N-CSRS 1 g49855master_ncsrs.txt CSFB MULTI STRAT MASTER NCSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-21737 --------- Credit Suisse Alternative Capital Multi-Strategy Master Fund, LLC ----------------------------------------------------------------- (Exact name of registrant as specified in charter) 11 Madison Avenue New York, NY 10010 ----------------------------------------------------------------- (Address of principal executive offices) (Zip code) PNC Global Investment Servicing (U.S.) Inc. 301 Bellevue Parkway, 2nd Floor Wilmington, DE 19809 ----------------------------------------------------------------- (Name and address of agent for service) registrant's telephone number, including area code: 212-325-2000 ------------ Date of fiscal year end: March 31 -------- Date of reporting period: September 30, 2008 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. The Report to Shareholders is attached herewith. CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC FINANCIAL STATEMENTS FOR THE SIX MONTH ENDED SEPTEMBER 30, 2008 UNAUDITED CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC FINANCIAL STATEMENTS UNAUDITED CONTENTS Schedule of Investments ................................................... 1 Statement of Assets, Liabilities and Members' Capital...................... 4 Statement of Operations.................................................... 5 Statement of Changes in Members' Capital................................... 6 Statement of Cash Flows.................................................... 7 Notes to Financial Statements.............................................. 8 Fund Management ........................................................... 19 Other Information ......................................................... 21 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC SCHEDULE OF INVESTMENTS AT SEPTEMBER 30, 2008 (UNAUDITED) -------------------------------------------------------------------------------- INVESTMENT STRATEGY AS A PERCENTAGE OF TOTAL INVESTMENTS Percentages are as follows: [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL] Convertible Arbitrage 3.43% Discretionary-Concentrated Global Macro 8.76% Emerging Markets 11.76% Equity Long/Short 26.92% Equity Market Neutral 2.58% Event Driven 10.12% Global Macro 19.95% Multi-Strategy 7.60% Other 8.88%
PERCENTAGE OF MEMBERS' INVESTMENTS IN PORTFOLIO FUNDS(1)(2)(3) 80.10% LIQUIDITY(4) CAPITAL COST FAIR VALUE(5) CONVERTIBLE ARBITRAGE Aristeia International Limited(8) Quarterly 2.75% $ 4,500,000 $ 4,510,427 ----- ----------- ----------- 2.75% 4,500,000 4,510,427 ----- ----------- ----------- DISCRETIONARY-CONCENTRATED GLOBAL MACRO Clarium Capital LLC Quarterly 1.43% 3,000,000 2,350,925 Galtere International Master Fund, L.P. Quarterly 3.21% 5,500,000 5,270,971 Lily Pond Currency Fund, L.P.(9) Regular Interest Monthly 2.38% 3,933,083 3,904,493 Side Pocket (6) 0.00% 66,917 - ----- ----------- ----------- 7.02% 12,500,000 11,526,389 ----- ----------- ----------- EMERGING MARKETS The Rohatyn Group Global Opportunity Partners, L.P. Side Pocket (6) 0.09% - 141,585 Forum Absolute Return Fund, Ltd. Quarterly 1.70% 2,500,000 2,793,660 Pharo Macro Fund, Ltd Quarterly 2.44% 3,500,000 4,012,455 Spinnaker Global Opportunity Fund, Ltd.(8) Quarterly 3.19% 4,062,733 5,231,254 The Tantallon Fund, L.P. Monthly 2.00% 5,000,000 3,281,887 ----- ----------- ----------- 9.42% 15,062,733 15,460,841 ----- ----------- ----------- EQUITY LONG/SHORT Glenview Institutional Partners, L.P. Regular Interest Quarterly 2.45% 4,158,689 4,018,190 Side Pocket (6) 0.14% 341,311 235,984
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 1 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC SCHEDULE OF INVESTMENTS AT SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) --------------------------------------------------------------------------------
PERCENTAGE OF MEMBERS' LIQUIDITY(4) CAPITAL COST FAIR VALUE(5) EQUITY LONG/SHORT (CONTINUED) Hachiman Japan Fund Monthly 3.22% $ 5,000,000 $ 5,288,962 Highbridge Long/Short Equity Fund, L.P. Quarterly 3.58% 6,000,000 5,880,740 Lansdowne UK Equity Fund, L.P. Monthly 4.26% 5,000,000 6,993,099 Torrey Pines Fund, LLC Quarterly 2.27% 4,000,000 3,721,168 Viking Global Equities L.P. Annually 5.64% 8,000,000 9,259,801 ----- ----------- ----------- 21.56% 32,500,000 35,397,944 ----- ----------- ----------- EQUITY MARKET NEUTRAL Two Sigma Spectrum U.S. Fund, L.P. Quarterly 2.07% 3,500,000 3,393,681 ----- ----------- ----------- 2.07% 3,500,000 3,393,681 ----- ----------- ----------- EVENT DRIVEN GoldenTree Partners, L.P.(8) Quarterly 3.02% 4,385,470 4,963,073 Perry Partners, L.P. Regular Interest Annually 2.08% 2,858,746 3,410,674 Side Pocket (6) 0.20% 439,292 324,006 Silver Point Capital Fund, L.P. Side Pocket (6) 0.09% - 141,192 York Capital Management, L.P. Annually 2.72% 3,600,332 4,471,163 ----- ----------- ----------- 8.11% 11,283,840 13,310,108 ----- ----------- ----------- GLOBAL MACRO Bridgewater Pure Alpha Fund II, LLC Monthly 2.53% 4,881,732 4,151,088 Remington Investment Strategies, L.P. Quarterly 5.46% 4,230,771 8,961,979 The Tudor BVI Global Fund, L.P.(8) Quarterly 3.66% 3,537,905 6,013,472 Touradji Global Resources Fund, L.P. Quarterly 4.33% 4,500,000 7,110,392 ----- ----------- ----------- 15.98% 17,150,408 26,236,931 ----- ----------- ----------- MULTI-STRATEGY Amaranth Capital Partners, LLC Regular Interest (7) 0.10% 2,738,995 165,565 Side Pocket (6)(7) 0.27% 341,858 441,018 Investcorp Interlachen Multi-Strategy Fund LLC Quarterly 1.66% 3,000,000 2,733,015 Stark Investments Limited Partnership(8) Regular Interest Quarterly 3.55% 6,046,786 5,820,471 Side Pocket (6) 0.50% 700,403 828,380 ----- ----------- ----------- 6.08% 12,828,042 9,988,449 ----- ----------- -----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 2 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC SCHEDULE OF INVESTMENTS AT SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) --------------------------------------------------------------------------------
PERCENTAGE OF MEMBERS' LIQUIDITY(4) CAPITAL COST FAIR VALUE(5) OTHER Vicis Capital Fund Quarterly 4.20% $ 6,000,000 $ 6,894,903 Summit Water Equity Fund, L.P. Quarterly 2.91% 5,500,000 4,786,127 ----- ----------- ------------- 7.11% 11,500,000 11,681,030 ----- ----------- ------------- TOTAL INVESTMENTS IN PORTFOLIO FUNDS (COST $120,825,023) $ 131,505,800 OTHER ASSETS, LESS LIABILITIES 19.9% 32,676,790 ------------- MEMBERS' CAPITAL 100.00% $ 164,182,590 =============
(1) Fair valued investments. (2) Securities are issued in private placement transactions and as such are restricted as to resale. (3) Non-income producing securities. (4) Available frequency of redemptions after expiration of lock-up provisions, where applicable. Certain investments are subject to lock-up provisions up to 28 months (see Note 8 (b)). (5) See Note 2 (a) regarding Portfolio Fund Valuations. (6) Side pocket investments are not redeemable until they are realized or converted to regular interests in the Portfolio Fund by the Portfolio Fund Manager (see Note 2 (a)). (7) Portfolio Fund in liquidation. (8) Portfolio Fund has or intends to establish restrictions on the ability to fully receive proceeds from redemptions either through its Private Placement Memorandum or newly established gates. (9) Affiliated Portfolio Fund. AFFILIATED ISSUERS ------------------ An affiliated Portfolio Fund is a Portfolio Fund in which the Master Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with Portfolio Funds which are or were affiliates are as follows:
Value at Value at Affiliate April 1, 2008 Purchases Sales Proceeds September 30, 2008 -------------------------------------- ----------------- ---------------- ------------------ --------------------- Lily Pond Currency Fund, L.P. $ - $ 4,000,000 $ - $ 3,904,493 Royal Coachman L.P. $ 4,882,643 $ - $ 4,346,804 $ -
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 3 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC STATEMENT OF ASSETS, LIABILITIES AND MEMBERS' CAPITAL AT SEPTEMBER 30, 2008 (UNAUDITED) --------------------------------------------------------------------------------
ASSETS Investments in Portfolio Funds, at fair value (cost $116,825,023) $ 127,601,307 Investments in Affiliated Portfolio Fund, at fair value (cost $4,000,000) 3,904,493 Receivable for Portfolio Funds sold 32,593,236 Investments in Portfolio Funds purchased in advance 6,000,000 Interest receivable 3,781 Other assets 5,007 -------------- TOTAL ASSETS 170,107,824 -------------- LIABILITIES Payable for fund units redeemed 5,233,407 Management fees payable 441,732 Professional fees payable 133,583 Due to Custodian 96,297 Accounting and administration fees payable 14,220 Other liabilities 5,995 -------------- TOTAL LIABILITIES 5,925,234 -------------- MEMBERS' CAPITAL $ 164,182,590 ============== Units Outstanding ($0.01 par value; unlimited number of units authorized) 1,431,255.237 Net Asset Value per Unit (Offering and Redemption price per Unit) $ 114.71
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 4 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2008 (UNAUDITED) --------------------------------------------------------------------------------
INVESTMENT INCOME Interest $ 90,423 ------------- EXPENSES Management fees 912,461 Professional fees 99,076 Accounting and administration fees 93,319 Board of Managers' fees 7,607 Custodian fees 6,375 Miscellaneous fees 17,535 ------------- TOTAL EXPENSES 1,136,373 ------------- NET INVESTMENT LOSS (1,045,950) ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON PORTFOLIO FUNDS Net realized loss on Portfolio Funds (2,836,919) Net realized loss on Affiliated Portfolio Funds (653,196) Net change in unrealized appreciation/depreciation on Portfolio Funds (10,872,211) Net change in unrealized appreciation/depreciation on Affiliated Portfolio Funds 21,850 ------------- NET REALIZED AND UNREALIZED LOSS ON PORTFOLIO FUNDS (14,340,476) ------------- NET DECREASE IN MEMBERS' CAPITAL RESULTING FROM OPERATIONS $ (15,386,426) =============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 5 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC STATEMENT OF CHANGES IN MEMBERS' CAPITAL --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2008 FOR THE YEAR ENDED (UNAUDITED) MARCH 31, 2008 -------------------- -------------------- INCREASE (DECREASE) IN MEMBERS' CAPITAL FROM OPERATIONS Net investment loss $ (1,045,950) $ (1,379,737) Net realized gain (loss) on Portfolio Funds (3,490,115) 5,524,754 Net change in unrealized appreciation/depreciation on Portfolio Funds (10,850,361) 37,290 ------------ ------------ NET INCREASE (DECREASE) IN MEMBERS' CAPITAL RESULTING FROM OPERATIONS (15,386,426) 4,182,307 ------------ ------------ MEMBERS' CAPITAL TRANSACTIONS Capital contributions 6,811,462 87,126,859 Capital withdrawals (Note 9) (11,985,819) (5,720,181) ------------ ------------ NET INCREASE (DECREASE) IN MEMBERS' CAPITAL RESULTING FROM CAPITAL TRANSACTIONS (5,174,357) 81,406,678 ------------ ------------ TOTAL INCREASE (DECREASE) IN MEMBERS' CAPITAL (20,560,783) 85,588,985 MEMBERS' CAPITAL, BEGINNING OF PERIOD 184,743,373 99,154,388 ------------ ------------ MEMBERS' CAPITAL, END OF PERIOD $164,182,590 $184,743,373 ============ ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 6 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC STATEMENT OF CASH FLOWS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2008 (UNAUDITED) --------------------------------------------------------------------------------
INCREASE (DECREASE) IN CASH CASH FLOWS PROVIDED (USED) BY OPERATING ACTIVITIES Net decrease in members' capital resulting from operations $ (15,386,426) Adjustments to reconcile net decrease in members' capital resulting from operations to net cash used by operating activities: Purchases of Portfolio Funds (39,500,000) Sales of Portfolio Funds 35,874,831 Decrease in interest receivable 22,236 Decrease in other assets 680 Decrease in management fees payable (24,777) Increase in professional fees payable 20,456 Decrease in accounting and administration fees payable (16,396) Increase in other liabilities 3,391 Net realized loss on Portfolio Funds 2,836,919 Net realized loss on Affiliated Portfolio Funds 653,196 Net change in unrealized appreciation/depreciation on Portfolio Funds 10,872,211 Net change in unrealized appreciation/depreciation on Affiliated Portfolio Funds (21,850) ------------- NET CASH USED BY OPERATING ACTIVITIES (4,665,529) ------------- CASH FLOWS PROVIDED (USED) BY FINANCING ACTIVITIES Capital contributions 6,811,462 Capital withdrawals (8,827,819) Due to custodian 96,297 ------------- NET CASH USED BY FINANCING ACTIVITIES (1,920,060) ------------- NET DECREASE IN CASH (6,585,589) Cash at beginning of period 6,585,589 ------------- Cash at end of period $ - =============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 7 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION Credit Suisse Alternative Capital Multi-Strategy Master Fund, LLC (the "Master Fund") was formed on December 15, 2004, in the State of Delaware as a closed-end, non-diversified management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"). The Master Fund seeks to maximize its risk-adjusted performance by investing in pooled investment vehicles (collectively, "Portfolio Funds"). The Master Fund seeks to achieve its objective through the allocation of capital among selected alternative asset managers (the "Portfolio Fund Managers"), and by maintaining diversified exposure to a number of Portfolio Funds employing different strategies and opportunistically adjusting its strategy allocations based upon Credit Suisse Alternative Capital Inc.'s (the "Investment Adviser") evaluation of the relative prospects and risks. The Master Fund commenced operations on April 1, 2005 and its fiscal year ends March 31. The Master Fund is managed by a Board of Managers (the "Board") that is comprised of a majority of independent managers. The Board has overall responsibility to manage and control the business operations of the Master Fund on behalf of the members (the "Members"). The Master Fund is one of two master funds registered under the 1940 Act managed by the Board. Each of these master funds utilizes a master feeder fund structure in which there are two registered feeder funds investing in each of the master funds. In total there are six registered funds, including master funds and feeder funds, each registered under the 1940 Act, that are managed by the Board (the "Credit Suisse Funds"). In addition, there is one unregistered feeder fund (the "Private Fund") investing in the Master Fund. On March 11, 2008, the Board approved a one-year extension of the investment advisory agreement between the Master Fund and the Investment Adviser. The Investment Adviser, a Delaware corporation and an affiliate of Credit Suisse Securities (USA), LLC and Credit Suisse Asset Management Securities, Inc., is registered with the Securities and Exchange Commission ("SEC") as an investment adviser under the Investment Advisers Act of 1940, as amended, and the Commodity Futures Trading Commission as a "commodity pool operator", and is a member of the National Futures Association. The Investment Adviser, pursuant to the terms of the investment advisory agreement, will direct the Master Fund's investment programs. The Board has approved advisory agreements with the Investment Adviser relating to both of the master funds included in the Credit Suisse Funds. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Master Fund in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make assumptions and use estimates that affect the reported amounts of assets and liabilities and the reported amounts of income and expenses for the period. Actual results could differ from these estimates. 8 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) a. VALUATION The net asset value per unit of the Master Fund is determined by or at the direction of the Investment Adviser as of the last business day of each month in accordance with the valuation policy set forth below or as may be determined from time to time pursuant to policies established by the Board. The Master Fund's investments in the Portfolio Funds are considered to be illiquid and may be subject to limitations on redemptions, including the assessment of early redemption fees. Further, redemption requests might not be granted by the Portfolio Fund Managers. The Board has approved procedures pursuant to which the Master Fund values its investments in Portfolio Funds at fair value. The fair value of the Master Fund's interest in a Portfolio Fund will represent the amount that the Master Fund could reasonably expect to receive (without regard to early redemption fees, if any, which might be assessed and which may be significant based on liquidity terms of the Portfolio Funds) from a Portfolio Fund or from a third party if the Master Fund's interest were redeemed or sold at the time of valuation, based on information available at the time, which the Investment Adviser reasonably believes to be reliable. In accordance with the Master Fund's valuation procedures, fair value as of each month-end ordinarily will be the value determined as of such month-end for each Portfolio Fund in accordance with the Portfolio Fund's valuation policies and reported by the Portfolio Fund or the Portfolio Fund's administrator to the Master Fund or its administrator. Although the procedures approved by the Board provide that the Investment Adviser will review the valuations provided by Portfolio Fund Managers, neither the Investment Adviser nor the Board will be able to independently confirm the accuracy of valuation calculations provided by the Portfolio Fund Managers. Considerable judgment is required to interpret the factors used to develop estimates of fair value. Accordingly, the estimates may not be indicative of the amounts the Master Fund could realize in a current market exchange and the differences could be material to the financial statements. The use of different factors or estimation methodologies could have a significant effect on the estimated fair value. Investments of the Master Fund with a value of $131,505,800 which are 100% of the Master Fund's investments at September 30, 2008, have been fair valued and are illiquid and restricted as to resale or transfer as described above. Some of the Portfolio Funds may invest all or a portion of their assets in so-called "side pockets", sub funds within the Portfolio Funds, which provide for their separate liquidation potentially over a much longer period than the liquidity an investment in the Portfolio Funds may provide. Should the Master Fund seek to liquidate its investment in a Portfolio Fund that maintains these investments in a side pocket arrangement or that holds substantially all of its assets in illiquid securities, the Master Fund might not be able to fully liquidate its investment without delay, that could be considerable. In such cases, during the period until the Master Fund is permitted to fully liquidate its interest in the Portfolio Fund, the value of its investment could fluctuate. 9 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) a. VALUATION (CONTINUED) In September 2006, the Statement of Financial Accounting Standards No. 157 - Fair Value Measurements - ("SFAS 157") was issued and is effective for fiscal years beginning after November 15, 2007. In accordance with SFAS 157, fair value is defined as the price that the Master Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Master Fund's investments. The inputs are summarized into three broad levels listed below: -- Level 1 - Security or other instrument is valued based on quoted prices in active markets or for actual transactions in the security or instrument. -- Level 2 - No market for identical assets, involves estimating the value of the security or instrument based on "observable inputs" or objective market data such as yield curves for similar assets and transactions in similar assets, unless those transactions are the result of a forced liquidation or distressed sale. -- Level 3 - No observable inputs (i.e. little or no market activity outside of forced liquidation or distressed sale). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used as of September 30, 2008, in valuing the Fund's assets and liabilities carried at fair value:
----------------------------------------------------------------------------------------------------------------- Liabilities in Appreciation in Depreciation in Investments in Securities Other Financial Other Financial Securities Sold Short Instruments* Instruments* ----------------------------------------------------------------------------------------------------------------- Level 1 $ - ----------------------------------------------------------------------------------------------------------------- Level 2 - ----------------------------------------------------------------------------------------------------------------- Level 3 131,505,800 ----------------------------------------------------------------------------------------------------------------- Total $ 131,505,800 -----------------------------------------------------------------------------------------------------------------
* Other financial instruments include futures, forwards and swap contracts. 10 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) a. VALUATION (CONTINUED) SFAS 157 also requires a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value:
----------------------------------------------------------------------------------------------------------------- Liabilities in Appreciation in Depreciation in Investments in Securities Other Financial Other Financial Securities Sold Short Instruments* Instruments* ----------------------------------------------------------------------------------------------------------------- Balances as of 03/31/08 $ 145,500,435 ----------------------------------------------------------------------------------------------------------------- Net realized gain (loss) (3,490,115) ----------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) (10,850,361) ----------------------------------------------------------------------------------------------------------------- Net purchases (sales) 345,841 ----------------------------------------------------------------------------------------------------------------- Net transfers in and out (Level 3) - ----------------------------------------------------------------------------------------------------------------- Balance as of 09/30/08 $ 131,505,800 -----------------------------------------------------------------------------------------------------------------
* Other financial instruments include futures, forwards and swap contracts. b. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are accounted for on the effective date (the date the subscription/redemption is effective). Interest income is recorded on the accrual basis. The Portfolio Funds generally do not make regular cash distributions of income and gains and are generally considered non-income producing securities. The Master Fund records a realized gain or loss on its investments in Portfolio Funds only to the extent that the cost of such investment, as well as any side pocket investment, has been fully recovered through previous redemptions from its investment in such Portfolio Fund. c. FUND EXPENSES The Master Fund bears all expenses incurred in the business of the Master Fund. The expenses of the Master Fund include, but are not limited to, the following: all costs and expenses related to investment transactions and positions for the Master Fund's account; legal fees; accounting and administration fees; custodial fees; insurance; auditing and tax preparation fees; expenses of meetings of the Board and Members; all costs with respect to communications to Members; and other types of expenses as may be approved from time to time by the Board. 11 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) d. INCOME TAXES The Master Fund intends to operate as a partnership for Federal income tax purposes. Accordingly, no provision for Federal, state or local income taxes has been provided. Each Member is individually required to report on its own tax return, its distributive share of the Master Fund's taxable income or loss. On behalf of the Master Fund's foreign members, the Master Fund withholds and pays taxes on certain U.S. source income and U.S. effectively connected income, if any, allocated from Portfolio Funds to the extent such income is not exempt from withholding under the Internal Revenue Code and Regulations thereunder. In June 2006, the Financial Accounting Standards Board (the "FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109" (the "Interpretation"). The Interpretation establishes for all entities, including pass-through entities such as the Master Fund, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. Management has determined that the adoption of the Interpretation did not have a material impact to the Master Fund's financial statements. However, management's conclusions regarding the Interpretation will be subject to review and may be adjusted at a later date based on factors, including but not limited to, on-going analyses of changes in tax laws, regulations and interpretations thereof. e. CASH Cash includes amounts held in an interest bearing overnight account. At September 30, 2008, the Master Fund was overdrawn by $96,297 at PNC Bank, an affiliate of the Master Fund's administrator (see Note 4). 3. ALLOCATION OF MEMBERS' CAPITAL ACCOUNT Allocation periods begin on the day after the last day of the preceding allocation period and end at the close of business on (1) the last day of each month, (2) the last day of each taxable year; (3) the day preceding each day on which interests are purchased, (4) the day on which interests are repurchased, or (5) the day on which any amount is credited to or debited from the capital account of any Member other than an amount to be credited to or debited from the capital accounts of all Members in accordance with their respective investment percentages. Net profits or net losses of the Master Fund for each allocation period will be allocated among and credited to or debited from the capital accounts of the Members in accordance with their respective unit ownership for such fiscal period. 12 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 4. INVESTMENT ADVISORY SERVICES, TRANSACTIONS WITH AFFILIATES, RELATED PARTIES AND OTHER The Investment Adviser provides certain management and administration services to the Master Fund, including, among other things, providing day-to-day investment decisions and general management of investments in accordance with stated policies, subject to supervision of the Board and other support services. In consideration for such management services, the Master Fund pays the Investment Adviser a monthly management fee (the "Management Fee"), at an annual rate of 1.00% of the aggregate value of its outstanding interests determined as of the last day of each month and payable quarterly (before any repurchases of interests). Each Board member who is not an employee of the Investment Adviser, or one of its affiliates, receives an annual retainer for his/her service to all of the Credit Suisse Funds of $15,000 plus a fee for each meeting attended. The Board expenses are allocated among the Credit Suisse Funds. In accordance with the terms of the Administration, Accounting and Investor Services Agreement ("Administration Agreement") and with the approval of the Master Fund's Board, PNC Global Investment Servicing, Inc. ("PNC"), formerly known as PFPC Inc., serves as the Master Fund's administrator pursuant to the Administration Agreement between PNC and the Master Fund. Under the Administration Agreement, PNC provides administrative, accounting, investor services and regulatory administration services to the Master Fund. As compensation for services set forth herein that are rendered by PNC during the term of the Administration Agreement, the Master Fund pays PNC a fee for services rendered. PFPC Trust Company, an affiliate of PNC Bank, N.A., serves as custodian of the Master Fund's assets and provides custodial services to the Master Fund. At September 30, 2008, Credit Suisse Private Equity, Inc. and the Private Fund, each an affiliate of the Investment Adviser, held an aggregate interest in the Master Fund's members' capital of $63,236,863. 5. SECURITY TRANSACTIONS During the six months ended September 30, 2008, aggregate purchases of Portfolio Funds amounted to $43,000,000 and aggregate sales of Portfolio Funds amounted to $42,654,159. The cost of investments in Portfolio Funds for Federal income tax purposes is adjusted for items of taxable income allocated to the Master Fund from the Portfolio Funds. The Master Fund has not received information from the Portfolio Funds as to the amounts of taxable income allocated to the Master Fund for the six month ended September 30, 2008. 13 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 6. PORTFOLIO FUNDS With respect to the Master Fund's investments in other registered investment companies, private investment funds, and other commingled investment vehicles, the Master Fund bears its ratable share of each such entity's expenses and would also be subject to its share of the management and performance fees, if any, charged by such entity. The Master Fund's share of management and performance fees charged by such entities is in addition to fees paid by the Master Fund to the Investment Adviser, and is not included as expenses in the statement of operations or in the expense ratios presented in the financial highlights. As of September 30, 2008, the Master Fund had investments in Portfolio Funds valued at $131,505,800. The agreements related to investments in Portfolio Funds provide for compensation to the general partners/managers in the form of management fees up to 4.00% (per annum) of the net assets and performance fees or allocations of up to 20.00% to 30.00% of net profits earned. The Portfolio Funds provide for periodic redemptions, with various lock-up provisions from initial investment. The liquidity provisions shown in the Schedule of Investments apply after the expiration of any lock-up provisions. 7. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK In the normal course of business, the Portfolio Funds in which the Master Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, and interest rate, credit default and total return equity swap contracts. The Master Fund's risk of loss in these Portfolio Funds is limited to the value of these investments reported by the Master Fund. The Master Fund itself does not invest in securities with off-balance sheet risk. 8. RISK FACTORS In pursuing its investment objectives, the Master Fund invests in Portfolio Funds that are not registered under the 1940 Act. These Portfolio Funds may utilize diverse investment strategies, which are not generally managed against traditional investment indices. The Portfolio Funds selected by the Master Fund will invest in and actively trade securities and other financial instruments using a variety of strategies and investment techniques that may involve significant risks. Such risks arise from the volatility of the equity, fixed income, commodity and currency markets, leverage both on and off balance sheet associated with borrowings, short sales and derivative instruments, the potential illiquidity of certain instruments including emerging markets, private transactions, derivatives, and counterparty and broker defaults. Various risks are also associated with an investment in the Master Fund, including risks relating to the multi-manager structure of the Master Fund, risks relating to compensation arrangements and risks related to limited liquidity of the units. The Portfolio Funds provide for periodic redemptions ranging from monthly to annually, and may be subject to various lock-up provisions and early withdrawal fees. 14 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 8. RISK FACTORS (CONTINUED) a. MARKET RISK The investments of the Portfolio Funds are subject to normal market fluctuations and other risks inherent in investing in securities and there can be no assurance that any appreciation in value will occur. The value of investments can fall as well as rise and investors may not realize the amount that they invest. b. LIQUIDITY RISK Although the Investment Adviser will seek to select Portfolio Funds that offer the opportunity to have their shares or units redeemed within a reasonable timeframe, there can be no assurance that the liquidity of the investments of such Portfolio Funds will always be sufficient to meet redemption requests as, and when, made. Portfolio Funds may exercise restrictions when redemption requests exceed a specified percentage of the overall Portfolio Funds' net assets, or when the Portfolio Fund Manager believes that market conditions are such that an accelerated sale of portfolio securities may not be practical. Gates are often imposed by Portfolio Fund Managers to prevent disorderly withdrawals in the underlying Portfolio Funds, and may limit the amount of capital the Master Fund may be allowed to redeem from Portfolio Funds on their respective liquidity dates. The Investment Adviser may also invest the Master Fund's assets in Portfolio Funds that invest in illiquid securities and do not permit frequent withdrawals. Illiquid securities owned by Portfolio Funds are riskier than liquid securities because the Portfolio Funds may not be able to dispose of the illiquid securities if their investment performance deteriorates, or may be able to dispose of the illiquid securities only at a greatly reduced price. Similarly, the illiquidity of the Portfolio Funds may cause Members to incur losses because of an inability to withdraw their investments from the Master Fund during or following periods of negative performance. An investment in the Master Fund is a highly illiquid investment and involves a substantial degree of risk. Should the Master Fund decide to sell an illiquid Portfolio Fund when a ready buyer is not available at a price the Investment Adviser deems representative of its value, the value of the members' capital could be adversely affected. c. CREDIT RISK The Master Fund's investment activities expose it to credit risk on Portfolio Funds with whom they trade and will always bear the risk of settlement default. d. INTEREST RATE RISK The Portfolio Funds that the Master Fund invests in may be interest rate sensitive, which means that their value and, consequently, the value of the Master Fund's investment may fluctuate as interest rates fluctuate. 15 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 8. RISK FACTORS (CONTINUED) e. FOREIGN SECURITIES AND CURRENCY RISK The Portfolio Funds may invest in the securities of foreign companies that involve special risks and considerations not typically associated with investing in U.S. companies. These risks include devaluation of currencies, less reliable information about issuers, different securities transaction clearance and settlement practices, and future adverse political and economic developments. Moreover, securities of many foreign companies and their markets may be less liquid and their prices more volatile than those securities of comparable U.S. companies. f. DERIVATIVES The Portfolio Funds may also invest in derivatives which represent agreements between a Portfolio Fund and a counterparty. Such agreements, which include forward contracts, non-exchange-traded options and swaps, usually represent an agreement between two parties to either receive or pay monies equal to the difference between a selective value or market rate and/or corresponding value or market value ("Reference Rates") upon the termination of an agreement. Such transactions can be effected on a leveraged basis which may amplify the positive or negative outcome of the change in Reference Rates. 9. REPURCHASE OF MEMBERS' INTERESTS The Master Fund may, at the sole discretion of the Board, offer from time to time to repurchase interests or portions of interests in the Master Fund from members pursuant to written tenders by the Members. In determining whether the Master Fund should offer to repurchase interests, the Board will consider the recommendation of the Investment Adviser. The Investment Adviser expects that it will generally recommend to the Board that the Master Fund offer to repurchase a portion of the Members' interests quarterly as of the last business day of March, June, September and December. 10. CONCENTRATION AND INDEMNIFICATIONS In the normal course of business, the Master Fund enters into contracts that provide general indemnifications. The Master Fund's maximum exposure under these agreements is dependent on future claims that may be made against the Master Fund, and therefore cannot be established; however, based on the Investment Adviser's experience, the risk of loss from such claims is considered remote. 16 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 11. CAPITAL UNIT TRANSACTIONS Transactions in units were as follows:
For the Six Months Ended September 30, 2008 For the Year Ended (unaudited) March 31, 2008 ----------------------- --------------------- Number of units issued 54,525.660 691,330.550 Number of units redeemed (99,234.027) (45,213.462) --------------- -------------- Net increase (decrease) in units outstanding (44,708.367) 646,117.088 Units outstanding, beginning of period 1,475,963.604 829,846.516 --------------- -------------- Units outstanding, end of period 1,431,255.237 1,475,963.604 =============== ==============
12. FINANCIAL HIGHLIGHTS INFORMATION
For the Six Months Ended For the For the For the September 30, 2008 Year Ended Year Ended Year Ended (unaudited) March 31, 2008 March 31, 2007 March 31, 2006(a) -------------------- ------------------ ----------------- ------------------ PER UNIT OPERATING PERFORMANCE: Net asset value, beginning of period $ 125.17 $ 119.49 $ 113.79 $ 100.00 -------------- -------------- -------------- -------------- Income (loss) from investment operations: Net investment loss(b) (0.70) (1.13) (1.01) (1.07) Net realized and unrealized gain (loss) on investments (9.76) 6.81 6.71 14.86 -------------- -------------- -------------- -------------- Total from investment operations (10.46) 5.68 5.70 13.79 -------------- -------------- -------------- -------------- Net asset value, end of period $ 114.71 $ 125.17 $ 119.49 $ 113.79 ============== ============= ============== ============== TOTAL RETURN (8.36)%(d) 4.75% 5.01% 13.79% ============== ============= ============== ==============
17 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2008 (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 12. FINANCIAL HIGHLIGHTS INFORMATION (CONTINUED) The ratios below are calculated by dividing total income or expenses as applicable by the average of total monthly members' capital.
For the Six Months Ended For the For the For the September 30, 2008 Year Ended Year Ended Year Ended (unaudited) March 31, 2008 March 31, 2007 March 31, 2006(a) --------------------- ----------------- ----------------- ----------------- RATIOS/SUPPLEMENTAL DATA: RATIOS TO AVERAGE MEMBERS' CAPITAL: Operating expenses(c) 1.24%(f) 1.25% 1.24% 1.32% Net investment loss(c) (1.14)%(f) (0.90)% (0.89)% (1.01)% PORTFOLIO TURNOVER 26.74%(d) 34.46% 11.17% 44.86% MEMBERS' CAPITAL, END OF PERIOD (000's) $164,183 $184,743 $ 99,154 $136,498 AVERAGE MEMBERS' CAPITAL(e) (000's) $182,971 $152,768 $138,759 $124,000
(a) April 1, 2005, commencement of operations. (b) Calculated using average units outstanding during the period. (c) Expenses of Portfolio Funds are not included in the expense ratio. (d) Not annualized. (e) Average members' capital is the average of the monthly members' capital balances throughout the period. (f) Ratios are annualized for periods less than a year. 13. SUBSEQUENT EVENTS Since October 1, 2008, the Master Fund received tender requests of approximately $51,700,000. 18 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC FUND MANAGEMENT (UNAUDITED) -------------------------------------------------------------------------------- INFORMATION PERTAINING TO THE BOARD OF MANAGERS AND OFFICERS OF THE FUND IS SET FORTH BELOW. -------------------------------------------------------------------------------- BOARD OF MANAGERS -----------------
Name, Address, Age, Number of Position with the Affiliated Funds Other Company and Length of Principal Occupation(s) During Overseen by Directorships Time Served the Past Five Years Manager Held by Managers ------------------------- ---------------------------------- ------------------ ----------------------------- Egidio Robertiello* Managing Director and Head of 6 None c/o Credit Suisse the Multi Manager Portfolios Alternative Capital, Americas business (2008); Global Inc. Head of Multi Manager Portfolios 11 Madison Avenue (2007); Head of Hedge Fund New York, NY 10010 Research and Selection, Credit Age 54 Suisse Alternative Capital, Inc. Manager, President and (since 2006); Senior Managing Chairman Director of Investments and Since February 2007 Research, Asset Alliance Corp. (2004-2006); Managing Director, Blackstone Alternative Asset Management, an affiliate of Blackstone, (2001-2004). Charles A. Hurty Independent Business 6 Manager and Audit c/o Credit Suisse Consultant (since 2001); Committee Chairman, Alternative Capital, Partner, KPMG LLP (accounting GMAM Absolute Return Inc. firm) (1993-2001; with KPMG LLP Strategies; Director and 11 Madison Avenue since 1968). Audit Committee Chairman, New York, NY 10010 Citigroup Alternative Age 65 Investments Multi-Advisor Manager and Audit Hedge Fund Portfolios; Committee Chairman Director, iShares Trust and Since March 2005 iShares, Inc. Philip B. Chenok Professor of Accountancy, 6 None c/o Credit Berkeley College (2002-2007); Suisse Alternative Adjunct Professor of Capital, Inc. Accountancy, New York 11 Madison Avenue University, Stern School of New York, NY 10010 Business (1995-2001). President Age 72 and CEO, American Institute of Manager and Audit Certified Public Accountants Committee Member (1980-1995). Since March 2005 Karin B. Bonding President, Capital Markets 6 Trustee, Brandes Investment c/o Credit Suisse Institute, Inc. (1996-2006); Trust Alternative Capital, Faculty Member and Lecturer, Inc. University of Virginia (since 11 Madison Avenue 1995); Visiting Professor, China New York, NY 10010 Europe International Business Age 68 School (Shanghai, China) (1999, Manager and Audit 2002, 2003) and The Institute of Committee Member Industrial Policy Studies Since March 2005 (Seoul, Korea) (2001).
* - Manager who is an "interested person" of the Fund, as defined in the 1940 Act. 19 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC FUND MANAGEMENT (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- OFFICERS --------
Name, Address, Age, Position with the Company and Length of Time Served Principal Occupation(s) During the Past Five Years --------------------------------------------------------- --------------------------------------------------------- Sandra DeGaray Director, Credit Suisse Securities (USA) LLC (January c/o Credit Suisse Alternative Capital, Inc. 2007 - Present); Vice President (September 2004 - 11 Madison Avenue December 2006); Citigroup Asset Management Inc., New York, NY 10010 (November 2000 - August 2004). Age 40 Chief Financial Officer and Treasurer Since August 2007 Kenneth J. Lohsen Managing Director, Credit Suisse Securities (USA) LLC c/o Credit Suisse Alternative Capital, Inc. (since 2004); Director (1997-2004). 11 Madison Avenue New York, NY 10010 Age 49 Assistant Treasurer Since March 2006 Michael Bessel Director, Credit Suisse Securities (USA) LLC (October c/o Credit Suisse Alternative Capital, Inc. 2006-Present); Chief Compliance Officer, TRG Management 11 Madison Avenue LP, (September 2005 - September 2006); Chief Compliance New York, NY 10010 Officer, GAM USA Inc., (May 2002 - September 2005). Age 46 Chief Compliance Officer Since October 2006 Michael Ponder Vice President, Credit Suisse Securities (USA) LLC c/o Credit Suisse Alternative Capital, Inc. (since 2007); Attorney, Willkie Farr & Gallagher LLP 11 Madison Avenue (2006-2007); Shearman & Sterling LLP (2005-2006); New York, NY 10010 Seward & Kissel LLP (2003-2005). Age 35 Secretary Since July 2007
20 CREDIT SUISSE ALTERNATIVE CAPITAL MULTI-STRATEGY MASTER FUND, LLC OTHER INFORMATION (UNAUDITED) -------------------------------------------------------------------------------- PROXY VOTING ------------ The Master Fund invests substantially all of its assets in the securities of Portfolio Funds, which are privately placed investment vehicles, typically referred to as "hedge funds" ("Hedge Funds"). These securities do not typically convey traditional voting rights to the holder and the occurrence of corporate governance or other notices for this type of investment is substantially less than that encountered in connection with registered equity securities. However, to the extent the Master Fund receives notices or proxies from Portfolio Funds (or receives proxy statements or similar notices in connection with any other portfolio securities), the Master Fund has delegated proxy-voting responsibilities to the Investment Adviser. The Investment Adviser has adopted its own Proxy Voting Policies and Procedures ("Policies"). The Policies address, among other things, conflicts of interest that may arise between the interests of the Master Fund and the interests of the Investment Adviser and its affiliates. A description of the Investment Adviser's Policies is available (i) without charge, upon request, by calling the Master Fund toll-free at 1-800-910-2732, and (ii) on the SEC's website at www.sec.gov. In addition, the Master Fund is required to file Form N-PX with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Master Fund Form N-PX is available (i) without charge, upon request, by calling the Master Fund toll free at 1-800-910-2732 and (ii) on the SEC's website at www.sec.gov. AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES --------------------------------------------- The Master Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and third quarters of each fiscal year on Form N-Q. The Master Fund's Form N-Q filings are available on the SEC's website at www.sec.gov or may be reviewed and copied at the SEC's Public Reference Room in Washington D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. 21 ITEM 2. CODE OF ETHICS. The information required by this Item is only required in an annual report on Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The information required by this Item is only required in an annual report on Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. The information required by this Item is only required in an annual report on Form N-CSR. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. The information required by this Item is only required in an annual report on Form N-CSR. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant's most recently filed annual report on Form N-CSR. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which Members may recommend nominees to the Boards implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) Registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. (b) No change in Registrant's internal control over financial reporting occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, Registrant's process used to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. ITEM 12. EXHIBITS. (a)(1) The information required by this Item is only required in an annual report on Form N-CSR. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (b) Not applicable. 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) Credit Suisse Alternative Capital Multi-Strategy Master Fund, LLC -------------------------------------------------------------------- By (Signature and Title)* /s/ Egidio Robertiello ------------------------------------------------------- Egidio Robertiello, President (principal executive officer) Date 12/8/2008 ---------------------------------------------------------------------------- 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/ Egidio Robertiello ------------------------------------------------------- Egidio Robertiello, President (principal executive officer) Date 12/8/2008 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ Sandra DeGaray ------------------------------------------------------- Sandra DeGaray, Chief Financial Officer and Treasurer (principal financial officer) Date 12/8/2008 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.