-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, RGaVqFjycOF02FByipYoDOpTlQa+Rptpdkb7OqqXmnj54WQwhDaLwutPwm71dWo5 YqbkXaZqRIIqYgaysaH+jQ== 0000935069-08-001432.txt : 20080609 0000935069-08-001432.hdr.sgml : 20080609 20080609163350 ACCESSION NUMBER: 0000935069-08-001432 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20080331 FILED AS OF DATE: 20080609 DATE AS OF CHANGE: 20080609 EFFECTIVENESS DATE: 20080609 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Old Mutual Absolute Return Master Fund, L.L.C. CENTRAL INDEX KEY: 0001360767 IRS NUMBER: 421702426 STATE OF INCORPORATION: DE FISCAL YEAR END: 0307 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21911 FILM NUMBER: 08888464 BUSINESS ADDRESS: STREET 1: 800 WESTCHESTER AVENUE, S-618 CITY: RYE BROOK STATE: NY ZIP: 10573 BUSINESS PHONE: 888-266-2200 MAIL ADDRESS: STREET 1: 800 WESTCHESTER AVENUE, S-618 CITY: RYE BROOK STATE: NY ZIP: 10573 FORMER COMPANY: FORMER CONFORMED NAME: Old Mutual 2100 Absolute Return Master Fund, L.L.C. DATE OF NAME CHANGE: 20060426 N-CSR 1 omabsretmasterarcomb3_08.txt OLD MUTUAL ABSOLUTE RETURN MASTER AR COMB 3_08 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 811-21911 OLD MUTUAL ABSOLUTE RETURN MASTER FUND, L.L.C. (Exact name of registrant as specified in charter) -------- 800 Westchester Avenue, S-618 Rye Brook, New York 10573 (Address of principal executive offices) (Zip code) SEI Investments Distributors One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-888-266-2200 DATE OF FISCAL YEAR END: MARCH 31 DATE OF REPORTING PERIOD: MARCH 31, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. Old Mutual Absolute Return Master Fund, L.L.C. (formerly Old Mutual 2100 Absolute Return Master Fund, L.L.C.) Financial Statements For the year ended March 31, 2008 Old Mutual Absolute Return Master Fund, L.L.C. Table of Contents Financial Statements: Report of Independent Registered Public Accounting Firm................... 1 Schedule of Investments................................................... 2 Statement of Assets and Liabilities....................................... 4 Statement of Operations................................................... 5 Statements of Changes in Members' Capital................................. 6 Statement of Cash Flows................................................... 7 Financial Highlights...................................................... 8 Notes to Financial Statements............................................. 9 Board of Managers and Officers of the Fund (unaudited).................... 22 The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the "Commission") for the first and third quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities, as well as information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling toll free (888) 266-2200; and (ii) on the Commission's website at http://www.sec.gov. Anchin, Block & Anchin, LLP Accountants & Advisors 1375 Broadway New York, NY 10018 212 840-3456 WWW.ANCHIN.COM Report of Independent Registered Public Accounting Firm To the Board of Managers and Members Old Mutual Absolute Return Master Fund, L.L.C. We have audited the accompanying statement of assets and liabilities of Old Mutual Absolute Return Master Fund, L.L.C. (formerly Old Mutual 2100 Absolute Return Master Fund, L.L.C.) as of March 31, 2008 and the related statements of operations and cash flows for the year then ended and changes in members' capital and financial highlights for the year then ended and for the period November 1, 2006 (commencement of operations) through March 31, 2007. These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned as of March 31, 2008, by correspondence with custodian and portfolio funds. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Old Mutual Absolute Return Master Fund, L.L.C. as of March 31, 2008, and the results of its operations and its cash flows for the year then ended and changes in members' capital and financial highlights for the year then ended and for the period November 1, 2006 (commencement of operations) through March 31, 2007, in conformity with accounting principles generally accepted in the United States of America. Anchin, Block & Anchin LLP New York, N. Y. May 29, 2008 1 Old Mutual Absolute Return Master Fund, L.L.C. Schedule of Investments March 31, 2008 INVESTMENT STRATEGIES AS A PERCENTAGE OF TOTAL INVESTMENTS [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Capital Structure Arbitrage 5.6% Commodity Trading Advisor 20.5% Equity Long Bias 11.8% Equity Market Neutral 12.2% Equity Variable Bias 17.5% Event Driven 11.7% Long/Short Equity 14.2% Relative Value 6.5%
%* OF MEMBERS' PORTFOLIO FUND COST VALUE CAPITAL LIQUIDITY - -------------------------------------------------------------------------------------------------------- CAPITAL STRUCTURE ARBITRAGE: BAM Opportunity Fund, L.P. $ 514,000 $ 600,403 4.63% Quarterly ----------------------------------------- TOTAL CAPITAL STRUCTURE ARBITRAGE 514,000 600,403 4.63% ----------------------------------------- COMMODITY TRADING ADVISOR: Renaissance Institutional Futures Fund LLC 419,437 457,643 3.53% Monthly Sumatra Futures Fund LP 450,000 509,822 3.94% Quarterly Tudor Tensor Fund, L.P. 1,000,000 1,231,024 9.50% Monthly ----------------------------------------- TOTAL COMMODITY TRADING ADVISOR 1,869,437 2,198,489 16.97% ----------------------------------------- EQUITY LONG BIAS: JANA Partners Qualified, L.P. 448,000 469,769 3.63% Quarterly Quadrangle Equity Investors, L.P. 415,000 415,869 3.21% Quarterly Renaissance Institutional Equities Fund, LLC 397,497 381,175 2.94% Monthly ----------------------------------------- TOTAL EQUITY LONG BIAS 1,260,497 1,266,813 9.78% ----------------------------------------- EQUITY MARKET NEUTRAL: The Black Mesa Fund, LLC 227,284 239,897 1.85% Monthly Two Sigma Spectrum U.S. Fund, L.P. 1,000,000 1,062,186 8.20% Quarterly ----------------------------------------- TOTAL EQUITY MARKET NEUTRAL 1,227,284 1,302,083 10.05% -----------------------------------------
2 Old Mutual Absolute Return Master Fund, L.L.C. Schedule of Investments (concluded) March 31, 2008
%* OF MEMBERS' PORTFOLIO FUND COST VALUE CAPITAL LIQUIDITY - -------------------------------------------------------------------------------------------------------- EQUITY VARIABLE BIAS: 7x7 Institutional Partners, L.P. $ 458,000 $ 542,739 4.19% Monthly Cedar Hill Capital Partners Onshore, L.P. 200,767 792,814 6.12% Quarterly Rosen Real Estate Securities Value Fund II, L.P. 468,000 536,683 4.14% Quarterly ----------------------------------------- TOTAL EQUITY VARIABLE BIAS 1,126,767 1,872,236 14.45% ----------------------------------------- EVENT DRIVEN: Claren Road Credit Partners, L.P. 458,000 533,318 4.11% Quarterly GoldenTree Partners, L.P. 708,000 718,509 5.55% Quarterly ----------------------------------------- TOTAL EVENT DRIVEN 1,166,000 1,251,827 9.66% ----------------------------------------- LONG/SHORT EQUITY: FrontPoint Onshore Financial Services Fund, L.P. 500,000 494,011 3.81% Quarterly Galante Partners, L.P. 500,000 529,443 4.09% Quarterly Longbow Infrastructure, L.P. 500,000 495,380 3.82% Quarterly ----------------------------------------- TOTAL LONG/SHORT EQUITY 1,500,000 1,518,834 11.72% ----------------------------------------- RELATIVE VALUE: Ellington Mortgage Partners, L.P. 823,992 702,328 5.42% Quarterly ** ----------------------------------------- TOTAL RELATIVE VALUE 823,992 702,328 5.42% ----------------------------------------- TOTAL PORTFOLIO FUNDS $ 9,487,977 $ 10,713,013 82.68% =========================================
* Percentages are based on Members' Capital at end of period of $12,957,208. ** The manager has temporarily suspended redemptions. The aggregate cost of investments for tax purposes was $9,487,977. Net unrealized appreciation on investments for tax purposes was $1,225,036 consisting of $1,373,631 of gross unrealized appreciation and ($148,595) of gross unrealized depreciation. The investments in Portfolio Funds shown above, representing 82.68% of Members' Capital, have been fair valued as described in Note 2.B. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 3 Old Mutual Absolute Return Master Fund, L.L.C. Statement of Assets and Liabilities March 31, 2008 ASSETS Investments in Portfolio Funds, at fair value (cost $9,487,977) $ 10,713,013 Cash and cash equivalents 226,877 Fund Investments Made in Advance 1,250,000 Receivable for Investments sold 1,073,593 Due from Old Mutual Absolute Return Institutional Fund, L.L.C. 99,020 Interest receivable 3,997 ------------ TOTAL ASSETS 13,366,500 ------------ LIABILITIES Payable to Adviser 189,007 Professional fees payable 158,739 Redemptions payable 53,178 Administration fees payable 3,493 Board of Managers' fees payable 3,750 Other accrued expenses 1,125 ------------ TOTAL LIABILITIES 409,292 ------------ NET ASSETS $ 12,957,208 ============ MEMBERS' CAPITAL Net capital $ 11,537,069 Accumulated net investment loss (418,070) Accumulated net realized gain on Portfolio Funds 613,173 Net unrealized appreciation on investments in Portfolio Funds 1,225,036 ------------ MEMBERS' CAPITAL $ 12,957,208 ============ THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 4 Old Mutual Absolute Return Master Fund, L.L.C. Statement of Operations For the year ended March 31, 2008 INVESTMENT INCOME: Interest $ 36,632 ------------ EXPENSES: Professional fees 234,832 Insurance fees 25,872 Marketing fees 23,312 Offering costs 8,590 Board of Managers' fees 7,500 Administration fee 5,000 Custody fee 1,500 Other expenses 36,921 ------------ Total expenses 343,527 ------------ NET INVESTMENT LOSS (306,895) ------------ NET REALIZED AND UNREALIZED GAIN/(LOSS)ON INVESTMENTS IN PORTFOLIO FUNDS Net Realized Gain on Investments in Portfolio Funds 618,091 Net Change in Unrealized Appreciation on Investments in Portfolio Funds 690,424 ------------ NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS IN PORTFOLIO FUNDS 1,308,515 ------------ NET INCREASE IN MEMBERS' CAPITAL DERIVED FROM INVESTMENT ACTIVITIES $ 1,001,620 ============ THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 5 Old Mutual Absolute Return Master Fund, L.L.C. Statements of Changes in Members' Capital
For the Year November 1, 2006* Ended to March 31, 2008 March 31, 2007 --------------- ------------------ FROM INVESTMENT ACTIVITIES: Net investment loss** $ (306,895) $ (111,175) Net realized gain (loss) on investments in Portfolio Funds 618,091 (4,918) Net change in unrealized appreciation on investments in Portfolio Funds 690,424 534,612 -------------- ----------------- Net increase in Members' Capital derived from investment activities 1,001,620 418,519 -------------- ----------------- MEMBERS' CAPITAL TRANSACTIONS: Proceeds from Sales of Interests 1,481,395 10,696,310 Redemptions of Interests (542,328) (103,408) -------------- ----------------- Total Members' Capital Transactions 939,067 10,592,902 -------------- ----------------- NET INCREASE IN MEMBERS' CAPITAL: 1,940,687 11,011,421 Members' Capital at Beginning of Period 11,016,521 5,100 -------------- ----------------- Members' Capital at End of Period $ 12,957,208 $ 11,016,521 ============== ================= ACCUMULATED NET INVESTMENT LOSS $ (418,070) $ (111,175) ============== =================
* Commencement of operations. ** Investment income less net expenses. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 6 Old Mutual Absolute Return Master Fund, L.L.C. Statement of Cash Flows For the year ended March 31, 2008 CASH FLOWS FROM OPERATING ACTIVITIES Net increase in Members' Capital derived from investment activities $ 1,001,620 Adjustments to reconcile net increase in Members' Capital derived from investment activities to net cash used in operating activities: Purchases of Portfolio Funds (2,796,271) Proceeds from sales of Portfolio Funds 4,138,385 Net realized gain on Investments in Portfolio Funds (618,091) Net change in unrealized appreciation on investments in Portfolio Funds (690,424) Increase in receivable for Investments sold (829,511) Decrease in deferred offering costs 8,590 Increase in interest receivable (2,027) Increase in Fund Investments Made in Advance (1,250,000) Increase in due from Absolute Return Institutional Fund, L.L.C. (99,020) Decrease in due to Emerging Managers Master Fund, L.L.C. (99,000) Increase in payable to Adviser 79,382 Increase in professional fees payable 69,330 Increase in administration fee payable 1,410 Increase in Board of Managers' fees payable 2,708 Decrease in other accrued expenses (26,968) ------------- Net cash used in operating activities (1,109,887) ------------- CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from Sale of Interests 1,481,395 Redemptions of Interests (539,491) ------------- Net cash provided by financing activities 941,904 ------------- NET DECREASE IN CASH AND CASH EQUIVALENTS (167,983) Cash and cash equivalents, beginning of Year 394,860 ------------- CASH AND CASH EQUIVALENTS, END OF YEAR $ 226,877 ============= SUPPLEMENTAL DISCLOSURE OF NON-CASH FINANCING ACTIVITIES Redemptions payable $ 53,178 =============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 7 Old Mutual Absolute Return Master Fund, L.L.C. Financial Highlights For the Year November 1, 2006* Ended to March 31, 2008 March 31, 2007 -------------- ----------------- Total Return 8.83% 3.95% (1) Net assets, end of period (000's) $ 12,957 $ 11,017 Ratio to average net assets: Expenses(2) 2.86% 2.93% (3) Net investment loss (2.56)% (2.52)% (3) Portfolio turnover rate 25.01% 2.52% (4) * Commencement of operations. (1) Total return is for the period indicated and has not been annualized. (2) Expenses of Portfolio Funds are not included in the expense ratio. (3) Annualized. (4) Not annualized. Note: The expense ratios, the net investment loss ratio, and the total return percentages are calculated for the Members taken as a whole. The computation of such ratios and return based on the amount of expenses charged to any specific Member may vary from the overall ratios presented in the financial statements as a result of the timing of capital transactions. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 8 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements March 31, 2008 1. ORGANIZATION Old Mutual Absolute Return Master Fund, L.L.C. (the "Fund") (formerly Old Mutual 2100 Absolute Return Master Fund, L.L.C.) is a Delaware limited liability company that is registered under the Investment Company Act of 1940, as amended (the "1940 Act") as a non-diversified, closed-end, management investment company, which was formed on April 25, 2006 and commenced operations on November 1, 2006. The Fund is a master fund in a master/feeder structure into which its feeder funds, Old Mutual Absolute Return Fund, L.L.C. (the "Feeder Fund") (formerly Old Mutual 2100 Absolute Return Fund, L.L.C.) and Old Mutual Absolute Return Institutional Fund, L.L.C. (the "Institutional Feeder Fund") (formerly Old Mutual 2100 Absolute Return Institutional Fund, L.L.C.), (collectively, the "Feeders" or "Members"), invest substantially all of their assets. As of March 31, 2008, the Feeder Fund's investment in the Fund represented 89.7% of Members' Capital, the Institutional Feeder Fund's investment in the Fund represented 1.6% of Members' Capital and an affiliate of the Adviser (as defined in Note 3.A.) had an investment in the Fund which represented 8.7% of Members' Capital. The Fund employs a "fund of funds" investment program that enables eligible investors, through one investment, to participate in the investment programs of a professionally selected group of asset managers without being subject to the high minimum investment requirements that many asset managers typically impose. The Fund is similar to a private investment fund in that it is actively managed and interests in the Feeders ("Interests") are sold solely to high net worth individual and institutional investors, but differs from a typical private investment fund in that it has registered as an investment company under the 1940 Act. The Fund's investment objective is to seek to generate attractive returns while attempting to reduce volatility. The Fund invests its assets primarily in private investment funds, joint ventures, investment companies and other similar investment vehicles ("Portfolio Funds") that are managed by a select group of portfolio managers ("Portfolio Managers") that invest in a variety of financial markets and utilize a broad range of alternative investment strategies. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund's financial statements are prepared in conformity with accounting principles generally accepted in the United States of America. The following is a summary of the significant accounting policies followed by the Fund: A. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires the Adviser to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from these estimates. 9 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) B. Portfolio Valuation and Investment Transactions The net asset value of the Fund is determined by or at the discretion of the Adviser as of the close of business as of the end of each month in accordance with the valuation principles as may be determined from time to time pursuant to policies established by the Fund's Board of Managers (the "Board"). The net asset value of the Fund is primarily based on the fair value of each of its interests in Portfolio Funds. Ordinarily, these values are determined by the Portfolio Managers of the Portfolio Funds in accordance with the Portfolio Funds' valuation policies and as reported by the Portfolio Managers. As a general matter, the fair value of the Fund's interest in a Portfolio Fund represents the amount that the Fund could reasonably expect to receive from the Portfolio Fund if the Fund's interest were redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. The Fund's valuation procedures require the Adviser to consider all relevant information available at the time the Fund values its assets. The Adviser or, in certain cases, the Fund's Board, will consider such information, and may conclude in certain circumstances that the information provided by a Portfolio Manager does not represent the fair value of the Fund's interests in a Portfolio Fund. Following procedures adopted by the Board, in the absence of specific transaction activity in interests in a particular Portfolio Fund, the Fund could consider whether it was appropriate, in light of all relevant circumstances, to value such a position at the Portfolio Fund's net asset value as reported at the time of valuation, or whether to adjust such value to reflect a premium or discount to net asset value. Any such decision must be made in good faith, and subject to the review and supervision of the Board. Ellington Mortgage Partners, L.P. is in the process of liquidating their portfolio. They still have active positions that they are managing and are attempting to reduce in an opportunistic way. There is no timeline of how long they expect the liquidation to take. As of December 31, 2007 the financial statements of Ellington Mortgage Partners, L.P. included investments whose fair values have been estimated by the investment manager in the absence of readily determinable fair values. The Funds proportionate share of these investments was $1,143,953 at December 31, 2007. Those estimated values may differ significantly from the value that would have been used had a ready market for the investments existed, and differences could be material. Financial statements subsequent to December 31, 2007 were not available. Realized gains and losses from Portfolio Fund transactions are calculated on the identified cost basis. Investment transactions are recorded on the effective date of the subscription to or redemption from the Portfolio Fund. Interest income is recorded on an accrual basis and consists of interest earned on cash balances. C. Income Taxes Counsel to the Fund rendered an opinion that the Fund will be classified as a partnership and not as an association taxable as a corporation for Federal tax purposes. Counsel to the Fund also rendered its opinion that, under a "facts and circumstances" test, the Fund will not be treated as a "publicly traded partnership" taxable as a corporation. Accordingly, the Fund should not be subject to Federal income tax, and each Member will be required to report on its own annual tax return such Member's distributive share of the Fund's taxable income or loss. 10 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONCLUDED) On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Accordingly, the Fund adopted FIN 48 effective April 1, 2007. Based on its analysis, management has determined that the adoption of FIN 48 did not have a material impact to the Fund's financial statements upon adoption. However, management's conclusions regarding FIN 48 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, and on-going analyses of and changes to tax laws, regulations and interpretations thereof. D. Distribution Policy The Fund has no present intention of making periodic distributions of its net investment income or capital gains, if any, to Members. The amount and frequency of distributions, if any, will be determined in the sole discretion of the Board. E. Distributions from Portfolio Funds Distributions from Portfolio Funds will be classified as investment income or realized gains in the Statements of Operations, or alternatively, as a decrease to the cost of the investments based on the U.S. income tax characteristics of the distribution if such information is available. In cases where the tax characteristics are not available, such distribution will be classified as investment income. F. Cash and cash equivalents As of March 31, 2008, cash consists of an investment in a money market fund affiliated with the Administrator (as defined in Note 3). The investment is carried at cost, which approximates market value. 3. MANAGEMENT FEE, RELATED PARTY TRANSACTIONS AND OTHER A. Related Parties Larch Lane Advisors LLC (the "Adviser") (formerly, 2100 Larch Lane LLC), a Delaware limited liability company, serves as the investment adviser of the Fund pursuant to an agreement dated October 13, 2006. The initial term of the agreement expires on October 13, 2008 and may be continued in effect from year to year thereafter if its continuance is approved annually. The Adviser is registered as an investment adviser under the Investment Advisers Act of 1940, as amended (the "Advisers Act"). LLA 11 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 3. MANAGEMENT FEE, RELATED PARTY TRANSACTIONS AND OTHER (CONTINUED) Holdings, LLC, the special member of the Adviser, owns 81.25% of the Adviser and is an indirect majority-owned subsidiary of Old Mutual (US) Holdings, Inc. ("OMUSH"), which is a wholly-owned subsidiary of Old Mutual plc, a London exchange listed international financial services firm. OMUSH is also a member of the Fund. OMUSH purchased $1,000,000 of Interests during the period ended March 31, 2007. OMUSH did not purchase or sell any Interests during the year ended March 31, 2008 and owns $1,131,256 of Interests as of March 31, 2008. The Adviser is responsible for developing, implementing and supervising the Fund's investment program and providing day-to-day management services to the Fund. The Adviser has also paid various expenses for the Fund for which the Fund has a non-interest bearing payable which is due upon demand. Under the agreement with the Adviser, the Fund does not pay any investment management fee to the Adviser. The fees are paid at the Feeder Fund level. However, under the agreement, in the event the Adviser ceases to serve as the Adviser to each Feeder, the Master Fund would then be subject to a fee that is calculated and payable in accordance with the lowest annual rate that had most recently been charged by the Adviser to a Feeder. The Fund and the Feeder Fund have entered into a Master/Feeder Agreement dated October 13, 2006 and the Fund and the Institutional Feeder Fund have entered into a Master/Feeder Agreement dated February 8, 2007. Pursuant to the agreement, the Fund and the Feeders will each have the same investment objective and substantially the same investment policies. The Feeders will pursue their investment objectives by investing on an ongoing basis substantially all of their investable assets in the Fund in exchange for limited liability company interests in the Fund. The Master/Feeder Agreements will remain in effect unless terminated by the Fund or the Feeders. B. Other Pursuant to an administrative services agreement dated October 13, 2006 and amended February 8, 2007, SEI Investments Global Funds Services (the "Administrator"), provides various administrative services to the Fund and the Feeders, including fund accounting, investor accounting and taxation services, maintaining the register of the Fund and generally performing all actions related to the issuance and transfer of Interests; reviewing and, subject to approval by the Fund, accepting subscriptions for Interests and accepting payment therefore; performing all acts related to the repurchase of Interests; and performing all other clerical services necessary in connection with the administration of the Fund. The initial term of the agreement expires on November 1, 2009 and may be continued in effect from year to year thereafter if its continuance is approved annually. In consideration for the services provided by the Administrator, the Fund pays the Administrator a monthly fee calculated and assessed monthly in arrears at an annualized rate of 0.01% of the Fund's net assets, subject to a minimum annual fee of $5,000. SEI Private Trust Company (the "Custodian") serves as the custodian for the assets of the Fund pursuant to an agreement dated October 13, 2006. In consideration for the services provided by the Custodian, the Fund pays the Custodian a monthly fee at an annualized rate of 0.0075% of the Fund's net assets, subject to a minimum annual fee of $1,500. The agreement will remain in effect unless terminated by the Fund or the Custodian. 12 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 3. MANAGEMENT FEE, RELATED PARTY TRANSACTIONS AND OTHER (CONTINUED) The Fund is managed by the Board of Managers (the "Board") and each member of the Board who is not an "interested manager" of the Fund, as defined by the 1940 Act (the "Independent Managers"), is entitled to an annual retainer of $2,500 and will be reimbursed by the Fund for travel-related expenses. The Independent Managers of the Board are Gerald Hellerman, Paul D. Malek, and George W. Morriss. 4. FUND EXPENSES The Fund bears its own operating expenses. These operating expenses include, but are not limited to: all investment-related expenses (including, but not limited to, fees paid directly or indirectly to Portfolio Managers, investment-related interest expenses, all costs and expenses directly related to portfolio transactions and positions, transfer taxes and premiums and taxes withheld on foreign dividends); any non-investment related interest expense; fees and disbursements of any attorneys or accountants engaged on behalf of the Fund; entity-level taxes, audit and tax preparation fees and expenses; administrative expenses and fees of the Fund; custody expenses of the Fund; the costs of an errors and omissions/directors and officers liability insurance and a fidelity bond for the Fund; fees and travel-related expenses of the Board of the Fund who are not employees of the Adviser or any affiliate of the Adviser; all costs and charges for equipment or services used in communicating information regarding the Fund's transactions among the sub-Adviser and any custodian or other agent engaged by the Fund; any extraordinary expenses; and such other expenses as may be approved from time to time by the Board. Amounts shown as expenses in the statement of operations and financial highlights include only those expenses charged directly to the Fund and do not reflect management fees, advisory fees, brokerage commissions and other fees and expenses incurred by the Portfolio Funds in which the Fund invested. These amounts are included in realized and unrealized gain (loss) on investments in funds in the statement of operations. The Fund also indirectly bears fees and expenses of the Portfolio Funds. Each Portfolio Manager generally receives a management fee and a performance fee or allocation with respect to the assets of Portfolio Funds that it manages. The amount of these fees and allocations varies among Portfolio Managers, but the management fees are generally expected to be between 1.0%-2.0%, on an annual basis, of the total assets managed by a Portfolio Manager, and the performance fees or allocations are generally expected to be between 15%-25% of the net capital appreciation (if any) in the assets managed by a Portfolio Manager. 5. INITIAL OFFERING COSTS The Fund incurred initial offering costs totaling approximately $14,725 comprised principally of legal costs pertaining to the preparation of the Fund's offering documents. These costs were amortized over the initial twelve-month period, which expired on October 31, 2007. 13 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 6. BORROWINGS The Fund is authorized to borrow money for investment purposes, to meet repurchase requests and for cash management purposes. Borrowings by the Fund are subject to a 300% asset coverage requirement under the 1940 Act. Portfolio Funds that are not registered investment companies are not subject to this requirement. The Fund had no borrowings during the year ended March 31, 2008. 7. CAPITAL ACCOUNTS AND ALLOCATIONS The Fund maintains a separate capital account for each Member. The net profits or net losses of the Fund (including, without limitation, net realized gain or loss and the net change in unrealized appreciation or depreciation of securities positions) are credited to or debited against the capital accounts of Members as of the end of each fiscal period in accordance with their respective investment percentages for the period. Each Member's investment percentage is determined each fiscal period by dividing, as of the commencement of the period, the balance of the Member's capital account by the sum of the balances of the capital accounts of all Members. A fiscal period begins on the day after the last day of the preceding fiscal period and ends at the close of business on the first to occur of: (i) the last day of each fiscal year (March 31); (ii) the last day of each taxable year (December 31); (iii) the day preceding the date as of which any contributions to the capital of the Fund is made; (iv) any day as of which the Fund repurchases the Interest (or portion thereof) of any Member; or (v) any day as of which any amount is credit 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. 8. SUBSCRIPTIONS AND REDEMPTIONS OF INTERESTS The Board may admit one or more Members generally at the beginning of each month; provided, however, that the Fund may, in the discretion of the Board, admit Members more or less frequently. No Member or other person holding an Interest or portion thereof shall have the right to require the Fund to repurchase that Interest or portion thereof. The Board, in its sole discretion and on such terms and conditions as it may determine, may cause the Fund to repurchase Interests or portions thereof pursuant to written tenders. However, the Fund shall not offer to repurchase Interests on more than four occasions during any one fiscal year; provided that offers made more than semi-annually in any taxable year shall only be accepted if Members give at least 65 days' notice of their acceptance in any tax year, unless it has consulted with counsel to the Fund and determined that more frequent offers would not cause any adverse tax consequences to the Fund or the Members. In determining whether to cause the Fund to repurchase Interests or portions thereof pursuant to written tenders, the Board shall consider, among other things, the recommendation of the Adviser. 9. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK In the normal course of business, the Portfolio Funds in which the 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 options contracts, and swap contracts. The Fund's risk of loss in the Portfolio Funds is limited to the value of the Fund's Investment. 14 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 10. INDEMNIFICATIONS In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 11. CONCENTRATION OF RISK The Fund invests primarily in Portfolio Funds that are not registered under the 1940 Act which invest in and actively trade securities and other financial instruments using different strategies and investment techniques, including leverage, which may involve significant risks. These Portfolio Funds may invest a high percentage of their assets in specific sectors of the market in order to achieve a potentially greater investment return. As a result, the Portfolio Funds may be more susceptible to economic, political, and regulatory developments in a particular sector of the market, positive or negative, and may experience increased volatility of the Portfolio Funds' net asset value. The Fund may invest in a limited number of Portfolio Funds. Such concentration may result in additional risk. The Portfolio Funds may enter into the following transactions and certain of the related risks are described below: A. Short Sales Short sales are sales of securities that are not owned or that are not intended for delivery and the seller will therefore be obligated to purchase such securities at a future date. The value of the open short position is recorded as a liability, and the seller records unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position. A realized gain or loss is recorded when the short position is closed out. By entering into short sales, the seller bears the market risk of increases in value of the security sold short in excess of the proceeds received. B. Swap Agreements A swap contract is a contract under which two parties agree to make periodic payments to each other based on the value of a security, a specified interest rate, an index or the value of some other instrument applied to a stated or "notional" amount. Swaps are subject to various types of risk, including market risk, liquidity risk, counterparty credit risk, legal risk and operations risk. C. Options The Portfolio Funds may buy or write put and call options through listed exchanges and the over-the-counter market. The buyer has the right, but not the obligation, to purchase (in the case of a call option) or sell (in the case of a put option) a specified quantity of a specific security or other underlying asset at a specified price prior to or on a specified expiration date. The writer of an option is exposed to the risk of loss if the market price of the underlying asset declines (in the case of a put option) or increases (in the case of call option). The writer of an option can never profit by more than the premium paid by the buyer but can lose an unlimited amount. 15 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 11. CONCENTRATION OF RISK (CONTINUED) D. Futures Contracts The Portfolio Funds may use futures contracts for hedging and non-hedging purposes. Upon entering into a futures contract, the Portfolio Funds are required to deposit an amount ("initial margin") equal to a certain percentage of the contract value. Pursuant to the contract, the Portfolio Funds agree to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Portfolio Funds as unrealized gains or losses. When the contract is closed, the Portfolio Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time when it was closed. The use of futures transactions includes the risk of imperfect correlation in movements in the price of futures contracts, interest rates, underlying hedged assets, and the possible inability of the counterparties to meet the terms of their contracts. E. Leverage Transactions In order to obtain more investable cash, the Portfolio Funds may use various forms of leverage including purchasing securities on margin. Such leverage may allow the Portfolio Funds to increase partners' capital at a greater rate during favorable markets, but also may lead to a more rapid decrease in partners' capital in unfavorable markets. A margin transaction consists of purchasing an investment with money loaned by a broker and agreeing to repay the broker at a later date. Interest expense on the outstanding margin balance is based on market rates at the time of the borrowing. F. Forward Foreign Currency Contracts The Portfolio Funds may enter into forward foreign currency contracts. Forward contracts are over-the-counter contracts for delayed delivery of currency in which the buyer agrees to buy and the seller agrees to deliver a specified currency at a specified price on a specified date. Because the terms of forward contracts are not standardized, they are not traded on organized exchanges and generally can be terminated or closed-out only by agreement of both parties to the contract. All commitments are marked to market on each valuation date at the applicable foreign exchange rate and any resulting unrealized gain or loss is recorded on such date. The Portfolio Fund realizes gains and losses at the time forward contracts are extinguished or closed upon entering into an offsetting contract. G. Repurchase Agreements Repurchase agreements are agreements under which a Portfolio Fund or the Fund purchases securities from a bank that is a member of the Federal Reserve System, a foreign bank or a securities dealer that agrees to repurchase the securities from the Portfolio Fund at a higher price on a designated future date. If the seller under a repurchase agreement becomes insolvent, the Portfolio Fund's right to dispose of the securities may be restricted, or the value of the securities may decline before the Portfolio Fund is able to dispose of them. 16 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 11. CONCENTRATION OF RISK (CONTINUED) H. Reverse Repurchase Agreements Reverse repurchase agreements are a form of borrowing that involves a sale of a security by a Portfolio Fund to a bank or securities dealer and the Portfolio Fund's simultaneous agreement to repurchase that security for a fixed price (reflecting a market rate of interest) on a specific date. These transactions involve a risk that the other party to a reverse repurchase agreement will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Portfolio Fund. Reverse repurchase transactions are a form of leverage and may increase the volatility of a Portfolio Fund's investment portfolio. I. Lending Portfolio Securities Portfolio Funds may lend securities held in their portfolios to brokers, dealers and other financial institutions needing to borrow securities to complete certain transactions. The lending Portfolio Fund continues to be entitled to payments in amounts equal to the interest, dividends or other distributions payable on the loaned securities which afford it an opportunity to earn interest on the amount of the loan and on the loaned securities' collateral. Loans of portfolio securities by a Sub-Manager may not exceed 33-1/3% of the value of a Portfolio Account's total assets, and, in respect of such transactions, the Portfolio Fund will receive collateral consisting of cash, U.S. Government Securities or irrevocable letters of credit which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. A Portfolio Fund might experience loss if the institution with which the Portfolio Fund has engaged in a portfolio loan transaction breaches its agreement with the Portfolio Fund. J. When-Issued and Forward Commitment Securities Portfolio Managers may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis in order to hedge against anticipated changes in interest rates and prices. These transactions involve a commitment by a Portfolio Fund to purchase or sell securities at a future date (ordinarily one or two months later). The price of the underlying securities, which is generally expressed in terms of yield, is fixed at the time the commitment is made, but delivery and payment for the securities takes place at a later date. No income accrues on securities that have been purchased pursuant to a forward commitment or on a when-issued basis prior to delivery to the Portfolio Fund. When-issued securities and forward commitments may be sold prior to the settlement date. If a Portfolio Fund disposes of the right to acquire a when-issued security prior to its acquisition or disposes of its right to deliver or receive against a forward commitment, it may incur a gain or loss. There is a risk that securities purchased on a when-issued basis may not be delivered and that the purchaser of securities sold by a Portfolio Fund on a forward basis will not honor its purchase obligation. In such cases, a Portfolio Fund may incur a loss. 17 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 11. CONCENTRATION OF RISK (CONTINUED) K. Restricted and Illiquid Investments Portfolio Funds may invest in restricted securities and other investments which are illiquid. Restricted securities are securities that may not be sold to the public without an effective registration statement under the Securities Act of 1933 or, if they are unregistered, may be sold only in a privately negotiated transaction or pursuant to an exemption from registration. The Fund's interests in unregistered Portfolio Funds are themselves illiquid and subject to substantial restrictions on transfer. The Fund may liquidate an interest and withdraw from an unregistered Portfolio Fund pursuant to limited withdrawal rights. The illiquidity of these interests may adversely affect the Fund if it is unable to withdraw its investment in a Portfolio Fund promptly after it determines to do so. L. Liquidity The Portfolio Funds provide for periodic redemptions, with lock-up provisions ranging from one year to three years from the initial investment. The liquidity provisions shown on the Schedule of Investments apply after the lock-up provisions expire. M. Credit Risk The Fund will be exposed to credit risk on Portfolio Funds with whom they trade and will always bear the risk of settlement on default. N. Interest Rate Risk A number of the underlying funds that the Fund invests in may be interest rate sensitive, which means that their value and consequently, the New Asset Value of the Fund, may fluctuate as interest rates fluctuate. 12. INVESTMENT TRANSACTIONS For the year ended March 31, 2008, the Fund made investments in Portfolio Funds in the amount of $2,796,271 and redeemed investments in Portfolio Funds in the amount of $4,138,385. 18 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 13. INVESTMENTS As of March 31, 2008, the Fund had investments in eighteen Portfolio Funds, none of which are related parties. The Fund limits its investment position in any one Portfolio Fund to less than 5% of the Portfolio Fund's outstanding voting securities, absent an order of the Securities and Exchange Commission (the "SEC") (or assurances from the SEC staff) under which the Fund's contribution and withdrawal of capital from a Portfolio Fund in which it holds 5% or more of the outstanding interests will not be subject to various 1940 Act prohibitions on affiliated transactions. The Fund also is not required to adhere to this 5% investment limitation to the extent that it relies on certain SEC rules that provide exemptions from 1940 Act prohibitions on affiliated transactions. However, to facilitate investments in smaller Portfolio Funds deemed attractive by the Adviser, the Fund may purchase non-voting securities of, or waive its right to vote its interests in, Portfolio Funds. Although the Fund may hold non-voting interests, the 1940 Act and the rules and regulations thereunder may nevertheless require the Fund to limit its position in any one Portfolio Fund, if investments in a Portfolio Fund by the Fund will equal or exceed 25% of the Portfolio Fund's assets, or such lower percentage limit as may be determined by the Fund in consultation with its counsel. These restrictions could change from time to time as applicable laws, rules or interpretations thereof are modified. Portfolio Funds' Investment Strategies: CAPITAL STRUCTURE ARBITRAGE Capital Structure Arbitrage managers will typically buy "long" and sell "short" different classes of securities of the same issuer in anticipation of profiting from the relative mispricing between them. Convertible-bond arbitrage and equity-warrant arbitrage are forms of balance-sheet arbitrage. COMMODITY TRADING ADVISOR Commodity Trading Advisor managers will typically have portfolio funds employing this particular strategy purchase and sell local or foreign currency, commodity futures and options or such futures contracts based on supply and demand factors affecting price within each market. Certain Portfolio funds also use commodity-related equities to implement their strategies. EQUITY LONG BIAS Equity Long Bias managers will typically have portfolios of long equities as well as some short positions. Unlike variable bias or market neutral, Equity Long Bias managers are expected to average at least 70% net long (gross long positions minus short positions). Leverage may be employed, though likely at a lower amount than market neutral or variable bias strategies. This strategy will show a high degree of correlation to equity markets, as the majority of their profits will stem from their long positions. Short positions will typically be used to hedge though may also be opportunistic in nature. EQUITY MARKET NEUTRAL Equity Market Neutral managers will typically have portfolios of long equities and short equities in equal amounts. While this strategy does offer some flexibility, managers in this strategy are expected to keep their net exposure within +/-20%. Leverage will be employed. Short positions can be hedges or profit centers. While an overall fund can be market neutral, managers may take sector exposure (though many do not). This strategy should show little correlation to equity markets, as returns are driven by stock picking, or in the case of quantitatively driven strategies, factors. 19 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (continued) 13. INVESTMENTS (CONTINUED) Portfolio Funds' Investment Strategies (concluded): EQUITY VARIABLE BIAS Equity Variable Bias managers will typically have portfolios of long equities and short equities. As per the strategy name, net exposure is variable, ranging from net long to net short to market neutral. Security selection may either be fundamental or quantitative while net exposure can be either bottom up (security specific) or top down (macro driven). Leverage is also variable, with some managers in this strategy using little or no leverage while others may use substantial leverage; typically, leverage will be lower than found in Equity Market Neutral. Short positions can be hedges or profit centers. While the bulk of the portfolio should consist of equities, indices, ETFS, options and futures may also be used. This strategy's correlation to equity markets will vary, with returns are driven by stock picking as well as net positioning. EVENT DRIVEN Event Driven managers will typically employ strategies that involve investing in companies experiencing significant corporate changes. Mispricings arise from events such as spin-offs, restructurings, stub trades, or other corporate changes that the broad market does not fully comprehend and appropriately value. This strategy also includes activist managers who take controlling stakes in companies and force the "event" internally. LONG/SHORT EQUITY Equity Long/Short managers generally involve making long and short equity investments, based primarily on the Advisor's assessment of fundamental value compared to market price. The managers employ a wide range of styles. RELATIVE VALUE Relative Value managers typically seek risk-adjusted absolute returns with volatility and correlation lower than the broad equity markets by allocating assets to Advisors that operate primarily in the global relative value sector. Relative value strategies seek to profit from the mispricing of financial instruments, capturing spreads between related securities that deviate from their fair value or historical norms. Directional and market exposure is generally held to a minimum or completely hedged. Strategies that may be utilized in the relative value sector include convertible arbitrage, equity arbitrage and fixed-income arbitrage. Other strategies may be employed as well. 20 Old Mutual Absolute Return Master Fund, L.L.C. Notes to Financial Statements (concluded) 14. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. At this time, management is evaluating the implications of FAS 157 and its impact on the financial statements has not yet been determined. 15. SUBSEQUENT EVENTS Subsequent to year end through May 29, 2008, the Fund received subscriptions in the amount of $3,070,117. 21 Old Mutual Absolute Return Master Fund, L.L.C. Board of Managers and Officers of the Fund (unaudited)
- -------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE FUNDS IN NAME, AGE, AND FUND COMPLEX OTHER AND POSITION LENGTH PRINCIPAL OVERSEEN DIRECTORSHIPS WITH THE OF TIME OCCUPATION DURING BY HELD BY FUND SERVED PAST 5 YEARS MANAGER MANAGERS - -------------------------------------------------------------------------------------------------------------------- DISINTERESTED MANAGERS+ - -------------------------------------------------------------------------------------------------------------------- Gerald Hellerman Indefinite/Since Principal, Hellerman 6 Director, The Mexico October 2006 Associates (financial and Equity and Income Fund, corporate consulting), 1993 - Inc.; Director, Year of Birth: 1937 present; Chief Compliance Innovative Clinical Officer, The Mexico Equity and Solutions, Ltd.; Income Fund, Inc., June 2001 - Director, FNC Realty; Manager present. Director, AirNet Systems, Inc.; Director, MVC Capital, Inc.; Director, Brantley Capital Corporation - -------------------------------------------------------------------------------------------------------------------- Paul D. Malek Indefinite/Since General Counsel, Latigo 6 None October 2006 Partners, LP (investment management), February 2006 - Year of Birth: 1967 present; Associate, Milbank, Tweed, Hadley & McCloy LLP, May 2001 - January 2006. Manager - -------------------------------------------------------------------------------------------------------------------- George W. Morriss Indefinite/Since Executive Vice President and 6 Trustee/Director, October 2006 Chief Financial Officer, open-end and closed-end People's Bank (financial funds in Neuberger Year of Birth: 1947 services company), 1991 - 2001. Berman Fund Complex. Manager - -------------------------------------------------------------------------------------------------------------------- INTERESTED MANAGER*+ - -------------------------------------------------------------------------------------------------------------------- Matthew Appelstein Indefinite/Since Senior Vice President of 6 Trustee, Old April 2008 Product Strategy and Mutual/Claymore Year of Birth: 1961 Retirement Solution Planning, Long-Short Fund; Old Mutual (US) Holdings Inc., Trustee, TS&W/Claymore Manager, President 2007 - present; Head of Tax-Advantaged Balanced and Chief Executive Investment Services and Fund Officer Product Development, Old Mutual (US) Holdings Inc., 2003 - 2007. - --------------------------------------------------------------------------------------------------------------------
22 Old Mutual Absolute Return Master Fund, L.L.C. Board of Managers and Officers of the Fund (unaudited) (concluded)
- -------------------------------------------------------------------------------------------------------------------- TERM OF OFFICE NUMBER OF NAME, AGE, AND FUNDS IN OTHER AND POSITION LENGTH PRINCIPAL FUND COMPLEX DIRECTORSHIPS WITH THE OF TIME OCCUPATION DURING OVERSEEN HELD BY FUND SERVED PAST 5 YEARS BY MANAGER MANAGERS - -------------------------------------------------------------------------------------------------------------------- OFFICERS WHO ARE NOT MANAGERS+ - -------------------------------------------------------------------------------------------------------------------- Ross Weissman Indefinite/Since Chief Financial Officer, Larch N/A N/A October 2006 Lane Advisors LLC, 2005 - present; Controller and Chief Year of Birth: 1970 Financial Officer, Larch Lane Advisors LP, 1999 - 2005. Treasurer and Chief Financial Officer - -------------------------------------------------------------------------------------------------------------------- M. Todd Williams Indefinite/Since Chief Compliance Officer and October 2006 Chief Legal Officer, Larch N/A N/A Lane Advisors LLC, 2003 - Year of Birth: 1972 present; Assistant General Counsel, Ranger Capital, March 2003 - July 2003; Associate, Chief Compliance Akin Gump Strauss Hauer & Feld, Officer LLP, September 1998 - February 2003. - --------------------------------------------------------------------------------------------------------------------
* Manager who is an "interested person" (as defined by the 1940 Act) of the Fund because he is the Principal Executive Officer of the Fund and he is an officer of an affiliate of the Adviser. + The address of each Manager and Officer is as follows: c/o Larch Lane Advisors LLC, 800 Westchester Avenue, S-618, Rye Brook, New York 10573. 23 ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. For the fiscal year ended March 31, 2008, there were no amendments to a provision of its code of ethics, nor were there any waivers granted from a provision of the code of ethics. A copy of this code of ethics is filed with this form N-CSR under Item 12 (a)(1). Item 3. Audit Committee Financial Expert. (a)(1) The registrant's board of managers has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a)(2) The audit committee financial expert is Gerald Hellerman. Mr. Hellerman is independent as defined in Form N-CSR Item 3(a)(2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by Anchin, Block & Anchin LLP ("Anchin") related to Old Mutual Absolute Return Master Fund (the "Fund"). Anchin billed the Fund aggregate fees for services rendered to the Fund for the fiscal years ended March 31, 2008 and March 31, 2007 as follows:
- ------------------------------------------------------------------------------ ---------------------------------------------------- 2008 2007 - ------------------------------------------------------------------------------ ---------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Fund that were service service Fund that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval - ------------------------------------------------------------------------------ ---------------------------------------------------- (a) Audit Fees(1) $62,695 N/A N/A $55,000 N/A N/A - ------------------------------------------------------------------------------ ---------------------------------------------------- (b) Audit-Related Fees $0 N/A N/A $0 N/A N/A - ------------------------------------------------------------------------------ ---------------------------------------------------- (c) Tax Fees $24,920 N/A N/A $20,000 N/A N/A - ------------------------------------------------------------------------------ ---------------------------------------------------- (d) All Other Fees(2) $0 N/A N/A $0 N/A N/A - ------------------------------------------------------------------------------ ----------------------------------------------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings or engagements. (2) Non-audit fees include amounts related to services provided in order to provide auditor consents for audits to be included in subsequent filings. (e)(1) The registrant's Audit Committee pre-approves the principal accountant's engagements for audit and non-audit services to the registrant and, as required, non-audit services to service affiliates on a case-by-case basis. Pre-approval considerations include whether the proposed services are compatible with maintaining the principal accountant's independence. (e)(2) Percentage of fees billed by Anchin applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: --------------------------------------------------------------- 2008 2007 --------------------------------------------------------------- Audit-Related Fees 0% 0% --------------------------------------------------------------- Tax Fees 0% 0% --------------------------------------------------------------- All Other Fees 0% 0% --------------------------------------------------------------- (f) Not applicable. (g) The amount of non-audit fees that were billed by Anchin for services rendered to (i) the registrant, and (ii) the registrant's investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended March 31, 2008 and March 31, 2007, were $0 and $0, respectively. (h) Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. The following is the Proxy Voting Policies and Procedures of Larch Lane Advisors LLC (the "Adviser") in its entirety: The Firm provides investment advisory services to private investment funds and managed accounts, and invests the assets of these Funds and accounts in securities issued by private issuers. Through these private issuers the Firm may be delegated the right to vote, on behalf of the Funds and accounts, proxies received from companies, the securities of which are owned by the underlying private issuers in which the Funds and accounts have invested. In addition, from time to time, the private issuers may amend or revise their governing documents or seek investor consents. The Firm has authority to vote proxies relating to such securities on behalf of the Funds and accounts it manages. The Securities and Exchange Commission (the "SEC") has adopted Rule 206(4)-6 under the Investment Advisers Act. Under this rule, registered investment advisers that exercise voting authority over securities held in client portfolios are required to implement proxy voting policies and describe those policies to their clients. The Investment Committee (which may delegate a Proxy Committee for this purpose) is responsible for making all proxy voting decisions in accordance with these proxy voting policy and procedures (the "POLICIES"). The investment team is responsible for the actual voting of all proxies in a timely manner, while the Compliance Officer is responsible for monitoring the effectiveness of the Policies. (SEE Section IV, "Procedures for Proxies".) The Policies attempt to generalize a complex subject. The Firm may, from time to time, determine that it is in the best interests of its clients to depart from specific policies described herein. The rationale for any such departure will be memorialized in writing by the Compliance Officer. I. GENERAL POLICY The general policy is to vote proxy proposals, amendments, consents or resolutions relating to client securities, including interests in private investment funds, if any (collectively, "PROXIES"), in a manner that reasonably furthers the best interests of the Funds managed by the Firm and is consistent with the investment philosophy as set forth in the relevant investment management documents, as determined by the Firm in its discretion, and taking into account relevant factors, including, but not limited to: o the impact on the value of the securities; o the anticipated costs and benefits associated with the proposal; o the effect on liquidity; and o customary industry and business practices. II. SPECIFIC POLICIES A. ROUTINE MATTERS Routine matters are typically proposed by Management (as defined below) of a company and meet the following criteria: (i) they do not measurably change the structure, management, control or operation of the company; (ii) they do not measurably change the terms of, or fees or expenses associated with, an investment in the company; and (iii) they are consistent with customary industry standards and practices, as well as the laws of the state of incorporation applicable to the company. For routine matters, the Firm will vote in accordance with the recommendation of the company's management, directors, general partners, managing members or trustees (collectively, the "MANAGEMENT"), as applicable, unless, in the Firm's opinion, such recommendation is not in the best interests of the investing Funds or accounts. 1. GENERAL MATTERS The Firm will generally vote for proposals: o to set time and location of annual meeting; o to change the fiscal year of the company; and o to change the name of a company. 2. BOARD MEMBERS A. ELECTION OR RE-ELECTION. The Firm will generally vote for Management proposals to elect or re-elect Board members. B. FEES TO BOARD MEMBERS. The Firm will generally vote for proposals to increase fees paid to Board members, unless it determines that the compensation exceeds market standards. 3. CAPITAL STRUCTURE The Firm will generally vote for proposals to change capitalization, including to increase authorized common shares or to increase authorized preferred shares, as long as the proposal does not either: (i) establish a class or classes of shares or interests with terms that may disadvantage the class held by the investing Funds or accounts or (ii) result in disproportionate voting rights for preferred shares or other classes of shares or interests. 4. APPOINTMENT OF AUDITORS The Firm will generally vote for the approval of auditors and proposals authorizing the Board to fix auditor fees, unless: o the Firm has serious concerns about the accountants presented, including their independence, or the audit procedures used; or o the auditors are being changed without explanation. B. NON-ROUTINE MATTERS Non-routine matters involve a variety of issues and may be proposed by a company's Management or beneficial owners (I.E., shareholders, members, partners, etc. (collectively, the "OWNERS")). These proxies may involve one or more of the following: (i) a measurable change in the structure, management, control or operation of the company; (ii) a measurable change in the terms of, or fees or expenses associated with, an investment in the company; or (iii) a change that is inconsistent with industry standards and/or the laws of the state of incorporation applicable to the company. 1. BOARD MEMBERS A. TERM LIMITS. The Firm will generally vote for proposals to require a reasonable retirement age (E.G., 72) for Board members, and will vote on a case-by-case basis on proposals to attempt to limit tenure. B. REPLACEMENT. The Firm will generally vote against proposals that make it more difficult to replace Board members, including proposals: o to stagger the Board; o to overweight Management representation on the Board; o to introduce cumulative voting (cumulative voting allows the Owners to "stack" votes behind one or a few individuals for a position on the Board, thereby giving minority Owners a greater chance of electing the Board member(s)); o to introduce unequal voting rights; o to create supermajority voting; or o to establish pre-emptive rights. C. LIABILITY AND INDEMNIFICATION. In order to promote accountability, the Firm will generally vote against proposals to limit the personal liability of Board members for any breach of fiduciary duty or failure to act in good faith. D. OWNERSHIP ISSUES. The Firm will generally vote for proposals that require Management to own a minimum interest in the company. The purpose of this policy is to encourage the alignment of Management's interests with the interests of the company's Owners. However, the Firm will generally vote against proposals for stock options or other compensation that grant an ownership interest for Management if such proposals offer greater than 15% of the outstanding securities of a company because such options may dilute the voting rights of other Owners of the company. 2. COMPENSATION, FEES AND EXPENSES In general, the Firm will vote against proposals to increase compensation, fees or expenses to be paid to the company's Owners, unless the Firm determines that the benefits resulting to the company and its Owners justifies the increased compensation, fees or expenses. In many circumstances, where private investment funds seek to change material terms such as compensation, fee and expense terms, the Firm will examine the investment opportunity anew in light of the proposed new terms, considering the private investment funds returns, portfolio and strategy allocations, alternative investment opportunities and other factors generally considered when making an investment decision. When applying this examination, the Firm may vote for proposals where the circumstances of a particular investment justify the revised compensation, fee and expense terms. 3. VOTING RIGHTS The Firm will generally vote against proposals: o to introduce unequal voting or dividend rights among the classes; o to change the amendment provisions of a company's charter documents by removing Owner approval requirements; o to require supermajority (2/3) approval for votes rather than a simple majority (1/2); o to restrict the Owners' right to act by written consent; or o to restrict the Owners' right to call meetings, propose amendments to the articles of incorporation or other governing documents of the company or nominate Board members. The Firm will generally vote for proposals that eliminate any of the foregoing rights or requirements. 4. TAKEOVER DEFENSES AND RELATED ACTIONS The Firm will generally vote against any proposal to create any plan or procedure designed primarily to discourage a takeover or other similar action, including "poison pills". Examples of "poison pills" include: o large increases in the amount of stock authorized but not issued; o blank check preferred stock (stock with a fixed dividend and a preferential claim on company assets relative to common shares, the terms of which are set by the Board at a future date without further action by the Owners); o compensation that would act to reward Management as a result of a takeover attempt, whether successful or not, such as revaluing purchase price of stock options, or "golden parachutes"; o fixed price amendments that require a certain price to be offered to all Owners based on a fixed formula; and o greenmail provisions that allow a company to make payments to a bidder in order to persuade the bidder to abandon its takeover plans. The Firm will generally vote for proposals that eliminate any of the foregoing rights or requirements, as well as proposals to: o require that golden parachutes or golden handcuffs be submitted for ratification by the Owners; and o to opt out of state anti-takeover laws deemed by the Firm to be detrimental. The Firm will generally vote on a case-by-case basis regarding other proposals that may be used to prevent takeovers, such as the establishment of employee stock purchase or ownership plans. 5. REINCORPORATION The Firm will generally vote for a change in the state of incorporation if the change is for valid business reasons (such as reincorporating in the same state as the headquarters of any controlling company). 6. DEBT ISSUANCE AND PLEDGING OF ASSETS FOR DEBT The Firm will generally vote proxies relating to the issuance of debt, the pledging of assets for debt, and an increase in borrowing powers on a case-by-case basis, taking into consideration relevant factors, including, for example: o the potential increase in the company's outstanding interests or shares, if any (E.G., convertible bonds); and o the potential increase in the company's capital, if any, over the current outstanding capital. 7. MERGERS OR ACQUISITIONS The Firm will vote proxies relating to mergers or acquisitions on a case-by-case basis, but will generally vote for any proposals that the Firm believes will offer fair value to its clients. 8. TERMINATION OR LIQUIDATION OF THE COMPANY The Firm will vote proxies relating to the termination or liquidation of a company on a case-by-case basis, taking into consideration one or more of the following factors: o terms of liquidation; o past performance of the company; and o strategies employed to save the company. 9. SOCIAL & ENVIRONMENTAL ISSUES AND CORPORATE RESPONSIBILITY The Firm will vote proxies relating to social and environmental issues on a case-by-case basis, but will generally vote for any proposals that will reduce discrimination, improve protections to minorities and disadvantaged classes, and increase conservation of resources and wildlife. The Firm will generally vote against any proposals that place arbitrary restrictions on the company's ability to invest, market, enter into contractual arrangements or conduct other activities. The Firm will also generally vote against proposals: o to bar or restrict charitable contributions; or o to limit corporate political activities. 10. ALL OTHER MATTERS All other decisions regarding proxies will be determined on a case-by-case basis taking into account the general policy, as set forth above. C. ABSTAINING FROM VOTING OR AFFIRMATIVELY NOT VOTING The Firm will abstain from voting (which generally requires submission of a proxy voting card) or affirmatively decide not to vote if the Firm determines that abstaining or not voting is in the best interests of the Fund or account. In making such a determination, the Firm will consider various factors, including, but not limited to: (i) the costs associated with exercising the proxy (E.G., translation or travel costs); and (ii) any legal restrictions on trading resulting from the exercise of a proxy. The Firm will not abstain from voting or affirmatively decide not to vote a proxy if the Fund or account is a plan asset fund subject to the requirements of the Employee Retirement Income Security Act of 1974, as amended. Furthermore, the Firm will not abstain from voting or affirmatively decide not to vote merely to avoid a conflict of interest. III. CONFLICTS OF INTEREST At times, conflicts may arise between the interests of the investing Funds or accounts, on the one hand, and the interests of the Firm or its affiliates, on the other hand. If the Firm determines that it has, or may be perceived to have, a conflict of interest when voting a proxy, the Firm will address matters involving such conflicts of interest as follows: A. If a proposal is addressed by the specific policies herein, the Firm will vote in accordance with such policies; B. If the Firm believes it is in the best interest of the investing Funds or accounts to depart from the specific policies provided for herein, the Firm will be subject to the requirements of C or D below, as applicable; C. If the proxy proposal is (1) not addressed by the specific policies or (2) requires a case-by-case determination by the Firm, the Firm may vote such proxy as it determines to be in the best interest of the investing Funds or accounts, without taking any action described in D below, provided that such vote would be against the Firm's own interest in the matter (I.E., against the perceived or actual conflict). The Firm will memorialize the rationale of such vote in writing; and D. If the proxy proposal is (1) not addressed by the specific policies or (2) requires a case-by-case determination by the Firm, and the Firm believes it should vote in a way that may also benefit, or be perceived to benefit, its own interest, then the Firm must take one of the following actions in voting such proxy: (a) delegate the voting decision for such proxy proposal to an independent third party; (b) delegate the voting decision to an independent committee of partners, members, directors or other representatives of the Funds or accounts, as applicable; (c) inform the investors in the investing Funds or the owners of the investing accounts of the conflict of interest and obtain consent to (majority consent in the case of a Fund) vote the proxy as recommended by the Firm; or (d) obtain approval of the decision from the Firm's Compliance Officer and third party Legal Advisors. IV. PROCEDURES FOR PROXIES The Investment Committee will be responsible for determining whether each proxy is for a "routine" matter or not, as described above. All proxies identified as "routine" will be voted by the Chief Legal Officer in accordance with the Policies. Any proxies that are not clearly "routine" will be submitted to the Investment Committee, who/which will determine how to vote each such proxy by applying the Policies. Upon making a decision, the proxy will be executed and returned to the Chief Legal Officer for submission to the company. Upon receipt of an executed proxy, the Firm's paralegal will update the investing Funds' or accounts' proxy voting record. The Chief Legal Officer is responsible for the actual voting of all proxies in a timely manner. The Compliance Officer is responsible for monitoring the effectiveness of the Policies. In the event the Firm determines that the investing Funds or accounts should rely on the advice of an independent third party or a committee regarding the voting of a proxy, the Firm will submit the proxy to such third party or committee for a decision. The Chief Legal Officer will execute the proxy in accordance with such third party's or committee's decision. V. RECORD OF PROXY VOTING The Compliance Officer also will maintain, or have available, written or electronic copies of each proxy statement received and of each executed proxy. The Compliance Officer will also maintain records relating to each proxy, including (i) the determination as to whether the proxy was routine or not, (ii) the voting decision with regard to each proxy; and (iii) any documents created by the Investment Committee, or others, that were material to making the voting decision. The Firm will maintain a record of each written request from an investor in a Fund or owner of an managed account for proxy voting information and the Firm's written response to any request (oral or written) from an investor in a Fund or owner of an managed account for proxy voting information. The Compliance Officer will maintain such records in its offices for two years from the end of the fiscal year during which the record was created, and for an additional three years in an easily accessible place. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES (A)(1) PORTFOLIO MANAGERS The day-to-day management of the Fund's portfolio is the responsibility of the Adviser's Investment Committee, which is led by Mark Jurish, the Adviser's Chief Investment Officer, and also includes Kenneth Stemme and Ross Weissman (each, a "Portfolio Manager"). Mark Jurish is the Chief Executive Officer of the Adviser, an investment advisory firm dedicated to the alternative investment industry and serving hedge funds and institutional investors. The Adviser is registered with the SEC as an investment advisor and with the CFTC as a Commodity Pool Operator. Prior to forming the Adviser in 1999, Mr. Jurish was Managing Director at Paloma Partners, a firm that he joined in 1988. At Paloma, Mr. Jurish was primarily responsible for evaluating, selecting, and monitoring suitable investments for various Paloma trading entities, as well as creating and structuring new products. His duties included the creation and management of the initial Upstream Partners Fund in 1993. From 1986 to 1988, Mr. Jurish was employed at Skadden, Arps, Slate, Meagher and Flom as a specialist in financial investment modeling and management consulting. Mr. Jurish began his financial career in 1984 at Arthur Young & Company (a predecessor of Ernst & Young), an international accounting and consulting firm. Previously, he served as an Independent Trustee of the MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund, on the Best Practices Committee of the Greenwich Roundtable and on the Board of Directors for the Managed Funds Association. Mr. Jurish received his B.A. from State University of New York at Albany in 1980 and his M.B.A. in Finance from New York University in 1984. Ross M. Weissman is the Chief Financial Officer of the Adviser. Mr. Weissman originally joined the Adviser in December, 1999. Prior to joining the Adviser, Mr. Weissman was employed at Kenmar Advisory Corp in the fund administration and risk management group. In 1997, Mr. Weissman joined Wexford Management as the controller for the Wexford Spectrum Fund, where he was responsible for the accounting and operations of the fund. From December 1996 until April 1997, he was employed with KPMG Peat Marwick as a senior consultant in the forensic accounting group. Mr. Weissman began his career in October 1994 with the public accounting firm of Leslie Sufrin and Company. He is a Certified Public Accountant and received his B.B.S. from Pace University. Kenneth W. Stemme, Director of Research, joined the Adviser in April 2007. Mr. Stemme was previously a Senior Vice President and Director of Hedge Fund Investments at Northern Trust Global Advisors, where he managed approximately $1 billion in assets and chaired the Hedge Fund Investment Committee. Prior to joining Northern Trust in 2003, Mr. Stemme was a Managing Director in the Alternative Investment Group at American Express Asset Management. From 1999 to 2002, Mr. Stemme was Executive Director in the Alternative Investment Group at CIBC Oppenheimer, where he was involved in the creation and management of a registered fund of funds. From 1990 through 1998, Mr. Stemme worked at Harris Associates, last serving as a research associate. Mr. Stemme received his B.A. from Cornell University and his M.B.A. from DePaul University. (A)(2) OTHER FUNDS AND ACCOUNTS MANAGED The following table sets forth information about funds and accounts other than the Fund for which the Portfolio Managers are primarily responsible for the day-to-day portfolio management as of March 31, 2008.
REGISTERED INVESTMENT POOLED INVESTMENT COMPANIES MANAGED BY THE VEHICLES MANAGED OTHER ACCOUNTS MANAGED PORTFOLIO MANAGER BY THE PORTFOLIO MANAGER BY THE PORTFOLIO MANAGER -------------------------- ------------------------ ------------------------ NAME OF FUND'S PORTFOLIO MANAGER NUMBER TOTAL ASSETS NUMBER TOTAL ASSETS NUMBER TOTAL ASSETS - ----------------- -------- -------------- --------- ------------- --------- ------------ Mark Jurish 5 $34,446,262 17 $688 million 1 $195 million Kenneth Stemme 5 $34,446,262 17 $688 million 1 $195 million Ross Weissman 5 $34,446,262 17 $688 million 1 $195 million
REGISTERED INVESTMENT POOLED INVESTMENT COMPANIES MANAGED BY VEHICLES MANAGED OTHER ACCOUNTS MANAGED THE PORTFOLIO MANAGER BY THE PORTFOLIO MANAGER BY THE PORTFOLIO MANAGER -------------------------------- ----------------------------------- ----------------------------------- TOTAL ASSETS TOTAL ASSETS TOTAL ASSETS NUMBER WITH WITH NUMBER WITH WITH NUMBER WITH WITH NAME OF FUND'S PERFORMANCE-BASED PERFORMANCE-BASED PERFORMANCE-BASED PERFORMANCE-BASED PERFORMANCE-BASED PERFORMANCE-BASED PORTFOLIO MANAGER FEES FEES FEES FEES FEES FEES - ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- Mark Jurish 0 3 $25 million 0 Kenneth Stemme 0 3 $25 million 0 Ross Weissman 0 3 $25 million 0
(a)(3) Compensation Compensation for the Portfolio Managers is a combination of a fixed salary and a bonus. The bonus paid to a Portfolio Manager for any year may be made with reference, in part, to the performance of the Fund or any other fund or account managed by the Adviser during such year. The amount of salary and bonus paid to the Portfolio Managers is based on a variety of factors, including the financial performance of the Adviser, execution of managerial responsibilities, client interactions and teamwork support. As part of their compensation, the Portfolio Managers also have 401k plans that enable them to direct a percentage of their pre-tax salary and bonus, without any contribution from the Adviser, into a tax-qualified retirement plan. (a)(4) Fund Ownership The following table sets forth the dollar range of Interests beneficially owned by the Portfolio Managers as of March 31, 2008. Portfolio Manager Dollar Range ----------------- ------------ Mark Jurish None Kenneth Stemme None Ross Weissman None ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- 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) Old Mutual Absolute Return Master Fund, L.L.C. By (Signature and Title)* /s/ Matthew Appelstein ----------------------------------- Matthew Appelstein President & Chief Executive Officer Date: June 5, 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/ Matthew Appelstein ----------------------------------- President & Chief Executive Officer Date: June 5, 2008 By (Signature and Title)* /s/ Ross Weissman ------------------------------------ Ross Weissman Treasurer & Chief Financial Officer Date: June 5, 2008 * Print the name and title of each signing officer under his or her signature. EX-99.CODE ETH 2 omcoear3_08.txt OLD MUTUAL ABSOLUTE RETURN MASTER COE 3_08 CODE OF ETHICS OF OLD MUTUAL ABSOLUTE RETURN MASTER FUND, L.L.C. OLD MUTUAL EMERGING MANAGERS MASTER FUND, L.L.C. OLD MUTUAL ABSOLUTE RETURN FUND, L.L.C. OLD MUTUAL ABSOLUTE RETURN INSTITUTIONAL FUND, L.L.C. OLD MUTUAL EMERGING MANAGERS FUND, L.L.C. OLD MUTUAL EMERGING MANAGERS INSTITUTIONAL FUND, L.L.C. Dated as of November 28, 2007 This Code of Ethics (the "Code") has been adopted by each of the registered investment companies for which Larch Lane Advisors LLC (the "Adviser") serves as investment adviser (each, a "Fund" and collectively, the "Funds"), in compliance with Rule 17j-l (the "Rule") under the Investment Company Act of 1940, as amended (the "1940 Act"), to establish standards and procedures for the detection and prevention of activities by which persons having knowledge of recommended investments and investment intentions of the Funds, may abuse their fiduciary duties and otherwise to deal with the type of conflict of interest situations to which the Rule is addressed. In general, the fiduciary principles that govern personal investment activities reflect, at a minimum, the following: (1) the duty at all times to place the interests of the Funds first; (2) the requirement that all personal securities transactions be conducted consistent with this Code and in such a manner as to avoid any actual or potential conflict of interest or any abuse of an individual's position of trust and responsibility; and (3) the fundamental standard that personnel providing services to the Funds should not take inappropriate advantage of their positions. The provisions of the Code are applicable to the Funds and to persons who are "Covered Persons," as defined below. The scope of the Code and its operation reflect the fact that separate codes of ethics have been adopted by the Adviser (the "Adviser Code") and by Old Mutual Investment Partners ("OMIP"), the distributor of limited liability company interests in the Funds (the "OMIP Code"). All personnel of the Adviser and OMIP who are "access persons" of the Funds, as such term is defined by the Rule, are subject to the provisions of the Adviser Code and the OMIP Code, respectively, which have been approved by the Board of Managers of each Fund in accordance with the requirements of the Rule, and such persons shall not be subject to the terms of this Code. The provisions of this Code also reflect the fact that the Funds presently pursue their investment objectives by investing in private investment funds and other investment vehicles ("Portfolio Funds") and do not invest directly in any securities or financial instruments other than interests in Portfolio Funds and money market instruments. 1. Important General Prohibitions The specific provisions and reporting requirements of this Code are concerned primarily with those investment activities of a Covered Person, as defined below, who may benefit from or interfere with the purchase or sale of portfolio securities the Funds. However, both the Rule and this Code prohibit any officer or director of a Fund, as well as any Affiliate, as defined below, from using information concerning the investment intentions of Advisory Clients, or their ability to influence such investment intentions, for personal gain or in a manner detrimental to the interests of a Fund. Specifically, the Rule makes it unlawful for any such person, directly or indirectly in connection with the purchase or sale of a "security held or to be acquired" by a Fund to: (i) employ any device, scheme or artifice to defraud a Fund; (ii) make to a Fund any untrue statement of a material fact or omit to state to the Fund a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading; (iii) engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon a Fund; or (iv) engage in any manipulative practice with respect to a Fund. Although the Funds expect that Affiliates will not generally have knowledge of the current investment activities of Portfolio Funds in which the Funds invest, persons subject to this Code (including Affiliates and Covered Persons) should recognize that, in view of the broad range of conduct prohibited by the Rule and this Code, personal transactions in "securities being considered for purchase or sale" by the investment advisers (or general partners) of Portfolio Funds for any such Portfolio Funds or any advised accounts of such advisers (or general partners) will be treated as a violation of this Code (absent compliance with the pre-clearance procedure set forth in paragraph 4(e) below or another available exemption from the Code's prohibitions). 2. Definitions - As used herein: "Affiliate" includes but is not limited to "Covered Persons," other than Independent Managers. "Beneficial Interest" means any interest by which an Affiliate or Covered Person, or any member of his or her immediate family (relative by blood or marriage) living in the same household, can directly or indirectly derive a monetary benefit from the purchase, sale or ownership of a security except such interests as a majority of the Independent Managers of a Fund shall determine to be too remote for the purpose of this Code. "Covered Persons" means: (1) the managers and the officers, if any, of the Funds; (2) any person who, in connection with his regular functions or duties, participates in the selection of, or regularly obtains information regarding, the Securities currently being purchased, sold or considered for purchase or sale by a Fund; and (3) any natural person in a control relationship to a Fund or its investment adviser who obtains information concerning recommendations made to the Fund with regard to the purchase or sale of Securities by the Fund; provided, however, the term "Covered Persons" does not include persons who are subject to the Adviser Code. "Independent Manager" means any manager of a Fund who is not an "interested person," as defined by Section 2(a)(19) of the 1940 Act and the rules thereunder, of a Fund. "Initial Public Offering" means an offering of securities registered under the Securities Act of 1933, the issuer of which immediately before the registration, was not subject to the reporting requirements of Sections 13 or 15(d) of the Securities Exchange Act of 1934. "Investment Person" means: (1) a Portfolio Manager; (2) a securities analyst or trader who provides information and advice to Portfolio Managers or who helps execute a Portfolio Manager's decisions; (3) any other person who, in connection with his or her duties, makes or participates in making recommendations regarding a Fund's purchase or sale of securities; and (4) any natural person in a control relationship to a Fund or its investment adviser who obtains information concerning recommendations made to the Fund with regard to the purchase or sale of Securities by the Fund; provided however, the term "Investment Person" does not include persons who are subject to the Adviser Code. "Portfolio Manager" means an individual entrusted with the direct responsibility and authority to make investment decisions affecting a Fund. "Private Placement" means an offering that is exempt from registration under the Securities Act of 1933 pursuant to Section 4(2) or Section 4(6) or pursuant to Rule 504, Rule 505 or Rule 506 under the Securities Act of 1933. "Security" includes any stock, note, bond, debenture, or any other instrument constituting a security as defined by Section 2(a)(36) of the 1940 Act, including any warrant or option to acquire or sell a security and financial futures contracts, and limited partnership and other interests in Portfolio Funds and shares of any open-end investment companies traded on an exchange, but excludes securities issued by the U.S. government or its agencies, bankers' acceptances, bank certificates of deposit, commercial paper, high quality short-term debt instruments including repurchase agreements and shares of open-end investment companies (other than exchange traded funds) unaffiliated with the Adviser or any affiliate of the Adviser. "High quality short-term debt instrument" shall mean an instrument that has a maturity at issuance of less than 366 days and that is rated in one of the two highest rating categories by a Nationally Recognized Statistical Rating Organization (NRSRO). References to a "Security" in this Code shall include any warrant for, option in, or security or other instrument immediately convertible into or whose value is derived from that "Security" and any instrument or right which is equivalent to that "Security." "Security Held or to be Acquired" by a Fund means any Security which, within the most recent 15 days (1) is or has been held by the Fund or (2) is being considered by a Fund or its investment adviser, for purchase by the Fund. A security is "being considered for purchase or sale" from the time a decision to purchase or sell a Security is made by a Portfolio Manager or by one or more Investment Persons having authority to make such a decision on behalf of a Fund until all orders to purchase or sell that Security for a Fund are completed or withdrawn. 3. Prohibited Transactions (a) No Affiliate or Independent Manager may purchase or sell any Security in which he or she has or thereby acquires a Beneficial Interest with actual knowledge that a decision to place an order for the purchase or sale of the same Security by a Fund had been made or proposed. (b) No Covered Person may purchase or sell any Security in which he or she has or thereby acquires a Beneficial Interest with actual knowledge that, at the same time, such Security is "being considered for purchase or sale" by a Fund or that such Security is the subject of an outstanding purchase or sale order by a Fund. (c) No Investment Person may purchase any Security in an Initial Public Offering without the express written approval of the Administrator of this Code. (d) No Investment Person may, without the express prior written approval of the Administrator of this Code which shall set forth the rationale supporting such pre-approval, acquire any Security in a Private Placement, and if a Private Placement security is acquired, such Investment Person must disclose that investment when he or she plays a part in a Fund's subsequent consideration of any investment in that issuer, and in such circumstances, an independent review shall be conducted by Investment Persons who do not have an interest in the issuer and by the Administrator. (e) No Covered Person may purchase or sell any Security in which he or she has or thereby acquires a Beneficial Interest with actual knowledge that, within the most recent 15 days, the Security has been purchased or sold or is being considered for purchase or sale by the investment adviser (or general partner) of any Portfolio Fund for any such Portfolio Fund or other advised account of such adviser (or general partner) (a "Prohibited Matching Portfolio Transaction"). (f) An Investment Person may not accept any gifts or anything else of more than a de-minimis value from any person or entity that does business with or on behalf of a Fund or from the general partner or investment adviser (or any affiliate of the general partner or investment adviser) of any Portfolio Fund. (g) No Investment Person may serve on the board of directors or trustees of a publicly-traded corporation or other business entity without the prior written approval of the Administrator. 4. Exempt Transactions Neither the prohibitions nor the reporting requirements of this Code apply to: (a) purchases or sales of Securities for an account over which an Affiliate or Covered Person has no direct control and does not exercise indirect control; (b) involuntary purchases or sales made by either an Affiliate or Covered Person or any Fund; (c) purchases which are part of an automatic dividend reinvestment plan; (d) purchases resulting from the exercise of rights acquired from an issuer as part of a pro rata distribution to all holders of a class of securities of such issuer and the sale of such rights; or (e) purchases or sales which receive the express written approval and pre-clearance of the Administrator of this Code because the purchase or sale will not occasion the improper use of a Fund's proprietary information or an abuse of the individual's position of trust and responsibility to a Fund and because: (i) their potential harm to an Advisory Client is remote; (ii) they would be unlikely to affect a highly institutional market; or (iii) they are clearly not related economically to securities being considered for purchase or sale by a Fund. 5. Reporting Requirements (a) Within thirty (30) days after the end of each calendar quarter, all Covered Persons shall make a written report to the Administrator of this Code. This quarterly report shall set forth specified information regarding all non-exempt securities transactions occurring in the quarter by which they acquired or disposed of a Beneficial Interest in any Security and if no non-exempt transaction in a Security occurred during the quarter, the written report shall so state. A Covered Person is not required to include in a quarterly report information regarding one or more non-exempt transactions if all information required by the report with respect to such transactions is contained in trade confirmations and account statements previously provided to the Administrator of this Code for the time period covered by that quarterly report. Each quarterly report shall include a certification by the Covered Person that such person has not acquired or disposed of a Beneficial Interest in any Security in a Prohibited Matching Portfolio Transaction. (b) An Independent Manager need only report non-exempt transactions (in which he or she has had a Beneficial Interest) in a Security (excluding, for purposes of this subparagraph (b), open-end investment companies affiliated with the Adviser or any affiliate of the Adviser) which, at the time, such manager knew, or in the ordinary course of fulfilling his or her duties, should have known was purchased or sold or was being or had been considered for purchase or sale by a Fund during the fifteen (15) day period immediately preceding or after the date of the Independent Manager's transaction and if no non-exempt transaction in a security occurred during the quarter, the written report, if any, shall so state. A written report will not be required for any quarter in which an Independent Manager has only exempt transactions to report. (c) Transactions in an account identified to the Administrator of this Code need not be otherwise reported if the Covered Person shall have authorized disclosure of all securities transactions in the account to the Administrator and furnished the Administrator copies of all confirmations and monthly statements pertaining to such account. (d) The quarterly report must contain the following information with respect to each reportable transaction: (i) name(s) in which the account is registered and the date the account was established; (ii) date and nature of the transaction (purchase, sale or any other type of acquisition or disposition); (iii) title, number of shares, principal amount, interest rate and maturity (as applicable) of each security and the price at which the transaction was effected; (iv) name of the broker, dealer or bank with or through whom the transaction was effected; and (v) the date the report is submitted. (e) Any such report may contain a statement that it is not to be construed as an admission that the person making it has or had any direct or indirect Beneficial Interest in any security to which the report relates. (f) All Covered Persons other than Independent Managers shall arrange for copies of confirmations of all personal securities transactions and periodic statements of securities accounts to be sent directly to the Administrator. (g) All Covered Persons other than Independent Managers shall initially, within ten (10) days of becoming a Covered Person, and at least annually thereafter make a written holdings report to the Administrator of the Code of Ethics with the following information (such information, as to the initial report, must be current as of a date no more than 45 days prior to the date that the person becomes a Covered Person, and as to the annual report, must be current as of a date no more than 45 days before the report is submitted): (i) name(s) in which the account is registered and the date the account was established; (ii) title, number of shares, principal amount, interest rate and maturity (as applicable) of each Security; (iii) name of the broker, dealer or bank with whom the account is maintained; and (iv) the date the report is submitted. (h) All Covered Persons shall, at least annually, certify that they have read and understand this Code and recognize that they are subject thereto. (i) All Covered Persons other than Independent Managers shall certify annually, that they have complied with the requirements of this Code and that they have disclosed or reported all personal securities transactions and holdings required to be disclosed or reported pursuant thereto. 6. Confidentiality of Fund Transactions Until disclosed in a public report to shareholders or to the SEC in the normal course, all information concerning the securities "being considered for purchase or sale" by a Fund shall be kept confidential by all Covered Persons and disclosed by them only on a need to know basis in accordance with practices and policies developed and periodically reviewed for their continuing appropriateness by the Chief Compliance Officer. Any questions regarding confidentiality are to be directed to the Chief Compliance Officer. It shall be the responsibility of the Chief Compliance Officer to be familiar with such practices and policies and to report any inadequacy found by him to the managers of the Funds or any committee appointed by them to deal with such information. 7. Sanctions Any violation of this Code of Ethics shall be subject to the imposition of such sanctions by the Fund as may be deemed appropriate under the circumstances to achieve the purposes of the Rule and this Code and may include suspension or termination of employment, a letter of censure and/or restitution of an amount equal to the difference between the price paid or received by the affected Fund(s) and the more advantageous price paid or received by the offending person except that sanctions for violation of this Code by an Independent Manager of a Fund will be determined by a majority vote of its other Independent Managers. 8. Administration and Construction (a) The administration of this Code of Ethics shall be the responsibility of the Chief Compliance Officer of the Fund, as the Administrator of the Code. (b) The duties of the Chief Compliance Officer include: (i) continuous maintenance of a current list of the names of all Covered Persons with an appropriate description of their title or employment; (ii) furnishing all Covered Persons a copy of this Code and initially and periodically informing them of their duties and obligations thereunder; (iii) designating, as desired, appropriate personnel to review transaction and holdings reports submitted by Covered Persons; (iv) maintaining or supervising the maintenance of all records required by the Code; (v) preparing listings of all transactions effected by any Covered Person within fifteen (15) days of the date on which the same security was held, purchased or sold by a Fund; (vi) determining whether any particular securities transaction should be exempted pursuant to the provisions of Paragraph 4(e) of this Code; (vii) issuing either personally or with the assistance of counsel as may be appropriate, any interpretation of this Code which may appear consistent with the objectives of the Rule and this Code; (viii) conducting such inspections or investigations, including scrutiny of the listings referred to in subparagraph (v) above, and to the extent deemed necessary or appropriate, making such inquiries as to transactions in Securities effected by Portfolio Funds, as shall reasonably be required to detect and report, with his or her recommendations, any apparent violations of this Code to the managers of the affected Funds or any committee appointed by them to deal with such information; (ix) submitting a quarterly report to the Board of Managers of each Fund potentially affected, containing a description of any violation and the sanction imposed; transactions which suggest the possibility of a violation; interpretations issued by and any exemptions or waivers found appropriate by the Chief Compliance Officer; and any other significant information concerning the appropriateness of this Code; (x) submitting a written report at least annually to the Board of Managers of each Fund which: (a) summarizes existing procedures concerning personal investing and any changes in the procedures made during the past year; (b) identifies any violations requiring significant remedial action during the past year and describes the remedial action taken; (c) identifies any recommended changes in existing restrictions or procedures based upon experience under the Code, evolving industry practices or developments in applicable laws or regulations; (d) reports with respect to the implementation of this Code through orientation and training programs and on-going reminders; and (e) certifies that the procedures set forth in this Code were as reasonably necessary to prevent Covered Persons from violating the Code; and (xi) maintaining periodic educational conferences to explain and reinforce the terms of this Code. 9. Required Records The Chief Compliance Officer shall maintain and cause to be maintained in an easily accessible place, the following records: (a) a copy of any code of ethics adopted pursuant to the Rule which has been in effect during the most recent five (5) year period; (b) a record of any violation of any such code of ethics, and of any action taken as a result of such violation, within five (5) years from the end of the fiscal year of the Fund in which such violation occurred; (c) a copy of each report made by a Covered Person, as well as trade confirmations and account statements that contain information not duplicated in such reports, within five (5) years from the end of the fiscal year of the Fund in which such report is made or information is provided, the first two (2) years in an easily accessible place; (d) a copy of each report made by the Chief Compliance Officer within five (5) years from the end of the fiscal year of the Fund in which such report is made or issued, the first two (2) years in an easily accessible place; (e) a list, in an easily accessible place, of all persons who are, or within the most recent five (5) year period have been, required to make reports pursuant to the Rule and this Code or who are or were responsible for reviewing these reports; and (f) a record of any decision, and the reasons supporting the decision, to permit an Investment Person to acquire a Private Placement security, for at least five (5) years after the end of the fiscal year in which permission was granted. 10. Amendments and Modifications This Code of Ethics may not be amended or modified except in a written form which is specifically approved by majority vote of the Independent Managers of each of the Funds. Dated as of November 28, 2007 Adopted by the Boards of Managers of Old Mutual Absolute Return Master Fund, L.L.C., Old Mutual Emerging Managers Master Fund, L.L.C., Old Mutual Absolute Return Fund, L.L.C., Old Mutual Absolute Return Institutional Fund, L.L.C., Old Mutual Emerging Managers Fund, L.L.C. and Old Mutual Emerging Managers Institutional Fund, L.L.C. APPENDICES - FORMS The following forms are to be used for reporting purposes under this Code of Ethics. They are subject to change from time to time by the Administrator of this Code of Ethics or his or her designee, and are neither incorporated into nor are part of the Code of Ethics. I. Acknowledgement of Receipt of Code of Ethics II. Initial Report and Annual Report of Personal Securities Holdings III. Pre-Clearance of Personal Securities Trades IV. Initial Public Offering Approval Request Form V. Private Placement Approval Request Form VI. Quarterly Report under the Code of Ethics VII. Annual Certification of Compliance with Code of Ethics CODE OF ETHICS ACKNOWLEDGEMENT To: Chief Compliance Officer of Old Mutual Absolute Return Master Fund, L.L.C.; Old Mutual Emerging Managers Master Fund, L.L.C.; Old Mutual Absolute Return Fund, L.L.C., Old Mutual Absolute Return Institutional Fund, L.L.C., Old Mutual Emerging Managers Fund, L.L.C. and Old Mutual Emerging Managers Institutional Fund, L.L.C. (the "Funds") I hereby certify to the Funds that I have read and understand the Code of Ethics of the Funds, I recognize that I am subject to the Code of Ethics, and I will act in accordance with the policies and procedures expressed in the Code of Ethics. Date:______________________ _________________________________ Signature _________________________________ Print Name
INITIAL PERSONAL SECURITIES ACCOUNT AND HOLDINGS NOTIFICATION FORM (ATTACH COPIES OF STATEMENTS FOR ACCOUNTS LISTED BELOW) - ---------------------------------------------------------------------------------------------------------------------- EMPLOYEE NAME/EXT. DEPARTMENT/TITLE DIRECT SUPERVISOR - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- NAME IN WHICH PERSONAL SECURITIES ACCOUNT BROKER/INSTITUTION'S NAME AND IS HELD (1) MAILING ADDRESS ACCOUNT NUMBER - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- --------------------------------------
OTHER PERSONAL HOLDINGS (2)(NOT INCLUDED IN STATEMENTS FOR ACCOUNTS LISTED ABOVE) - --------------------------------------------------------------------------------- NUMBER OF SHARES, OR PRINCIPAL NAME OF AMOUNT, TOTAL BROKER, DESCRIPTION OF TYPE OF INTEREST RATE UNIT COST OR DEALER OR TRADE DATE SECURITY TRANSACTION & MATURITY PRICE PROCEEDS BANK - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- --------------
I CERTIFY THAT THE INFORMATION CONTAINED IN THIS STATEMENT IS ACCURATE AND THAT LISTED ABOVE ARE ALL PERSONAL SECURITIES ACCOUNTS AND PERSONAL HOLDINGS IN WHICH I HAVE BENEFICIAL INTEREST OR OVER WHICH I EXERCISE INVESTMENT CONTROL. - ---------------------------------- ------------------------------------------ EMPLOYEE SIGNATURE DATE OF HIRE (l) List your own securities account as well as those accounts in which you have a financial interest or over which you exercise investment control. (2) List your personal holdings not reflected in the attached account statements.
PERSONAL SECURITIES TRADING AUTHORIZATION PRE-CLEARANCE FORM Security Identifier Estimated (CUSIP or ticker Brokerage Date/Time Of Name of Security symbol) Buy Or Sell Name of Broker Account # Trade* - --------------------- ----------------- ------------------- --------------- ------------ --------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- - --------------------- ----------------- ------------------- --------------- ------------ ---------------
*Pre-clearance is effective for current business day and next business day only. Pre-clearance: Granted ___ Denied ___ Existing Trade on the trading desk? Yes No If pre-clearance is requested by a Portfolio Manager: If pre-clearance is requested by a Portfolio Manager and is granted, such manager hereby acknowledges, by his or her signature below, that neither he or she nor any co-portfolio manager will, within the next seven days, trade this security in any fund or other advised account which he/she/they manage(s). If pre-clearance, was this security traded by a fund or other advised account managed by this Portfolio Manager within the prior seven days? Yes No If the answer to either is yes, pre-clearance is denied. Requested by: _______________________________ _______________________________ (Signature) (Date) _______________________________ (Print Name) INITIAL PUBLIC OFFERING APPROVAL REQUEST _______________________________ _______________________________ Name (Please Print) Department 1. Name of issuer: __________________________________________________________ 2. Type of security: ___ Equity ___ Fixed Income 3. Planned date of transaction: ______________________________________________ 4. Size of offering: _________________________________________________________ 5. Number of shares to be purchased: _________________________________________ 6. What firm is making this IPO available to you? ____________________________ 7. Do you do business with this firm in connection with your job duties? ___________________________________________________________________________ 8. Do you believe this IPO is being made available to you in order to influence an investment decision or brokerage order flow for fund or client accounts? ___________________________________________________________________________ 9. Have you in the past received IPO allocations from this firm? ___ Yes ___ No If "yes", please provide a list of all previously purchased IPOs ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 10. To your knowledge, are other Adviser personnel or clients involved? ____ Yes ____ No If "yes", please describe ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 11. Describe how you became aware of this investment opportunity: ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ I understand that approval, if granted, is based upon the information provided herein and I agree to observe any conditions imposed upon such approval. I represent (i) that I have read and understand the Code of Ethics of Old Mutual Absolute Return Master Fund, L.L.C., Old Mutual Emerging Managers Master Fund, L.L.C., Old Mutual Absolute Return Fund, L.L.C., Old Mutual Absolute Return Institutional Fund, L.L.C., Old Mutual Emerging Managers Fund, L.L.C. and Old Mutual Emerging Managers Institutional Fund, L.L.C. with respect to personal trading and recognize that I am subject thereto; (ii) that the above trade is in compliance with the Code of Ethics; (iii) that to the best of my knowledge the above trade does not represent a conflict of interest, or an appearance of a conflict of interest, with any client or fund; and (iv) that I have no knowledge of any pending client orders in this security. Furthermore, I acknowledge that no action should be taken by me to effect the trade(s) listed above until I have received formal approval. ________________________________________ Signature ______________________________ Date Date Received by Legal Department: ___________________________________________ Approved: ____________________ Disapproved: ____________________ Date: __________________ ___________________________________ ________________________________________ Name: Name: Title: Title: PRIVATE PLACEMENT APPROVAL REQUEST (Attach a copy of the Private Placement Memorandum, Offering Memorandum or any other relevant documents) ___________________________________ ______________________ Name and Title (Please Print) Department 1. Name of corporation, partnership or other entity (the "Organization") ________________________________________________________________________ 2. Is the Organization: ____ Public ____ Private 3. Type of security or fund: _____________________________________________ 4. Nature of participation (e.g., Stockholder, General Partner, Limited Partner). Indicate all applicable: ________________________________________ 5. Planned date of transaction: __________________________________________ 6. Size of offering (if a fund, size of fund) _____________________________ 7. Size of your participation: ____________________________________________ 8. Would the investment carry unlimited liability? ____ Yes ____ No 9. To your knowledge, are other Adviser personnel or clients involved? ____ Yes ____ No If "yes", please describe ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 10. Describe the business to be conducted by the Organization: ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 11. If Organization is a fund: Describe investment objectives of the fund (e.g., value, growth, core or specialty) ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 12. For Portfolio Managers: Does a fund that you manage have an investment objective that would make this Private Placement an opportunity that should first be made available to a fund or client you manage money for? ___ Yes ____ No If "yes", please describe which client or fund: ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 13. Will you participate in any investment decisions? ___ Yes ____ No If "yes", please describe: ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ 14. Describe how you become aware of this investment opportunity: ________________________________________________________________ ________________________________________________________________ ________________________________________________________________ I understand that approval, if granted, is based upon the information provided herein and I agree to observe any conditions imposed upon such approval. I will notify the Legal Department in writing if any aspect of the investment is proposed to be changed (e.g., investment focus, compensation, involvement in organization's management) and I hereby acknowledge that such changes may require further approvals, or divestiture of the investment by me. I represent (i) that I have read and understand the Code of Ethics of Old Mutual Absolute Return Master Fund, L.L.C., Old Mutual Emerging Managers Master Fund, L.L.C., Old Mutual Absolute Return Fund, L.L.C., Old Mutual Absolute Return Institutional Fund, L.L.C., Old Mutual Emerging Managers Fund, L.L.C. and Old Mutual Emerging Managers Institutional Fund, L.L.C. with respect to personal trading and recognize that I am subject thereto; (ii) that the above trade is in compliance with the Code of Ethics; (iii) that to the best of my knowledge the above trade does not represent a conflict of interest, or an appearance of a conflict of interest, with any client or fund; and (iv) that I have no knowledge of any pending client orders in this security. Furthermore, I acknowledge that no action should be taken by me to effect the trade(s) listed above until I have received formal approval. ________________________________________ Signature ______________________________ Date Date Received by Legal Department: ___________________________________________ Approved: ____________________ Disapproved: ____________________ Date: __________________ ___________________________________ ________________________________________ Name: Name: Title: Title: QUARTERLY REPORT TO: Administrator of the Code of Ethics DATE: ______ FROM: ________________________________________ (Print Name) RE: Quarterly Report As a Covered Person under the Code of Ethics of Old Mutual Absolute Return Master Fund, L.L.C., Old Mutual Emerging Managers Master Fund, L.L.C., Old Mutual Absolute Return Fund, L.L.C., Old Mutual Absolute Return Institutional Fund, L.L.C., Old Mutual Emerging Managers Fund, L.L.C. and Old Mutual Emerging Managers Institutional Fund, L.L.C., I hereby confirm that, other than accounts and the transactions listed below, I have no other securities accounts and have not made any purchases or sales of securities covered by the Code of Ethics during the quarter ended _________ except (i) transactions through a brokerage account listed below for which copies of all confirmations and statements have been furnished to you, or (ii) transactions in shares of one or more of the Larch Lane Advisors LLC funds in an account identified as an Adviser Employees Account in the Dealer section of the Account Statement. I also certify that I have not acquired or disposed of a Beneficial Interest in any Security in a Prohibited Matching Portfolio Transaction during the quarter for which this report is being submitted. I understand that the Code of Ethics covers all securities transactions for (i) my personal account; (ii) any account in which I have a beneficial interest; (iii) any account maintained by a relative residing with me; and (iv) any account over which I have any discretionary powers of investment. All securities are covered except U.S. Treasury securities, money market instruments and non-Larch Lane Advisors LLC open-end investment companies. All open-end investment companies traded on an exchange are covered securities. I also understand inaccurate completion of this form may result in disciplinary sanctions. All brokerage accounts subject to the Code of Ethics are described below. If there are no brokerage accounts subject to the Code of Ethics, write "none" below. NOTE: YOU MUST COMPLETE ALL BROKERAGE ACCOUNT INFORMATION EVEN IF YOU HAVE PREVIOUSLY SUBMITTED THIS INFORMATION. AN INCOMPLETE REPORT WILL BE RETURNED TO YOU FOR PROPER COMPLETION.
Name(s) In Which Account Is Firm Name / Address Account Number Registered - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- -------------------------------------- - ---------------------------------------- -------------------------------------- --------------------------------------
Transactions: List only if done through a broker who has NOT forwarded copies of your account statements to the Code Administrator; or if done in any Larch Lane Advisors LLC funds account NOT identified as an Adviser Employees Account. If there are no transactions to report, write "none" below. - --------------------------------------------------------------------------------
NUMBER OF SHARES, OR PRINCIPAL NAME OF AMOUNT, TOTAL BROKER, DESCRIPTION OF TYPE OF INTEREST RATE UNIT COST OR DEALER OR TRADE DATE SECURITY TRANSACTION & MATURITY PRICE PROCEEDS BANK - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- -------------- - --------------------- ----------------- ------------------- --------------- ------------ --------------- --------------
THIS REPORT IS TO BE COMPLETED, DATED, SIGNED AND RETURNED TO THE ADMINISTRATOR OR THE ADMINISTRATOR'S DESIGNEE ON OR BEFORE THE 10TH CALENDAR DAY AFTER QUARTER-END. ________________________________________ Signature ANNUAL CERTIFICATION TO: Administrator of the Code of Ethics RE: Annual Certification of Compliance - Sections 5(h) and 5(i): In accordance with the requirements of Sections 5(h) and 5(i) of the Old Mutual Absolute Return Master Fund, L.L.C., Old Mutual Emerging Managers Master Fund, L.L.C., Old Mutual Absolute Return Fund, L.L.C., Old Mutual Absolute Return Institutional Fund, L.L.C., Old Mutual Emerging Managers Fund, L.L.C. and Old Mutual Emerging Managers Institutional Fund, L.L.C. Code of Ethics, I hereby certify that: (1) I have read and understand the Code of Ethics and I recognize that I am subject to it; (2) I have complied with the requirements of the Code of Ethics; and (3) I have disclosed or reported all personal securities transactions and holdings as required under the Code of Ethics. By:____________________________________ Signature _______________________________________ Print Name Date:__________________________________ EX-99.CERT 3 omabsretmaster302certma.txt OLD MUTUAL ABSOLUTE RETURN MASTER 302 CERT MA CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Matthew Appelstein certify that: 1. I have reviewed this report on Form N-CSR of Old Mutual Absolute Return Master Fund, L.L.C.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, 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; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: June 5, 2008 /s/ Matthew Appelstein - ---------------------- Matthew Appelstein President & Chief Executive Officer EX-99.CERT 4 omabsretmaster302rw.txt OLD MUTUAL ABSOLUTE RETURN MASTER 302 CERT RW CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Ross Weissman, certify that: 1. I have reviewed this report on Form N-CSR of Old Mutual Absolute Return Master Fund, L.L.C.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, 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; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: June 5, 2008 /s/ Ross Weissman - ----------------- Ross Weissman Treasurer & Chief Financial Officer EX-99.906CERT 5 omabsretmaster906certma.txt OLD MUTUAL ABSOLUTE RETURN MASTER 906 CERT MA CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of Old Mutual Absolute Return Master Fund, L.L.C. (the "Fund"), with respect to the Fund's Form N-CSR for the period ended March 31, 2008 as filed with the Securities and Exchange Commission (the "Commission"), hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: June 5, 2008 /s/ Matthew Appelstein ---------------------- Matthew Appelstein President & Chief Executive Officer A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Commission or its staff upon request. EX-99.906CERT 6 omabsretmaster906certrw.txt OLD MUTUAL ABSOLUTE RETURN MASTER 906 CERT RW CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Financial Officer of Old Mutual Absolute Return Master Fund, L.L.C. (the "Fund"), with respect to the Fund's Form N-CSR for the period ended March 31, 2008 as filed with the Securities and Exchange Commission (the "Commission"), hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: June 5, 2008 /s/ Ross Weissman ----------------- Ross Weissman Treasurer & Chief Financial Officer A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----