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CPG Carlyle Commitments Master Fund, LLC

 

(formerly CPG Carlyle Master Fund, LLC)

 

Consolidated Financial Statements
(Unaudited)

 

For the Period from April 1, 2017
to September 30, 2017

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CPG Carlyle Commitments Master Fund, LLC

 

Table of Contents
For the Period from April 1, 2017 to September 30, 2017 (Unaudited)

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Schedule of Investments (Unaudited)
September 30, 2017

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Schedule of Investments (Unaudited) (Continued)
September 30, 2017

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Schedule of Investments (Unaudited) (Continued)
September 30, 2017

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Schedule of Investments (Unaudited) (Continued)
September 30, 2017

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a	Investments have no redemption provisions, are issued in private placement transactions and are restricted as to resale.

 

b	Non-income producing security.

 

c	The rate shown is the annualized 7-day yield as of September 30, 2017.

 

Investments as of September 30, 2017

 

 

See accompanying notes to financial statements.

 

4

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Statement of Assets and Liabilities (Unaudited)
September 30, 2017

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See accompanying notes to financial statements.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Statement of Operations (Unaudited)
For the Period Ended September 30, 2017

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See accompanying notes to financial statements.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Statements of Changes in Net Assets

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See accompanying notes to financial statements.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Statement of Cash Flows (Unaudited)
For the Period Ended September 30, 2017

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See accompanying notes to financial statements.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Financial Highlights

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*	Commencement of operations.

 

(1)	Annualized for periods less than one full year.

 

(2)	Represents the ratio of expenses to average net assets absent fee waivers, expense reimbursement and/or expense recoupment by the advisor.

 

(3)	Included in the above ratio are other expenses of 0.20% as of September 30, 2017, 0.23% as of March 31, 2017, 0.25% as of March 31, 2016, 0.23% as of March 31, 2015 and 0.70% as of March 31, 2014.

 

(4)	Not annualized.

 

(5)

Total investment return reflects the changes in net asset value based on the effects of the performance of the Master Fund during the year/period and adjusted for cash flows related to capital contributions during the year/period. Total returns shown exclude the effect of applicable sales charges and redemption fees.

 

See accompanying notes to financial statements.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited)
September 30, 2017

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1.	ORGANIZATION

 

CPG Carlyle Commitments Master Fund, LLC (the “Master Fund”) was organized as a Delaware limited liability company on October 23, 2012. The Master Fund is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as a closed-end, non-diversified management investment company. The Master Fund commenced operations on June 1, 2013. CPG TCG Acquisition Fund, LLC (“CPG TCG”), a wholly owned entity, is consolidated in the Master Fund’s financial statements. The Master Fund’s investment adviser is Central Park Advisers, LLC (the “Adviser”), a Delaware limited liability company registered under the Investment Advisers Act of 1940, as amended. The Master Fund’s investment objective is to seek attractive long-term capital appreciation. The Master Fund seeks to achieve its investment objective by investing predominantly (under normal circumstances, generally at least 80% of its assets) in the multiple alternative investment funds (“Investment Funds”), Co-Investments and direct investments (“Direct Investments”) sponsored by, or affiliated with, The Carlyle Group L.P. and its affiliates (“Carlyle”) with an emphasis on private equity funds. Effective March 22, 2017 the Master Fund changed its name from CPG Carlyle Master Fund, LLC.

 

Subject to the requirements of the 1940 Act, the business and affairs of the Master Fund shall be managed under the direction of the Master Fund’s Board of Directors (the “Board,” with an individual member referred to as a “Director”). The Board shall have the right, power and authority, on behalf of the Master Fund and in its name, to do all things necessary and proper to carry out its duties under the Master Fund’s Limited Liability Company Agreement, as amended and restated from time to time. Each Director shall be vested with the same powers, authority and responsibilities on behalf of the Master Fund as are customarily vested in each director of a Delaware corporation, and each Director who is not an “interested person” (as defined in the 1940 Act) of the Master Fund shall be vested with the same powers, authority and responsibilities on behalf of the Master Fund as are customarily vested in each director of a closed-end management investment company registered under the 1940 Act that is organized as a Delaware corporation who is not an “interested person” of such company. No Director shall have the authority individually to act on behalf of or to bind the Master Fund except within the scope of such Director’s authority as delegated by the Board. The Board may delegate the management of the Master Fund’s day-to-day operations to one or more officers or other persons (including, without limitation, the Adviser), subject to the investment objective and policies of the Master Fund and to the oversight of the Board. The Directors have engaged the Adviser to provide investment advice regarding the selection of Investment Funds and to be responsible for the day-to-day management of the Master Fund.

 

The Master Fund is a master investment portfolio in a master-feeder structure. CPG Carlyle Commitments Fund, LLC (the “Feeder Fund”) invests substantially all of its assets in the limited liability company interests (“Interests”) of the Master Fund. As of September 30, 2017, the Feeder Fund owns 100.00% of the Master Fund’s Interests with the Adviser owning an amount which rounded to less than 0.00%.

 

Interests are generally offered as of the first business day of each calendar month. Purchase proceeds do not represent the Master Fund’s capital or become the Master Fund’s assets until the first business day of the relevant calendar month.

 

The Master Fund’s term is perpetual unless it is otherwise dissolved under the terms of its formation documents.

 

2.	SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

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.

 

The following is a summary of significant accounting policies followed by the Master Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

 

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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2.	SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

 

The Master Fund has adopted a tax year end of September 30. The Master Fund files tax returns as prescribed by the tax laws of the jurisdictions in which it operates. In the normal course of business, the Master Fund is subject to examination by U.S. federal, state, local and foreign jurisdictions, where applicable. As of September 30, 2017, the tax years from the year 2015 forward remain subject to examination by the major tax jurisdictions under the statute of limitations.

 

Management evaluates the tax positions taken or expected to be taken in the course of preparing the Master Fund’s tax returns to determine whether the tax positions will “more-likely-than-not” be sustained upon examination by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold and that would result in a tax benefit or expense to the Master Fund would be recorded as a tax benefit or expense in the current year. The Master Fund has not recognized any tax liability for unrecognized tax benefits or expenses. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period ended September 30, 2017, the Master Fund did not incur any interest or penalties.

 

 

 

 

 

 

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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3.	PORTFOLIO VALUATION

 

Fair value is defined as the value that the Master 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 valuing 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:

 

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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.

 

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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.

 

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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:

 

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 co-investments. Co-investments (the “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 holding periods greater than one year are classified as Level 3 assets.

 

The NAV of the Master Fund is determined by, or at the direction of, 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 Board. The Master Fund’s investments 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 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.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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3.	PORTFOLIO VALUATION (continued)

 

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 Master Fund may also make Direct Investments, which are interests in securities issued by operating companies and are typically made as investments alongside a private equity fund. With respect to valuation of Direct Investments, they are fair valued typically by reference to the valuation utilized by the corresponding private equity fund.

 

The following table represents the investments carried at fair value on the Statement of Assets and Liabilities by level within the valuation hierarchy as of September 30, 2017:

 

 

The Master Fund held Investment Funds with a fair value of $724,357,684 that are excluded from the fair value hierarchy as of September 30, 2017.

 

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

 

 

The Master Fund recognizes 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 year ended September 30, 2017.

 

The amount of the net unrealized appreciation for the period ended September 30, 2017 relating to investments in Level 3 assets still held at September 30, 2017 is $102,427.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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3.	PORTFOLIO VALUATION (continued)

 

A listing of the investments held by the Master Fund and their attributes, as of September 30, 2017, that qualify for these valuations are shown in the table below.

 

 

*

The information summarized in the table above represents the general terms for the specified asset class. Individual Investment Funds may have terms that are more or less restrictive than those terms indicated for the asset class as a whole. In addition, most Investment Funds have the flexibility, as provided for in their constituent documents, to modify and waive such terms.

 

4.	RELATED PARTY TRANSACTIONS AND OTHER

 

As of September 30, 2017, the Master Fund and CPG TCG had no investments in Investment Funds that were related parties.

 

The Adviser provides investment advisory services to the Master Fund pursuant to an investment advisory agreement (the “Agreement”). Pursuant to the Agreement, the Master Fund pays the Adviser a monthly fee (the “Management Fee”) computed and payable monthly, at the annual rate of 1.20% of the Master Fund’s net asset value. “Net asset value” means, for any month, the total value of all assets of the Master Fund as of the end of such month, less an amount equal to all accrued debts, liabilities and obligations of the Master Fund as of such date, and calculated before giving effect to any repurchase of shares on such date and before any reduction for any fees and expenses of the Master Fund. The Management Fee shall be prorated for any period of less than a month based on the number of days in such period. During the period ended September 30, 2017, the Adviser earned $6,059,882 of Management Fee which is included in the Statement of Operations, of which $3,091,512 was payable at September 30, 2017 and is included in Payable to Adviser in the Statement of Assets and Liabilities.

 

Pursuant to a license agreement between Carlyle Investment Management, L.L.C. and the Adviser (the “License Agreement”), the Adviser is permitted to use the mark “Carlyle” in connection with the offering, marketing, promotion, management and operation of the Fund. The Adviser believes that the Master Fund has benefitted and will continue to benefit from the License Agreement, in accordance with its terms. Nonetheless the Adviser will not seek reimbursement or payment from the Master Fund for any amounts thereunder.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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4.	RELATED PARTY TRANSACTIONS AND OTHER (continued)

 

Unless otherwise voluntarily or contractually assumed by the Adviser or another party, the Master Fund bears all expenses incurred in its business, including, but not limited to, the following: all costs and expenses related to investment transactions and positions for the Master Fund’s account; legal fees; accounting, auditing and tax preparation fees; recordkeeping and custodial fees; costs of computing the Master Fund’s NAV; fees for data and software providers; research expenses; costs of insurance; registration expenses; certain offering costs; expenses of meetings of investors; directors’ fees; all costs with respect to communications to investors; transfer taxes and taxes withheld on non-U.S. dividends; interest and commitment fees on loans and debit balances; and other types of expenses as may be approved from time to time by the Board.

 

Effective January 1, 2017, each member of the Board who is not an “interested person” of the Master Fund (the “Independent Directors”), as defined by the 1940 Act, receives an annual retainer of $14,000 (prorated for partial years) plus a fee of $1,000 for each meeting attended and $500 for each meeting by phone. The Board Chair, Audit Committee Chair, Nominating Committee Chair and Contracts Review Committee Chair each receive an additional $2,000 annual retainer. All members of the Board are reimbursed for their reasonable out-of-pocket expenses. Total amounts expensed by the Master Fund related to Independent Directors for the period ended September 30, 2017 was $42,000 which is included in the Statement of Operations.

 

During the period ended September 30, 2017, the Master Fund incurred a portion of the annual compensation of the Master Fund’s Chief Compliance Officer in the amount of $13,750 which is included in Directors’ and Officer fees in the Statement of Operations.

 

Certain Officers and Directors of the Master Fund are also Officers of the Adviser and CPG TCG and are registered representatives of Foreside Fund Services, LLC.

 

5.	ADMINISTRATION AND CUSTODIAN FEES

 

UMB Fund Services, Inc., serves as administrator (the “Administrator”) to the Master Fund and provides certain accounting, administrative, record keeping and investor related services. For its services, the Master Fund pays an annual fee to the Administrator based upon average net assets, subject to certain minimums. For the period ended September 30, 2017, the total administration fees were $298,249 which is included in accounting and administration fees in the Statement of Operations, of which $151,945 was payable at September 30, 2017 and is included in accounts payable and other accrued expenses in the Statement of Assets and Liabilities.

 

The Custodian is an affiliate of the Administrator and serves as the primary custodian of the assets of the Master Fund and may maintain custody of such assets with U.S. and non-U.S. sub-custodians, securities depositories and clearing agencies.

 

6.	INVESTMENTS

 

For the period ended September 30, 2017, total purchases and total proceeds from redemptions or other dispositions of investments amounted to $146,713,684 and $114,444,708, respectively. The cost of investments in Investment Funds for U.S. federal income tax purposes is adjusted for items of taxable income allocated to the Master Fund from such Investment Funds. The Master Fund relies upon actual and estimated tax information provided by the managers of the Investment Funds as to the amounts of taxable income allocated to the Master Fund as of September 30, 2017.

 

The Investment Funds in which the Master Fund invests generally charge a management fee of 1.00% - 2.00% and approximately 20% of net profits as a carried interest allocation, generally subject to a preferred return and a claw back.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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7.	ALLOCATION OF INVESTORS’ CAPITAL

 

As of the last day of each Fiscal Period (as defined below), any net profit or net loss for the Fiscal Period shall be allocated among and credited to or debited against the capital accounts of the investors in accordance with their respective Master Fund percentages for such Fiscal Period. Fiscal Period means the period commencing on the first date on or as of which an investor other than the organizational investor or the Adviser is admitted to the Master Fund, and thereafter each period commencing on the day immediately following the last day of the preceding Fiscal Period, and ending at the close of business on the first to occur of the following dates: (1) the last day of a fiscal year; (2) the day preceding any day as of which a contribution to the capital of the Master Fund is made; (3) the day as of which the Master Fund repurchases any Interest or portion of an Interest of any member; (4) the day as of which the Master Fund admits a substituted investor to whom an Interest (or portion thereof) of an investor has been transferred (unless there is no change of beneficial ownership); or (5) any other day as of which Limited Liability Company agreement provides for any amount to be credited to or debited against the capital account of any investor, other than an amount to be credited to or debited against the capital accounts of all investors in accordance with their respective investment percentages.

 

8.	REPURCHASE OF INVESTORS’ INTERESTS

 

Investors do not have the right to require the Master Fund to redeem their Interests or portion thereof. To provide a limited degree of liquidity to investors, the Master Fund may, from time to time, offer to repurchase Interests or portions thereof pursuant to written tenders by investors. Repurchases will be made at such times, in such amount and on such terms as may be determined by the Board, in its sole discretion. In determining whether the Master Fund should offer to repurchase Interests, the Board will consider the recommendations of the Adviser as to the timing of such an offer, as well as a variety of operational, business and economic factors. The Adviser anticipates that it will recommend to the Board that the Master Fund offer to repurchase Interests from investors on a quarterly basis, with such repurchases to occur as of the last day of March, June, September and December (or, if any such date is not a business day, on the immediately preceding business day). The Adviser also expects that, generally, it will recommend to the Board that each repurchase offer should apply to up to 5% of the net assets of the Master Fund. Each repurchase offer will generally commence approximately 100 days prior to the applicable repurchase date.

 

9.	COMMITMENTS

 

As of September 30, 2017, the Master Fund had outstanding investment commitments to Investment Funds totaling $413,473,975. Three Investment Funds have commitments denominated in Euros and one Investment Fund has commitments denominated in Japanese Yen. As of September 30, 2017, the unfunded commitments for these Investment Funds totaled €13,932,514 and ¥550,448,884, respectively. As of September 30, 2017, the exchange rate used for the conversion was 1.1811 USD/EUR and 112.42 JPY/USD, respectively. The U.S. dollar equivalent of these commitments is included in the Master Fund’s total unfunded commitment amount.

 

10.	INDEMNIFICATION

 

Under the Master Fund’s organizational documents, its officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Master Fund. In addition, in the ordinary course of business, the Master Fund may enter into contracts or agreements that contain indemnification or warranties. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, the Master Fund expects the risk of loss to be remote.

 

11.	CREDIT FACILITY

 

The Master Fund maintains a credit facility (the “Facility”) with a maximum borrowing amount of $25,000,000 which is secured by certain interests in Investment Funds. A fee of 0.25% per annum is payable monthly in arrears on the unused portion, while the interest rate charged on borrowings in the case of Eurodollar Rate Loans the ICE LIBOR Rate plus 2.00% and in the case of Prime Rate Loans the rate of interest per annum publicly announced or determined from time to time by Signature Bank as its prime rate in effect. For the period ended September 30, 2017, the Master Fund did not borrow under the Facility.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Consolidated Notes to Financial Statements (Unaudited) (Continued)
September 30, 2017

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12.	SUBSEQUENT EVENTS

 

Subsequent events after September 30, 2017 have been evaluated through the date the financial statements were issued. During this period, capital contributions into the Master Fund for October 1, 2017 and November 1, 2017, equaled $3,245,690 and $3,333,429, respectively. There were no subsequent subscriptions through the date the financial statements were issued.

 

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CPG Carlyle Commitments Master Fund, LLC

 

Other Information (Unaudited)
September 30, 2017

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Proxy Voting

 

A description of the policies and procedures that the Master Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available without charge, upon request, by calling (collect) 1-212-317-9200 and on the SEC’s website at http://www.sec.gov.

 

The Master Fund is required to file Form N-PX, with its complete proxy voting record for the twelve months ended June 30, no later than August 31. The Master Fund’s Form N-PX filing is available: (i) without charge, upon request, by calling the Master Fund (collect) at 1-212-317-9200 or (ii) by visiting the SEC’s website at www.sec.gov.

 

Availability of Quarterly Portfolio Schedules

 

 

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