Power Fund II a
North America
    
944,272
      
1,354,424
  
Carlyle/Riverstone Global Energy and Power Fund III a
North America
    
4,150,606
      
3,344,342
  
Carlyle Strategic Partners II, L.P. a
North America
    
16,375,147
      
15,623,940
  
Carlyle Strategic Partners II Coinvestment, L.P. a
North America
    
1,350,771
      
1,164,482
  
Carlyle Strategic Partners III Coinvestment, L.P. a
North America
    
499,993
      
547,648
  
Carlyle Venture Partners II Coinvestment, L.P. a
North America
    
277,564
      
597,103
  
Carlyle Venture Partners III Coinvestment, L.P. a
North America
    
714,324
      
766,701
  
MENA Coinvestment, L.P. a
North America
    
452,011
      
518,097
  
Mexico Coinvestment, L.P. a
North America
    
2,688
      
115,453
  
Newport Global Opportunities Fund, L.P. a
North America
    
31,934,619
      
36,478,361
  
Riverstone/Carlyle Renewable and Alternative Energy Fund II, L.P. a
North America
    
762,556
      
857,680
  
Riverstone/Carlyle Global Energy and Power Fund IV a
North America
    
8,248,995
      
6,492,039
  
Riverstone Global Energy and Power Fund V a
North America
    
8,898,768
      
9,090,735
  
Total Secondary Investments
      
390,957,341
      
457,378,345
  
Total Investment Funds
    
$
456,426,358
    
$
520,985,486
  

CPG Carlyle Private Equity Master Fund, LLC 
Schedule of Investments (Unaudited) (continued) 
June 30, 2015
   
Geographic
        
     
Region
  
Cost
    
Fair Value
  
Direct Investments - 0.43%
          
Interlink Maritime Corp.
North America
  
$
3,000,000
    
$
3,000,000
  
Total Direct Investments
      
3,000,000
      
3,000,000
  
Total Investments
    
$
459,426,358
    
$
523,985,486
  
                   
Short-Term Investments - 24.94%
                  
Money Market Funds - 24.94%
                  
Fidelity Institutional Money Market Portfolio, Class I, 0.10% b
      
70,959,566
      
70,959,566
  
Fidelity Institutional Prime Money Market Portfolio, Class I, 0.11% b
      
25,520,794
      
25,520,794
  
Goldman Sachs Financial Square Money Market Fund, Class I, 0.11% b
      
25,520,771
      
25,520,771
  
Wells Fargo Advantage Cash Investment Money Market Fund, Class Select, 0.12% b
    
25,523,245
      
25,523,245
  
Wells Fargo Advantage Heritage Money Market Fund, Class Select, 0.11% b
    
25,522,266
      
25,522,266
  
Total Money Market Funds
      
173,046,642
      
173,046,642
  
Total Short-Term Investments
    
$
173,046,642
    
$
173,046,642
  
                   
Total Investments - 100.44%
    
$
632,473,000
    
$
697,032,128
  
Liabilities in excess of other assets - (0.44%)
              
(3,067,555
)
Net Assets - 100.00%
            
$
693,964,573
  

a
Investments have no redemption provisions, are issued in private placement transactions and are restricted as to resale.
b
The rate shown is the annualized 7-day yield as of June 30, 2015.
 
Investments as of 6/30/15
    
   
Percent of Total
  
Private Equity Type
  
Net Assets
  
Investment Funds
    
   Co-Investments
    
1.55%
 
   Primary Investments
    
7.61%
 
   Secondary Investments
    
65.91%
 
Total Investment Funds
    
75.07%
 
Direct Investments
    
0.43%
 
Total Direct Investments
    
0.43%
 
Short-Term Investments
        
   Money Market Funds
    
24.94%
 
Total Short-Term Investments
    
24.94%
 
Total Investments
    
100.44%
 
Liabilities in excess of other assets
    
(0.44)%
 
Total Net Assets
    
100.00%
 
 
See accompanying notes to financial statements.
CPG Carlyle Private Equity Fund, LLC (the “Fund”) invests substantially all of its assets in CPG Carlyle Private Equity Master Fund, LLC (the “Master Fund”). The following is a summary of significant accounting policies followed by the Fund and the Master Fund in the preparation of their Schedules of Investments. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).  The Master Fund meets the definition of an investment company and follows the accounting and reporting guidance as issued through Accounting Standards Codification (“ASC”) 946, Financial Services – Investment Companies.

Fair value is defined as the price that the fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Under U.S. GAAP, a three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Master Fund. Unobservable inputs reflect the Master Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observation of the inputs which are significant to the overall valuation.

The three-tier hierarchy of inputs is summarized below:

 
•
 
Level 1 — unadjusted quoted prices in active markets for identical financial instruments that the reporting entity has the ability to access at the measurement date.
 
 
•
 
Level 2 — inputs other than quoted prices included within Level 1 that are observable for the financial instrument, either directly or indirectly. For investments measured at net asset value (“NAV”) as of the measurement date, included in this category are investments that can be withdrawn by the Master Fund at NAV as of the measurement date, or within one year from measurement date.
 
 
 •
 
Level 3 — significant unobservable inputs for the financial instrument (including the Master Fund’s own assumptions in determining the fair value of investments). For investments measured at NAV as of the measurement date, included in this category are investments for which the Master Fund does not have the ability to redeem at NAV as of the measurement date due to holding periods greater than one year from the measurement date.

U.S. GAAP requires that investments are classified within the level of the lowest significant input considered in determining fair value. In evaluating the level at which the Master Fund’s investments have been classified, the Master Fund has assessed factors including, but not limited to price transparency and the existence or absence of certain restrictions at the measurement date. The Master Fund has assessed the following factors in determining the fair value hierarchy of its investments in investment funds (“Investment Funds”):

The private equity Investment Funds are generally restricted securities that are subject to substantial holding periods and are not traded in public markets, so that the Master Fund may not be able to resell some of its investments for extended periods which may be several years. The types of private equity Investment Funds that the Master Fund may make include primary, secondary and direct investments/co-investments. Co-Investments represent opportunities to invest in specific portfolio companies that are typically made alongside an Investment Fund.  Primary investments (the “Primary Investments”) are investments in newly established private equity funds. Secondary investments (the “Secondary Investments”) are investments in existing private equity funds that are acquired in privately negotiated transactions.  Investment Funds subject to substantial holding periods are classified as Level 3 assets.

The NAV of the Master Fund is determined by, or at the direction of, Central Park Advisers, LLC (the “Adviser”) as of the close of business at the end of any fiscal period in accordance with the valuation principles set forth below or as may be determined from, time to time, pursuant to policies established by the Master Fund’s Board of Directors (the “Board”). The Master Fund’s investments in Investment Funds are subject to the terms and conditions of the respective operating agreements and offering memorandums, as appropriate. The Master Fund’s Valuation Committee (the “Committee”) oversees the valuation process of the Master Fund’s investments.  The Committee meets on a monthly basis and reports to the Audit Committee on a quarterly basis.  The Master Fund’s investments in Investment Funds are carried at fair value which generally represents the Master Fund’s pro-rata interest in the net assets of each Investment Fund as reported by the administrators and/or investment managers of the underlying Investment Funds. All valuations utilize financial information supplied by each Investment Fund and are net of management and incentive fees or allocations payable to the Investment Funds’ managers or pursuant to the Investment Funds’ agreements. The Master Fund’s valuation procedures require the Adviser to consider all relevant information available at the time the Master Fund values its portfolio. The Adviser has assessed factors including, but not limited to, the individual Investment Funds’ compliance with fair value measurements, price transparency and valuation procedures in place, and subscription and redemption activity. The Adviser and/or the Board will consider such information and consider whether it is appropriate, in light of all relevant circumstances, to value such a position at its NAV as reported or whether to adjust such value. The underlying investments of each Investment Fund are accounted for at fair value as described in each Investment Fund’s financial statements (see the Master Fund’s Schedule of Investments).

The fair value relating to certain underlying investments of these Investment Funds, for which there is no ready market, has been estimated by the respective Investment Funds’ management and is based upon available information in the absence of readily ascertainable fair values and does not necessarily represent amounts that might ultimately be realized. Due to the inherent uncertainty of valuation, those estimated fair values may differ significantly from the values that would have been used had a ready market for the investments existed. These differences could be material.

The following table sets forth information about the levels within the fair value hierarchy at which the Master Fund’s investments are measured as of June 30, 2015:

Investments
  
Level 1
    
Level 2
    
Level 3
    
Total
  
  Co-Investments
  
$
-
    
$
-
    
$
10,785,160
    
$
10,785,160
  
  Primary Investments
    
-
      
-
      
52,821,981
      
52,821,981
  
  Secondary Investments
    
-
      
-
      
457,378,345
      
457,378,345
  
Direct Investments
    
-
      
-
      
3,000,000
      
3,000,000
  
Short-Term Investments
                                
  Money Market Investments
    
173,046,642
      
-
      
-
      
173,046,642
  
Total
  
$
173,046,642
    
$
-
    
$
523,985,486
    
$
697,032,128
  
 
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
 
   
Co-Investments
    
Primary Investments
    
Secondary Investments
    
Direct
Investments
    
Total
  
As of April 1, 2015
  
$
9,984,777
    
$
38,201,175
    
$
438,103,256
    
$
3,000,000
    
$
489,289,208
  
Gross Contributions
    
785,439
      
12,991,120
      
44,446,096
      
-
      
58,222,655
  
Gross Distributions
    
-
      
(1,123,769
)
    
(43,910,012
)
    
-
      
(45,033,781
)
Realized Gain/Loss
    
-
      
-
      
6,987,363
      
-
      
6,987,363
  
Unrealized Appreciation /(Depreciation)
    
14,944
      
2,753,455
      
11,751,642
      
-
      
14,520,041
  
As of June 30, 2015
  
$
10,785,160
    
$
52,821,981
    
$
457,378,345
    
$
3,000,000
    
$
523,985,486
  

The Master Fund discloses transfers between levels based on valuations at the end of the reporting period. There were no transfers between Levels 1, 2 and 3 for the period ended June 30, 2015.

The amount of the net change in unrealized appreciation/(depreciation) for the period ended June 30, 2015 relating to investments in Level 3 assets still held at June 30, 2015 is $14,520,041.

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 (17 CFR 270.30a-2(a)), for the Principal Executive Officer and Principal Financial Officer, 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)
CPG Carlyle Fund, LLC (Formerly CPG Carlyle Private Equity Fund, LLC)
 
 
By (Signature and Title)*
/s/ Mitchell A. Tanzman
  
 
Mitchell A. Tanzman
  
 
(Principal Executive Officer)
  
 
 
  
Date
August 28, 2015
  
 
 
  
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/ Mitchell A. Tanzman
  
 
Mitchell A. Tanzman
  
 
(Principal Executive Officer)
  
 
 
  
Date
August 28, 2015
  
 
 
  
By (Signature and Title)*
/s/ Michael Mascis
  
 
Michael Mascis
  
 
(Principal Financial Officer)
  
 
 
  
Date
August 28, 2015
  
 
* Print the name and title of each signing officer under his or her signature.