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: 811-22683
AIP MACRO REGISTERED FUND P
(Exact name of Registrant as specified in Charter)
100 Front Street, Suite 400
West Conshohocken, Pennsylvania 19428-2881
(Address of principal executive offices)
Registrant’s Telephone Number, including Area Code: (610) 260-7600
Stefanie V. Chang Yu, Esq.
Morgan Stanley Investment Management Inc.
522 Fifth Avenue
New York, NY 10036
(Name and address of agent for service)
COPY TO:
Richard Horowitz, Esq.
DECHERT LLP
1095 Avenue of the Americas
New York, NY 10036-6797
(212) 698-3500
Date of fiscal year end: December 31
Date of reporting period: June 30, 2012
ITEM 1. | REPORTS TO STOCKHOLDERS. The Registrant’s semi-annual report transmitted to limited partners pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
AIP MACRO REGISTERED FUND P
Statement of Assets and Liabilities (Unaudited)
June 30, 2012 |
AIP Macro Registered Fund P
Statement of Assets and Liabilities (Unaudited)
June 30, 2012
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Statement of Assets and Liabilities (Unaudited)
June 30, 2012
Assets | ||||
Cash | $ | 200,000 | ||
Prepaid investment in AIP Macro Registered Fund A | 24,700,000 | |||
Deferred offering costs | 238,138 | |||
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Total assets | 25,138,138 | |||
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Liabilities | ||||
Subscriptions received in advance | 24,800,000 | |||
Offering costs payable | 238,138 | |||
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Total liabilities | 25,038,138 | |||
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Net assets | $ | 100,000 | ||
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Net assets consist of: | ||||
Shares, 100 shares issued and outstanding, $0.001 par value, 1,000,000 authorized shares | $ | 100,000 | ||
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Net assets | $ | 100,000 | ||
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Net asset value per share ($100,000/100 shares) | $ | 1,000.00 | ||
Maximum offering price per share ($1,000.00 plus sales load of 3% of net asset value per share) | $ | 1,030.00 |
The accompanying notes are an integral part of Statement of Assets and Liabilities and should be read in conjunction therewith.
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Notes to Statement of Assets and Liabilities (Unaudited)
June 30, 2012
1. | Organization |
AIP Macro Registered Fund P (the “Fund”) was organized under the laws of the State of Delaware as a statutory trust on February 29, 2012. The Fund has had no operations through June 30, 2012 other than those relating to organizational matters and the sale and issuance of 100 Shares, as defined below, to Morgan Stanley AIP Funding Inc. and will operate pursuant to an Agreement and Declaration of Trust (the “Trust Deed”). The Fund is registered under the U.S. Investment Company Act of 1940, as amended (the “1940 Act”), as a closed-end, non-diversified management investment company. While non-diversified for 1940 Act purposes, the Fund intends to comply with the diversification requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), as such requirements are described in more detail below. The Fund has no fixed termination date and will continue unless the Fund is otherwise terminated under the terms of the Trust Deed or unless and until required by law.
The Fund is a “Feeder” fund in a “Master-Feeder” structure whereby the Fund invests substantially all of its assets in AIP Macro Registered Fund A (the “Master Fund”). The Master Fund is a statutory trust organized under the laws of the State of Delaware and is registered under the 1940 Act as a closed-end, non-diversified, management investment company (although it also intends to comply with Subchapter M diversification requirements, as described in more detail below). Morgan Stanley AIP GP LP, an affiliate of Morgan Stanley, serves as the Master Fund’s investment adviser (the “Adviser”). The Master Fund has the same investment objective as the Fund. The Master Fund’s investment objective is to seek long-term capital appreciation principally through investing in investment funds (“Investment Funds”) managed by third party investment managers who primarily employ a variety of “global macro” investment strategies in pursuit of attractive risk-adjusted returns consistent with the preservation of capital. “Global macro” investment strategies allow investment managers the flexibility to use leveraged or short-sale positions to take advantage of perceived inefficiencies across the global capital markets.
The Fund has a Board of Trustees (the “Board”) that has overall responsibility for monitoring and overseeing the Fund’s investment program and its management and operations. A majority of the members of the Board (the “Trustees”) are not “interested persons” (as defined by the 1940 Act) of the Fund or the Adviser. The same Trustees also serve as the Master Fund’s Board of Trustees.
The Fund will offer on a continuous basis up to 1,000,000 shares of beneficial interest (“Shares”). Morgan Stanley Distribution, Inc. (the “Distributor”), an affiliate of Morgan Stanley, will act as the distributor of the Fund’s Shares on a best efforts basis, subject to various conditions. Shares will be offered at an initial offering price of $1,000 per Share, plus any applicable sales load, and in a continuous offering thereafter at the Fund’s then current net asset value per Share, plus any applicable sales load. The Distributor may enter into selected dealer agreements with various brokers and dealers (“Selling Agents”), some of which may be affiliates of the Fund, that have agreed to participate in the distribution of the Fund’s Shares.
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AIP Macro Registered Fund P
Notes to Statement of Assets and Liabilities (Unaudited) (continued)
1. | Organization (continued) |
Shares will be sold only to investors (“Shareholders”) who represent that they are “accredited investors” within the meaning of Rule 501(a) of Regulation D promulgated under the Securities Act of 1933, as amended, and “qualified clients” within the meaning of Rule 205-3(d)(1) promulgated under the Investment Advisers Act of 1940, as amended. The minimum initial investment in the Fund by any Shareholder is $25,000 and the minimum additional investment in the Fund by any Shareholder is $10,000. The Fund may modify these minimums from time to time. Shareholders may only purchase their Shares through the Distributor or through a Selling Agent. Any Selling Agent may impose additional eligibility requirements for Shareholders who purchase shares through the Distributor or such Selling Agent.
The Fund may from time to time offer to repurchase Shares (or portions of them) at net asset value pursuant to written tenders by Shareholders. Any offer to repurchase Shares by the Fund will only be made to Shareholders at the same times as, and in parallel with, each repurchase offer made by the Master Fund to its investors, including the Fund. Each such repurchase offer will generally apply to up to 15% of the net assets of the Master Fund. Repurchases will be made at such times, in such amounts and on such terms as may be determined by the Board, in its sole discretion. In determining whether the Fund should offer to repurchase Shares (or portions of them) from Shareholders, the Board will consider the recommendations of the Adviser as to the timing of such an offer, as well as a variety of operational, business and economic factors. The Adviser expects that, generally, it will recommend to the Board that the Fund offer to repurchase Shares (or portions of them) from Shareholders quarterly, on each March 31, June 30, September 30 and December 31 (or, if any such date is not a business day, on the immediately preceding business day) starting December 31, 2012. In general, the Fund will initially pay at least 95% of the estimated value of the repurchased Shares to Shareholders as of the later of: (1) a period of within 30 days after the value of the Shares to be repurchased is determined, or (2) if the Master Fund has requested withdrawals of its capital from any Investment Funds in order to fund the repurchase of Shares, within ten business days after the Master Fund has received at least 95% of the aggregate amount withdrawn by the Master Fund from such Investment Funds. The remaining amount will be paid out promptly after the completion of the annual audit of the Fund and preparation of the Fund’s audited financial statements.
2. | Significant Accounting Policies |
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“US GAAP”). Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements, including the estimated fair value of investments. Actual results could differ from those estimates.
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AIP Macro Registered Fund P
Notes to Statement of Assets and Liabilities (Unaudited) (continued)
2. | Significant Accounting Policies (continued) |
Income Taxes
The Fund intends to comply with the requirements of Subchapter M of the Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its Shareholders. Therefore, no provision for federal income taxes is required. The Fund files tax returns with the U.S. Internal Revenue Service and various states.
Distribution of Income and Gains
The Fund declares and pays dividends annually from net investment income. Net realized gains, if any, are distributed at least annually. Distributions from net realized gains for book purposes may include short-term capital gains, which are included as ordinary income for tax purposes.
In order to satisfy the diversification requirements under Subchapter M of the Code, the Fund will generally invest its assets in the Master Fund, which generally invests its assets in Investment Funds organized outside the United States that are treated as corporations for U.S. tax purposes and are expected to be classified as passive foreign investment companies. As such, the Fund expects that its distributions generally will be taxable as ordinary income to the Shareholders.
3. | Management Fee, Related Party Transactions and Other |
The Fund will bear all expenses incurred in the business of the Fund, including, but not limited to, expenses borne indirectly through the Fund’s investment in the Master Fund. The Fund does not pay the Adviser a management fee; however, as a holder of Shares of the Master Fund, the Fund and its Shareholders are indirectly subject to the management fees charged to the Master Fund by the Adviser. As of June 30, 2012, the Master Fund did not incur management fees, as the Master Fund has not commenced operations.
The Adviser has contractually agreed to waive or reimburse the Master Fund for expenses (other than fees and expenses of the underlying hedge funds in which the Fund invests, extraordinary expenses and certain investment related expenses, such as foreign country tax expense and interest expense on amounts borrowed by the Master Fund) to the extent necessary in order to cap the Master Fund’s total annual operating expenses at 1.50% until the termination of the Master Fund’s investment advisory agreement. The Adviser has contractually agreed to further reimburse the Fund for expenses (other than fees and expenses of the underlying hedge funds in which the Master Fund invests, extraordinary expenses, and the Fund’s proportionate share of certain investment related expenses of the Master Fund) to the extent necessary in order to cap the Fund’s total annual operating expenses at 2.25% of the Fund’s net assets until the termination of the Master Fund’s investment advisory agreement.
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AIP Macro Registered Fund P
Notes to Statement of Assets and Liabilities (Unaudited) (continued)
3. | Management Fee, Related Party Transactions and Other (continued) |
The Distributor and Selling Agents may charge Shareholders a sales load of up to 3% of the Shareholder’s purchase. Investments of less than $250,000 will be subject to a maximum sales load of 3%; investments of $250,000 - $999,999 will be subject to a maximum sales load of 2%; investments of $1,000,000 - $4,999,999 will be subject to a maximum sales load of 1%; and investments of $5,000,000 or more will be subject to a sales load of 0.5%. The Distributor or a Selling Agent may, in its discretion, waive the sales load for certain investors.
The Fund will pay the Distributor, and the Distributor will pay each financial institution, broker-dealer and other industry professional (collectively, “Service Agents”) that enters into a shareholder servicing agreement with the Distributor, a monthly shareholder servicing fee of up to 0.0708% (0.85% on an annualized basis) of the net asset value of the outstanding Shares beneficially owned by customers of the Distributor or the Service Agent. In exchange for this fee, the Distributor or the Service Agent, as the case may be, will respond to Shareholder inquiries about the Fund, facilitate Fund communications with Shareholders, assist Shareholders in changing account designations or addresses, and assist Shareholders in processing repurchase requests. As of June 30, 2012, the Fund did not incur any shareholder servicing fees, as the Fund has not commenced operations.
The Fund’s organization and offering costs are estimated at $326,638. The Adviser has borne the organization costs of $14,500. Offering costs of approximately $312,138 will be capitalized and amortized over the 12 month period from the Initial Closing Date. As of June 30, 2012, the Fund incurred $238,138 of offering costs, which are included in deferred offering costs in the Statement of Assets and Liabilities.
4. | Subsequent Events |
Unless otherwise stated throughout the Notes to the financial statements, the Fund noted no subsequent events that require disclosure in or adjustment to the financial statements.
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Quarterly Portfolio Schedule (Unaudited)
The Fund also files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the Fund’s first and third fiscal quarters on Form N-Q. The Fund’s Forms N-Q are available on the Securities and Exchange Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Securities and Exchange Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Once filed, the most recent Form N-Q will be available without charge, upon request, by calling the Fund at 1-888-322-4675.
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AIP Macro Registered Fund P
100 Front Street, Suite 400
West Conshohocken, PA 19428
Trustees
Michael Nugent, Chairperson of the Board and Trustee
Frank L. Bowman
Michael Bozic
Kathleen A. Dennis
James F. Higgins
Dr. Manuel H. Johnson
Joseph J. Kearns
Michael F. Klein
W. Allen Reed
Fergus Reid
Officers
Jacques Chappuis, President and Principal Executive Officer
Stefanie V. Chang Yu, Vice President
Mustafa Jama, Vice President
Matthew Graver, Vice President
Mary Ann Picciotto, Chief Compliance Officer
Noel Langlois, Treasurer and Chief Financial Officer
Mary E. Mullin, Secretary
Master Fund’s Investment Adviser
Morgan Stanley AIP GP LP
100 Front Street, Suite 400
West Conshohocken, PA 19428
Administrator, Custodian, Fund Accounting Agent and Escrow Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Transfer Agent
Boston Financial Data Services, Inc.
30 Dan Road
Canton, MA 02021
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Dechert LLP
1095 Avenue of the Americas
New York, NY 10036
Kramer Levin Naftalis & Frankel LLP
1177 Avenue of the Americas
New York, NY 10036
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ITEM 2. | CODE OF ETHICS. Not applicable to a semi-annual report. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to a semi-annual report. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to a semi-annual report. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to the Registrant. |
ITEM 6. | SCHEDULE OF INVESTMENTS. Refer to Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to a semi-annual report. |
ITEM 8. | PORTFOLIO MANAGERS. Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES. Not applicable to the Registrant. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report. |
(b) | There were no changes in the Registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)
(1) Code of Ethics is not applicable to a semi-annual report.
(2) Certifications of Principal Executive Officer and Principal Financial Officer attached to this report as part of EX-99.CERT.
SIGNATURES
Pursuant to the requirements of 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.
AIP MACRO REGISTERED FUND P
By: | /s/ Jacques Chappuis | |
Name: | Jacques Chappuis | |
Title: | President | |
Date: | September 7, 2012 |
Pursuant to the requirements of the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Jacques Chappuis | |
Name: | Jacques Chappuis | |
Title: | Principal Executive Officer | |
Date: | September 7, 2012 |
By: | /s/ Noel Langlois | |
Name: | Noel Langlois | |
Title: | Principal Financial Officer | |
Date: | September 7, 2012 |