N-Q 1 fp0021268_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 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, 2016

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, 100 F Street, NE, 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 Master Fund, LLC 
Consolidated Schedule of Investments (Unaudited) 
June 30, 2016  
        
 
 Geographic
Region
  
Cost
    
Fair Value
  
Investment Funds - 64.22%
              
Co-Investments - 5.67%
              
Carlyle ECI Coinvestment, L.P. a
North America
  
$
3,015,557
    
$
3,545,672
  
Carlyle Havasu Coinvestment, L.P. a
North America
    
7,235,350
      
6,796,626
  
Carlyle Interlink Coinvestment, L.P. a
North America
    
3,429,322
      
1,885,423
  
Carlyle RDSL Coinvestment, L.P. a
South America
    
13,527,438
      
19,149,796
  
Carlyle Sapphire Partners, L.P. a
North America
    
9,180,000
      
8,997,847
  
CSP III Canaveral Co-investment (Cayman), L.P. a
North America
    
4,128,441
      
5,077,873
  
CSP III Magellan Co-investment (Cayman), L.P. a
North America
    
4,082,566
      
2,140,021
  
Riverstone Fieldwood Fund, L.P. a
North America
    
305,477
      
349,725
  
Total Co-Investments
      
44,904,151
      
47,942,983
  
                   
Primary Investments - 10.68%
                  
Carlyle Asia Partners IV, L.P. a
Asia/Pacific
    
30,783,870
      
28,740,353
  
Carlyle Europe Technology Partners III, L.P. a
Europe
    
7,478,714
      
7,653,805
  
Carlyle Global Financial Services Partners II, L.P. a
Global
    
22,963,920
      
21,074,876
  
Carlyle International Energy Partners, L.P. a
Global
    
7,116,987
      
7,488,577
  
Carlyle Partners VI, L.P. a
North America
    
10,122,811
      
11,034,065
  
Carlyle Strategic Partners III, L.P. a
North America
    
9,686,478
      
9,171,743
  
JLL Partners Fund VII, L.P. a
North America
    
5,824,202
      
5,089,365
  
Total Primary Investments
      
93,976,982
      
90,252,784
  
                   
Secondary Investments - 47.87%
                  
Brazil Buyout Coinvestment, L.P. a
South America
    
199,496
      
215,486
  
Carlyle Asia Growth Partners III, L.P. a
Asia/Pacific
    
2,985,471
      
1,731,023
  
Carlyle Asia Growth Partners III Coinvestment, L.P. a
Asia/Pacific
    
172,431
      
289,070
  
Carlyle Asia Growth Partners IV, L.P. a
Asia/Pacific
    
36,712,591
      
38,585,805
  
Carlyle Asia Growth Partners IV Coinvestment, L.P. a
Asia/Pacific
    
1,657,257
      
1,633,581
  
Carlyle Asia Partners II, L.P. a
Asia/Pacific
    
7,749,340
      
5,133,421
  
Carlyle Asia Partners II Coinvestment, L.P. a
Asia/Pacific
    
3,806,973
      
1,736,864
  
Carlyle Asia Partners III, L.P. a
Asia/Pacific
    
7,964,516
      
15,950,255
  
Carlyle Asia Partners III Coinvestment, L.P. a
Asia/Pacific
    
1,029,660
      
1,340,034
  
Carlyle Europe Partners II, L.P. a
Europe
    
3,165,396
      
1,784,072
  
Carlyle Europe Partners II Coinvestment, L.P. a
Europe
    
1,394,799
      
902,523
  
Carlyle Europe Partners II Investment Holdings, L.P. - Ensus II a
Europe
    
176,983
      
75,053
  
Carlyle Europe Partners III, L.P. a
Europe
    
4,462,161
      
4,496,783
  
Carlyle Europe Partners III Investment Holdings, L.P. a
Europe
    
6,345,118
      
7,014,594
  
Carlyle Europe Technology Partners, L.P. a
Europe
    
-
      
488,384
  
Carlyle Europe Technology Partners Coinvestment, L.P. a
Europe
    
11,362
      
18,228
  
Carlyle Europe Technology Partners II Coinvestment, L.P. a
Europe
    
325,471
      
404,321
  
Carlyle Global Financial Services Partners, L.P. a
Global
    
43,001,140
      
65,492,303
  
Carlyle Global Financial Services Partners Coinvestment, L.P. a
Global
    
1,045,371
      
1,157,058
  
Carlyle Global Financial Services Partners II Coinvestment, L.P. a
Global
    
35,118
      
270,029
  
Carlyle Infrastructure Partners, L.P. a
North America
    
30,402,479
      
32,998,601
  
Carlyle Japan Partners Coinvestment, L.P. a
Asia/Pacific
    
175,751
      
291,310
  
Carlyle Japan Partners II Coinvestment, L.P. a
Asia/Pacific
    
1,311,467
      
1,046,011
  
Carlyle Mezzanine Partners II, L.P. a
North America
    
11,003,286
      
12,565,394
  
Carlyle Partners IV, L.P. a
North America
    
-
      
3,288,346
  
Carlyle Partners IV Coinvestment, L.P. a
North America
    
665,518
      
495,887
  
Carlyle Partners IV Coinvestment (Cayman), L.P. a
North America
    
489,030
      
593,460
  
Carlyle Partners V, L.P. a
North America
    
94,272,611
      
92,576,704
  
Carlyle Partners V Coinvestment, L.P. a
North America
    
7,020,276
      
5,080,703
  
Carlyle Partners V Coinvestment (Cayman), L.P. a
North America
    
2,464,438
      
1,739,206
  
Carlyle Partners VI Coinvestment A, L.P. a
North America
    
56,964
      
202,913
  
Carlyle Partners VI Coinvestment A (Cayman), L.P. a
North America
    
317,606
      
347,831
  
Carlyle/Riverstone Global Energy and Power Fund II a
North America
    
944,272
      
753,912
  
Carlyle/Riverstone Global Energy and Power Fund III a
North America
    
4,202,730
      
2,443,315
  
Carlyle Strategic Partners II, L.P. a
North America
    
15,602,373
      
14,203,365
  
Carlyle Strategic Partners II Coinvestment, L.P. a
North America
    
1,126,294
      
496,193
  
Carlyle Strategic Partners III Coinvestment, L.P. a
North America
    
455,895
      
287,160
  
Carlyle U.S. Equity Opportunity Fund a
North America
    
1,328,919
      
1,240,319
  
Carlyle U.S. Equity Opportunity Fund Coinvestment, L.P. a
North America
    
125,493
      
140,022
  
Carlyle Venture Partners II Coinvestment, L.P. a
North America
    
247,931
      
474,620
  
Carlyle Venture Partners III Coinvestment, L.P. a
North America
    
402,855
      
354,960
  
Cerberus International SPV, Ltd. Class g-8 a
North America
    
8,386,693
      
9,386,755
  
JLL Partners Fund V, L.P. a
North America
    
23,378,251
      
22,230,165
  
MENA Coinvestment, L.P. a
North America
    
457,604
      
508,748
  
Mexico Coinvestment, L.P. a
North America
    
3,020
      
117,362
  
Newport Global Opportunities Fund, L.P. a
North America
    
30,441,716
      
34,918,161
  
Riverstone/Carlyle Global Energy and Power Fund IV a
North America
    
9,687,103
      
6,871,221
  
Riverstone/Carlyle Renewable and Alternative Energy Fund II, L.P. a
North America
    
757,673
      
709,916
  
Riverstone Global Energy and Power Fund V a
North America
    
11,497,044
      
9,620,893
  
Total Secondary Investments
      
379,465,946
      
404,702,339
  
Total Investment Funds
    
$
518,347,079
    
$
542,898,106
  
 
 
CPG Carlyle Master Fund, LLC
Consolidated Schedule of Investments (Unaudited) (Continued)
June 30, 2016
 
 
 Geographic
Region
  
Cost
    
Fair Value
  
Direct Investments - 0.23%
              
Interlink Maritime Corp.
North America
  
$
3,414,224
    
$
1,911,965
  
Total Direct Investments
      
3,414,224
      
1,911,965
  
Total Investments
    
$
521,761,303
    
$
544,810,071
  
                   
Short-Term Investments - 39.22%
                  
Fidelity Institutional Money Market Portfolio, Class I, 0.30% b
      
91,074,997
      
91,074,997
  
Fidelity Institutional Prime Money Market Portfolio, Class I, 0.48% b
      
60,106,905
      
60,106,905
  
Goldman Sachs Financial Square Money Market Fund, Class I, 0.43% b
      
60,123,211
      
60,123,211
  
Morgan Stanley Institutional Liquidity Fund, Class I, 0.26% b
      
47,046
      
47,046
  
Wells Fargo Advantage Cash Investment Money Market Fund, Class Select, 0.43% b
    
60,122,751
      
60,122,751
  
Wells Fargo Advantage Heritage Money Market Fund, Class Select, 0.43% b
    
60,122,638
      
60,122,638
  
Total Short-Term Investments
    
$
331,597,548
    
$
331,597,548
  
                   
Total Investments - 103.67%
    
$
853,358,851
    
$
876,407,619
  
Liabilities in excess of other assets - (3.67%)
              
(31,004,076
)
Net Assets - 100.00%
            
$
845,403,543
  

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, 2016.

Investments as of June 30, 2016
Private Equity Type
 
Percent of Total
Net Assets
Investment Funds
    
   Co-Investments
  
5.67%
   Primary Investments
  
10.68%
   Secondary Investments
  
47.87%
Total Investment Funds
  
64.22%
Direct Investments
  
0.23%
Total Direct Investments
  
0.23%
Short-Term Investments
  
39.22%
Total Short-Term Investments
39.22%
Total Investments
  
103.67%
Liabilities in excess of other assets
(3.67)%
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 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”). 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 private equity Investment Funds are generally restricted securities that are subject to substantial holding periods and are not traded in public markets. As such, the Master Fund may not be able to resell some of its investments for extended periods which may be several years. Investment Funds subject to substantial holding periods are classified as Level 3 assets.
 
 
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.

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 Board’s 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.

In May 2015 the FASB issued Accounting Standards Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), modifying Accounting Standards Codification 946 Financial Services – Investment Companies. Under the modifications, investments in affiliated and private investment funds valued at NAV are no longer included in the fair value hierarchy. The Master Fund elected to early adopt and retroactively apply ASU 2015-07. As a result of adopting ASU 2015-07, investments in Investment Funds with a fair value of $542,898,106 are excluded from the fair value hierarchy as of June 30, 2016.

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, 2016:

Investments
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Direct Investments
  
$
-
    
$
-
    
$
1,911,965
    
$
1,911,965
  
Short-Term Investments
    
331,597,548
      
-
      
-
      
331,597,548
  
Total
  
$
331,597,548
    
$
-
    
$
1,911,965
    
$
333,509,513
  
   
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
  
   
                   
Direct
Investments
    
Total
  
Balance as of April 1, 2016
                  
$
1,500,000
    
$
1,500,000
  
Gross Contributions
                    
414,224
      
414,224
  
Gross Distributions
                    
-
      
-
  
Realized Gain
                    
-
      
-
  
Unrealized Appreciation/(Depreciation)
                    
(2,259
)
    
(2,259
)
Balance as of June 30, 2016
                  
$
1,911,965
    
$
1,911,965
  

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, 2016.

The amount of the net change in unrealized appreciation/(depreciation) for the period ended June 30, 2016 relating to investments in Level 3 assets still held at June 30, 2016 is $(2,259).
 
 
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)
Therewere 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 Master Fund, LLC
  
 
      
By (Signature and Title)*   /s/ Mitchell A. Tanzman  
   
Mitchell A. Tanzman
  
   
(Principal Executive Officer)
  
       
Date
  
August 29, 2016
  
 
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, 2016
  
       
By (Signature and Title)*   /s/ Michael Mascis  
   
Michael Mascis
  
   
(Principal Financial Officer)
  
       
Date
  
August 29, 2016
  

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