N-Q 1 d588165dnq.htm AMG PANTHEON MASTER FUND, LLC AMG PANTHEON MASTER FUND, LLC

 

 

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: 811-22972

 

 

AMG PANTHEON MASTER FUND, LLC

(Exact name of registrant as specified in charter)

 

 

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip code)

AMG Funds LLC

600 Steamboat Road, Suite 300, Greenwich, Connecticut 06830

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (203) 299-3500

Date of fiscal year end: March 31st

Date of reporting period: June 30, 2018 (1st Quarter End Portfolio Holdings)

 

 

 


Item 1. SCHEDULE OF INVESTMENTS.

 


AMG Pantheon Master Fund, LLC

Schedule of Investments

June 30, 2018 (unaudited)

 

 

 

     Initial               
     Acquisition               
     Date      Shares     Value  

Co-Investments - 49.4%

       

ACOF IV ATD Co-Invest LP (Consumer Discretionary)(a),(b),*

     02/27/2015        (c)     $ 150,000  

Altas MED Blocker I, LLC (Consumer Discretionary)(a),(b),*

     08/11/2015        (c)       768,486  

AP VIII Prime Security Services Holdings, L.P. (Industrials)*

     04/26/2016        (c)       2,108,412  

CB Ignite Holdings, LLC (Consumer Discretionary)(a),(b),*

     08/12/2016        (c)       1,716,389  

Diamond LS I LP (Financials)(a),*

     12/28/2016        (c)       3,327,412  

Digital Bridge Small Cell Holdings, LLC (Information Technology)(a),(b),*

     11/06/2015        26       433,116  

Digital Bridge U.S. Tower Holdings, LLC (Telecommunication Services)(a),(b),*

     11/03/2014        50       677,616  

EQT Deck Co-Investment Limited Partnership (Industrials)(a),(b),*

     02/03/2017        (c)       2,703,507  

ESCP PPG Holdings, LLC (Industrials)(a),(b),*

     12/14/2016        2,171,429       2,272,391  

Incline B Aviation Aladdin Co-Investment Limited Partnership (Industrials)(a),(b),*

     06/26/2018        (c)       2,412,587  

LEP Prelude Co-Invest, L.P. (Healthcare)(a),(b),*

     07/05/2017        (c)       1,473,185  

Palermo TT Holdings, Inc. (Information Technology)(b),*

     12/12/2014        357       1,452,169  

PSG LM Co-Investors L.P. (Information Technology)(a),*

     05/24/2016        (c)       2,474,530  

PSG Toro Co-Investors L.P. (Information Technology)(a),*

     12/08/2015        (c)       1,180,617  

Quantum Parallel Partners VI-C(A), LP (Energy)(a),*

     10/16/2015        (c)       213,134  

SDA Investors Group, LLC (Healthcare)(a),(b),*

     08/03/2017        (c)       2,033,760  

Shamrock RB Co-Invest, LLC (Consumer Discretionary)(a),(b),*

     07/30/2015        (c)       1,190,240  

SPC RP Investor, LLC (Industrials)(b),*

     05/26/2015        (c)       464,400  

SYFS Co-INVEST, LLC (Healthcare)(a),*

     09/01/2017        (c)       1,961,164  

T-VI Co-Invest-A (Financials)(b),*

     08/12/2015        (c)       558,157  

T-VII Mitchell/Genex Co-Invest, L.P. (Healthcare)(a),(b),*

     06/28/2018        (c)       2,619,767  

 

 

 

1


AMG Pantheon Master Fund, LLC

Schedule of Investments (continued)

 

 

 

     Initial               
     Acquisition               
     Date      Shares     Value  

Co-Investments - 49.4% (continued)

       

TKC Investment Holdings, LLC (Consumer Discretionary)(a),*

     10/12/2016        (c)     $ 3,899,154  

TPG VII Renown Co-Invest I, L.P. (Consumer Stationary)(a),*

     05/09/2018        (c)       1,411,853  

TVG-I-E-AEG Holdings (Consumer Discretionary)(a),*

     01/27/2017        (c)       3,034,792  

VP Parent Holdings, Inc. (Growth Equity)(a),(b),*

     02/19/2016        599,711       4,969,257  

WP-LH Co-Invest, L.P. (Materials)(a),(b),*

     06/25/2015        (c)       262,172  

Total Co-Investments

          45,768,267  

Primary Private Investment Funds - 1.8%

       

Banc Fund IX L.P.(a),*

     01/19/2016        (c)       159,807  

BroadRiver III, L.P.(a),(b),*

     03/27/2018        (c)       151,873  

Calera Capital Partners V L.P.*

     04/25/2016        (c)       45,925  

GSO Capital Opportunities Fund III, L.P.*

     09/22/2016        (c)       484,607  

Incline Aviation I(b),*

     03/09/2017        (c)       812,584  

Total Primary Private Investment Funds

          1,654,796  

Secondary Private Investment Funds - 4.0%

       

1901 Partners LP(a),*

     07/16/2015        (c)       587,917  

Ares Corporate Opportunities Fund IV, L.P.(b),*

     04/13/2017        (c)       2,015,165  

Banc Fund VII L.P.(a),*

     12/31/2015        (c)       75,069  

Banc Fund VIII L.P.(a),*

     12/31/2015        (c)       111,897  

Calera Capital Partners IV L.P.*

     04/04/2016        (c)       131,622  

Francisco Partners III, L.P.*

     01/05/2015        (c)       158,147  

Providence Equity Partners VI, L.P.*

     12/12/2014        (c)       216,975  

TPG Partners V, L.P.*

     10/31/2015        (c)       15,347  

TPG Partners VI, L.P.*

     10/31/2015        (c)       400,555  

Welsh, Carson, Anderson & Stowe X L.P.(a),(b),*

     12/31/2015        (c)       3,518  

Total Secondary Private Investment Funds

          3,716,212  

Exchange Traded Fund - 43.4%

       

SPDR® S&P 500 ETF Trust(1)

        148,378       40,251,984  

 

 

 

2


AMG Pantheon Master Fund, LLC

Schedule of Investments (continued)

 

 

 

     Shares      Value  

Short-Term Investments - 1.4%

     

Other Investment Companies - 1.4%

     

Dreyfus Government Cash Management Fund, Institutional Class, 1.81%(2)

     319,145      $ 319,145  

Goldman Sachs Financial Square Government Fund, Institutional Class, 1.82%(2)

     319,141        319,141  

JPMorgan U.S. Government Money Market Fund, IM Class, 1.84%(2)

     319,143        319,143  

Morgan Stanley Institutional Liquidity Funds Government Portfolio, Institutional Class, 1.81%(2)

     319,141        319,141  

Total Other Investment Companies

        1,276,570  

Total Investments - 100.0% (cost $77,366,823)

        92,667,829  

Other Assets, less Liabilities - 0.0%(3)

        (33,997

Net Assets - 100.0%

      $ 92,633,832  

Cost of Investments by asset type is as follows:

 

Co-Investments

   $ 34,079,870  

Primary Private Investment Funds

     1,508,701  

Secondary Private Investment Funds

     3,966,579  

Exchange Traded Fund

     36,535,103  

Short-Term Investments

     1,276,570  
  

 

 

 

Total

   $ 77,366,823  
  

 

 

 

 

(a)

Non-income producing.

(b)

The investment’s value was determined using significant unobservable inputs.

(c)

Investment does not issue shares.

(1)

A copy of the security’s annual report to shareholders may be obtained without charge on the SEC’s website (http://www.sec.gov).

(2)

Yield shown represents the June 30, 2018, seven-day average yield, which refers to the sum of the previous seven days’ dividends paid, expressed as an annual percentage.

(3)

Less than 0.05%.

SPDR Standard & Poor’s depositary receipt

S&P Standard & Poor

ETF Exchange-traded fund

 

 

 

3


AMG Pantheon Master Fund, LLC

Schedule of Investments (continued)

 

 

 

*

Investment is issued in a private placement offering and is restricted to resale. Each investment may have been purchased on various dates and for different amounts. The date of the first purchase is reflected under Initial Acquisition Date as shown in the Schedule of Investments. As of June 30, 2018, the aggregate cost of each investment restricted to resale was $500,000, $557,059, $1,569,292, $1,295,640, $2,931,930, $311,567, $515,329, $1,779,735, $2,174,345, $2,412,587, $1,610,238, $282,892, $1,153,003, $497,203, $174,335, $3,040,369, $500,447, $424,164, $1,964,764, $316,480, $2,619,767, $1,551, $1,412,158, $2,729,495, $3,042,358, $263,162, $125,416, $171,669, $35,382, $463,083, $713,151, $432,801, $2,080,450, $37,547, $83,507, $153,060, $134,008, $318,596, $39,483, $541,025 and $146,102, respectively, totaling $39,555,150.

 

 

 

4


AMG Pantheon Master Fund, LLC

Notes to Schedule of Investments

June 30, 2018 (unaudited)

 

 

 

The following table summarizes the inputs used to value AMG Pantheon Master Fund, LLC’s (the “Master Fund”) investments by the fair value hierarchy levels as of June 30, 2018:

 

                          Investments         
                          Valued at         
     Level 1      Level 2      Level 3      NAV      Total  

Investments

              

Co-Investments

     —          —        $ 26,157,199      $ 19,611,068      $ 45,768,267  

Primary Private Investment Funds

     —          —          964,457        690,339        1,654,796  

Secondary Private Investment Funds

     —          —          2,018,683        1,697,529        3,716,212  

Exchange Traded Fund

   $ 40,251,984        —          —          —          40,251,984  

Short-Term Investments

              

Other Investment Companies

     1,276,570        —          —          —          1,276,570  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 41,528,554      $ —        $ 29,140,339      $ 21,998,936      $ 92,667,829  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

As of June 30, 2018, the Master Fund had no transfers between level 1 and level 2 from the beginning of the reporting period.

The reconciliation of Level 3 investments is presented when the Master Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

                  Secondary        
           Primary Private      Private        
           Investment      Investment        
     Co-Investments     Funds      Funds     Total  

Balance as of March 31, 2018

   $ 32,336,995     $ 266,383      $ 1,981,328     $ 34,584,706  

Purchases

     5,101,051       629,448        35,960       5,766,459  

Sales & Distributions

     (5,507,130     —          (71,966     (5,579,096

Transfers into Level 3

     1,077,197       66,605        —         1,143,802  

Transfers out of Level 3

     (7,924,442     —          —         (7,924,442

Net realized gain

     3,153,013       —          48,731       3,201,744  

Net change in unrealized appreciation/depreciation

     (2,079,485     2,021        24,630       (2,052,834
  

 

 

   

 

 

    

 

 

   

 

 

 

Balance as of June 30, 2018

   $ 26,157,199     $ 964,457      $ 2,018,683     $ 29,140,339  
  

 

 

   

 

 

    

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation on investments held at June 30, 2018

   $ 1,073,527     $ 2,021      $ 24,630     $ 1,100,178  

 

 

 

5


AMG Pantheon Master Fund, LLC

Notes to Schedule of Investments (continued)

 

 

The following table summarizes the quantitative inputs and assumptions used for items categorized in Level 3 of the fair value hierarchy as of June 30, 2018. The table below is not intended to be all inclusive, but rather provides information on the significant Level 3 inputs as they relate to the Master Fund’s fair value measurements:

 

    Fair Value as of
June 30, 2018
   

Valuation

Techniques

 

Unobservable

Inputs

 

Ranges

Co-Investments

  $ 9,150,365     Transaction Activity   Adjusted Net Asset Value   n/a

Co-Investments

    6,421,426     Transaction Activity   Sale Price   n/a

Co-Investments

    5,032,354     Transaction Activity   Recent Transaction Price   n/a

Co-Investments

    4,292,322     Third Party Valuation   Adjusted Net Asset Value   n/a

Co-Investments

    1,110,732     Third Party Valuation   Earnings Multiple   1.9-25.7

Co-Investments

    150,000     Enterprise Value   Earnings Multiple   12.1

Primary Private Investment Funds

    812,584     Transaction Activity   Adjusted Net Asset Value   n/a

Primary Private Investment Funds

    151,873     Third Party Valuation   Adjusted Net Asset Value   n/a

Secondary Private Investment Funds

    2,018,683     Third Party Valuation   Adjusted Net Asset Value   n/a
 

 

 

       

Total

  $ 29,140,339        
 

 

 

       

FAIR VALUE MEASUREMENTS

Equity securities traded on a domestic or international securities exchange are valued at the last quoted sale price, or, lacking any sales, at the last quoted bid price. Equity securities traded on an international securities exchange and equity securities traded on NASDAQ or in a U.S. or non-U.S. over-the-counter market are valued at the market’s official closing price, or, if there are no trades on the applicable date, at the last quoted bid price. In addition, if the applicable market does not offer an official closing price or if the official closing price is not representative of the overall market, equity securities traded on an international securities exchange and equity securities traded in a non-U.S. over-the counter market are valued at the last quoted sales price. The Master Fund’s listed equity investments are generally valued based on independent market quotations or prices or, if none, “evaluative” or other market based valuations provided by third-party pricing services approved by the Master Fund’s Board of Directors (the “Board”).

For direct investments and certain co-investments in portfolio companies, the Board uses the market approach to estimate the fair value of private investments. The market approach utilizes prices and other relevant information generated by market transactions, type of security, size of the position, degree of liquidity, restrictions on the disposition, latest round of financing data, current financial position and operating results, among other factors.

 

 

 

6


AMG Pantheon Master Fund, LLC

Notes to Schedule of Investments (continued)

 

 

 

Private equity investments, including primary and secondary investments in private equity, infrastructure and other private asset funds (“Investment Funds”) and certain co-investments are generally based on the valuations provided by the general partners or managers of underlying fund investments as of the date investments are valued. If a valuation provided by general partners or managers of the underlying fund investments are not available as of the date investments are valued, the Master Fund will value the Investment Fund or co-investment using the latest valuation provided by the general partners or managers of the underlying fund investments adjusted for transaction and market activity, if applicable.. The valuations provided by the general partners or managers typically reflect the fair value of the Master Fund’s capital account balance of each Investment Fund, including unrealized gains and losses, as reported in the financial statements of the respective Investment Fund. In reviewing these underlying valuations, the Board is advised by the Valuation Committee of Pantheon Ventures (US) LP (the “Investment Manager”), who reviews the capital account balances and may adjust the value of each Master Fund investment.

Short-term debt obligations (debt obligations with maturities of one year or less at the time of issuance) that have 60 days or less remaining until maturity will be valued at amortized cost, provided that the amortized cost value is approximately the same as the fair value of the security valued without the use of amortized cost. Investments in other open-end regulated investment companies are valued at their end of day net asset value per share.

The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized in the future, since such amounts depend on future developments inherent in long-term investments. Because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. The Board is presented with a monthly analysis showing, all outstanding securities fair valued by the Investment Manager, including a comparison with the prior month end and the percentage of the Master Fund that the security represents at each month end.

Accounting principles generally accepted in the United States of America (“U.S. GAAP”) defines fair value as the price that a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements 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 observability of the inputs which are significant to the overall valuation.

 

 

 

7


AMG Pantheon Master Fund, LLC

Notes to Schedule of Investments (continued)

 

 

 

The three-tier hierarchy of inputs is summarized below:

Level 1 – inputs are quoted prices in active markets for identical investments (e.g., listed equity securities, open-end investment companies)

Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities with observable inputs)

Level 3 – inputs are significant unobservable inputs (including the Master Fund’s own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)

Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period.

INVESTMENTS IN PRIVATE EQUITY AND INVESTMENT FUNDS

Private equity investments are typically made in non-public companies through privately negotiated transactions. Private equity investments may be structured using a range of financial instruments, including common and preferred equity, convertible securities, subordinated debt and warrants or other derivatives.

Investment Funds, often organized as limited partnerships, are the most common vehicles for making private equity investments. In such Investment Funds, investors usually commit to provide up to a certain amount of capital when requested by the Investment Fund’s manager or general partner. The general partner then makes private equity investments on behalf of the Investment Fund. The Investment Fund’s investments are usually realized, or “exited” after a three- to seven-year holding period through a private sale, an initial public offering (IPO) or a recapitalization. Proceeds of such exits are then distributed to the Investment Fund’s investors. The Investment Funds themselves typically have a term of ten to twelve years. The Investment Funds in which the Master Fund invests may charge a management fee of 1.00% - 2.00% and approximately 20% of net profits as a carried interest allocation, subject to a preferred return and a claw back. Detailed information about the Investment Funds’ portfolios is not publically available.

 

 

 

8


AMG Pantheon Master Fund, LLC

Notes to Schedule of Investments (continued)

 

 

 

Some of the investments that the Investment Manager will consider with respect to the Master Fund include:

 

   

Primary Private Investment Funds: Primary investments (primaries) are interests or investments in newly established Investment Funds that are typically acquired by way of subscription during their fundraising period. Primary investors subscribe for interests during an initial fundraising period, and their capital commitments are then used to fund investments in a number of individual operating companies during a defined investment period. The investments of the fund are usually unknown at the time of commitment, and investors typically have little or no ability to influence the investments that are made during the fund’s life.

 

   

Secondary Private Investment Funds: Secondary investments (secondaries) are interests in existing private equity funds that are typically acquired from existing investors in such Investment Funds in privately negotiated transactions, typically after the end of the private equity fund’s fundraising period.

 

   

Direct Investments/Co-Investments: Direct investments involve acquiring (directly or indirectly) an interest in securities issued by an operating company. Co-investments represent opportunities to separately invest in specific portfolio companies that are otherwise represented in an Investment Fund. Such investments are typically made as co-investments alongside Investment Funds, and are usually structured such that the lead investor holds a controlling interest. Co-investments are typically offered to Investment Fund investors when the Investment Fund manager believes that there is an attractive investment for the Investment Fund but the total size of the potential holding exceeds the targeted size for the Investment Fund. Direct investments and co-investments, unlike investments in Investment Funds, generally do not bear an additional layer of fees or bear significantly reduced fees.

 

 

 

9


AMG Pantheon Master Fund, LLC

Notes to Schedule of Investments (continued)

 

 

 

A listing of the Co-Investments, Primary Private Investment Funds and Secondary Private Investment Funds held by the Master Fund and their attributes, as of June 30, 2018, are shown in the table below.

 

Investment           Unfunded      Remaining      Redemption      Notice      Redemption  

Category

   Fair Value      Commitments      life*      frequency      (In days)      Restrictions  

Buyout (a)

   $ 27,463,312      $ 25,884,789        1-10 years        Not Redeemable        N/A        N/A  

Core Plus (b)

   $ 3,136,623      $ 2,078,565        N/A        Not Redeemable        N/A        N/A  

Generalist (c)

   $ 2,015,165      $ 2,163,538        5-7 years        Not Redeemable        N/A        N/A  

Growth Equity (d)

   $ 11,121,978      $ 9,196,869        1-6 years        Not Redeemable        N/A        N/A  

Real Assets (e)

   $ 3,225,171      $ 3,120,185        10-13 years        Not Redeemable        N/A        N/A  

Special Situations (f)

   $ 4,177,026      $ 3,829,742        9-12 years        Not Redeemable        N/A        N/A  

 

(a) 

Funds that acquire controlling interests in companies with a view towards later selling those companies or taking them public.

(b) 

Funds that generally invest in long-term assets that provide stable cash flows with growth initiatives.

(c) 

Funds that invests across a broad range of sectors.

(d) 

Funds that invest in later-stage, pre-IPO companies.

(e) 

Private equity funds that generally invest in Hard Assets and Commodities.

(f) 

Particular circumstances that influence investment based on the situation, rather than its underlying fundamentals.

*

Co-Investments do not have contractual lives and generally terminate after the underlying investment is sold. Years shown below are reflected of the remaining lives of Primary Private Investment Funds and Secondary Private Investment Funds.

 

 

 

 

10


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 has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached as Exhibit 99.CERT

 


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.

 

AMG PANTHEON MASTER FUND, LLC

By:   /s/ Keitha L. Kinne

Keitha L. Kinne, Principal Executive Officer

Date: August 29, 2018

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:   /s/ Keitha L. Kinne

Keitha L. Kinne, Principal Executive Officer

Date: August 29, 2018

 

By:   /s/ Thomas Disbrow

Thomas Disbrow, Principal Financial Officer

Date: August 29, 2018