N-Q 1 fp0011474_nq.htm fp0011474_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: 811-22764

CPG Carlyle Private Equity Master 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, 2014

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 Master Fund, LLC
Schedule of Investments (Unaudited)
June 30, 2014

Investment Funds - 45.64%
Geographic Region
  
Cost
    
Fair Value
  
Co-Investments - 1.38%
              
Carlyle ECI Coinvestment, L.P. a
North America
   $ 3,015,557     $ 2,689,387  
Carlyle Interlink Coinvestment, L.P. a
North America
     3,018,382       2,968,692  
Total Co-Investments
       6,033,939       5,658,079  
                   
Direct Investments - 0.73%
                  
Carlyle Interlink Marine Corp. a
North America
     3,000,000       3,000,000  
Total Direct Investments
       3,000,000       3,000,000  
                   
Primary Investments - 4.28%
                  
Carlyle Asia Partners IV, L.P. a
Asia/Pacific
     623,041       512,469  
Carlyle Global Financial Services Partners II, L.P. a
Global
     3,407,836       2,366,676  
Carlyle International Energy Partners, L.P. a
Global
     2,615,518       2,115,854  
Carlyle Partners VI, L.P. a
North America
     4,309,581       3,746,568  
Carlyle Strategic Partners III, L.P. a
North America
     5,960,855       8,846,355  
Total Primary Investments
       16,916,831       17,587,922  
                   
Secondary Investments - 39.25%
                  
Brazil Buyout Coinvestment, L.P. a
South America
     192,647       171,462  
Carlyle Asia Growth Partners III Coinvestment, L.P. a
Asia/Pacific
     1,045,826       1,199,030  
Carlyle Asia Growth Partners IV, L.P. a
Asia/Pacific
     1,232,424       1,558,735  
Carlyle Asia Growth Partners IV Coinvestment, L.P. a
Asia/Pacific
     1,569,645       1,703,240  
Carlyle Asia Partners II, L.P. a
Asia/Pacific
     5,257,256       5,081,925  
Carlyle Asia Partners II Coinvestment, L.P. a
Asia/Pacific
     3,494,641       2,985,917  
Carlyle Asia Partners III Coinvestment, L.P. a
Asia/Pacific
     691,117       926,148  
Carlyle Asia Partners III Coinvestment AIV (Scot), L.P. a
Asia/Pacific
     358,868       392,159  
Carlyle Equity Opportunity Fund Coinvestment, L.P. a
North America
     190,080       256,777  
Carlyle Europe Partners II, L.P. a
Europe
     3,793,581       7,165,303  
Carlyle Europe Partners II Coinvestment, L.P. a
Europe
     1,110,617       1,536,375  
Carlyle Europe Partners III, L.P. a
Europe
     8,241,597       10,848,620  
Carlyle Europe Partners III Investment Holdings, L.P. a
Europe
     2,270,619       3,456,317  
Carlyle Europe Technology Partners, L.P. a
Europe
     765,618       2,217,223  
Carlyle Europe Technology Partners Coinvestment, L.P. a
Europe
     66,821       61,210  
Carlyle Europe Technology Partners II Coinvestment, L.P. a
Europe
     348,993       406,043  
Carlyle Global Financial Services Partners I, L.P. a
Global
     41,098,387       47,879,461  
Carlyle Global Financial Services Partners Coinvestment, L.P. a
Global
     359,673       342,246  
Carlyle Global Financial Services Partners II Coinvestment, L.P. a
Global
     99,845       82,183  
Carlyle Japan Partners Coinvestment, L.P. a
Asia/Pacific
     126,252       152,061  
Carlyle Japan Partners II Coinvestment, L.P. a
Asia/Pacific
     833,264       865,567  
Carlyle Partners IV, L.P. a
North America
     5,483,966       11,643,111  
Carlyle Partners IV Coinvestment, L.P. a
North America
     1,207,665       1,300,626  
Carlyle Partners IV Coinvestment (Cayman), L.P. a
North America
     685,403       1,014,843  
Carlyle Partners V, L.P. a
North America
     27,198,432       31,103,472  
Carlyle Partners V Coinvestment, L.P. a
North America
     5,358,570       5,732,149  
Carlyle Partners V Coinvestment (Cayman), L.P. a
North America
     887,395       730,818  
Carlyle Strategic Partners Coinvesment, LLC a
North America
     53,224       3,228  
Carlyle Strategic Partners II, L.P. a
North America
     18,882,960       17,675,612  
Carlyle Strategic Partners II Coinvesment, L.P. a
North America
     547,755       526,190  
Carlyle Strategic Partners III Coinvesment, L.P. a
North America
     9,934       18,877  
Carlyle Venture Partners II Coinvestment, L.P. a
North America
     278,876       543,194  
Carlyle Venture Partners III Coinvestment, L.P. a
North America
     747,931       861,722  
Carlyle Venture Partners III Coinvestment (Cayman), L.P. a
North America
     10,099       9,313  
MENA Coinvestment, L.P. a
North America
     631,914       604,112  
Mexico Coinvestment, L.P. a
North America
     128,043       127,669  
Total Secondary Investments
       135,259,938       161,182,938  
Total Investments in Investment Funds
     $ 161,210,708     $ 187,428,939  
 
 
 
 
 
CPG Carlyle Private Equity Master Fund, LLC
Schedule of Investments (Unaudited) (continued)
June 30, 2014
 
Short-Term Investments - 56.99%
  
Cost
    
Fair Value
  
Money Market Fund - 56.99%
            
Fidelity Institutional Money Market Portfolio, Class I, 0.05% b
   $ 234,076,213     $ 234,076,213  
Total Short-Term Investments
   $ 234,076,213     $ 234,076,213  
                 
Total Investments - 102.63%
   $ 395,286,921     $ 421,505,152  
Liabilities in excess of other assets - (2.63%)
             (10,797,693 )
Net Assets - 100.00%
           $ 410,707,459  
 
a
Investment Funds 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, 2014.
 
Investment Funds as of 6/30/14
      
   
Percent of Total
  
Private Equity Type
  
Net Assets
  
Investment Funds
      
   Co-Investments
     1.38 %
   Direct Investments
     0.73 %
   Primary Investments
     4.28 %
Secondary Investments
     39.25 %
Total Investments in Investment Funds
     45.64 %
Short-Term Investments
     56.99 %
Total Investments
     102.63 %
Liabilities in excess of Other Assets
     (2.63 )%
Total Net Assets
     100.00 %
 
See accompanying notes to financial statements.

 
 
 

The following is a summary of significant accounting policies followed by the CPG Carlyle Private Equity Master Fund, LLC (the “Master Fund”) in the preparation of its Schedule of Investments. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

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 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, 2014:

Investments
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Co-Investments
   $ -     $ -     $ 5,658,079     $ 5,658,079  
Direct Investments
     -       -       3,000,000       3,000,000  
Primary Investments
     -       -       17,587,922       17,587,922  
Secondary Investments
     -       -       161,182,938       161,182,938  
Short-Term Investments
     234,076,213       -       -       234,076,213  
Total
   $ 234,076,213     $ -     $ 187,428,939     $ 421,505,152  
 
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

   
Co-Investments
    
Direct Investments
    
Primary Investments
    
Secondary
Investments
    
Total
  
As of April 1, 2014
   $ 2,711,772     $ -     $ 9,832,058     $ 85,785,125     $ 98,328,955  
Gross Contributions
     3,513,536       3,000,000       7,695,878       82,485,722       96,695,136  
Gross Distributions
     -       -       (10,470 )     (17,898,318 )     (17,908,788 )
Realized Gain/Loss
     -       -       -       1,172,846       1,172,846  
Unrealized Appreciation /
(Depreciation)
     (567,229 )     -       70,456       9,637,563       9,140,790  
As of June 30, 2014
   $ 5,658,079     $ 3,000,000     $ 17,587,922     $ 161,182,938     $ 187,428,939  
 
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 as of June 30, 2014.

The amount of the net change in unrealized appreciation/(depreciation) for the period ended June 30, 2014 relating to investments in Level 3 assets still held at June 30, 2014 is $9,140,790.

 
 
 
 
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 Private Equity Master Fund, LLC
  
     
By (Signature and Title)*
/s/ Mitchell A. Tanzman
  
 
Mitchell A. Tanzman
  
 
(Principal Executive Officer)
  
     
Date
August 29, 2014
  

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 29, 2014  
     
By (Signature and Title)*
/s/ Michael Mascis
  
 
Michael Mascis
  
 
(Principal Financial Officer)
  
     
Date
August 29, 2014  
 
* Print the name and title of each signing officer under his or her signature.