UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
________
FORM N-CSRS
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-21252
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
(Exact name of registrant as specified in charter)
________
One Bryant Park, 28th Floor
New York, NY 10036
(Address of principal executive offices) (Zip code)
Michelle Rhee, Esq.
Banc of America Investment Advisors, Inc.
One Financial Center
Boston, MA 02111
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 617-772-3333
DATE OF FISCAL YEAR END: MARCH 31
DATE OF REPORTING PERIOD: SEPTEMBER 30, 2008
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
BACAP Alternative
Multi-Strategy Fund, LLC
FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2008
(UNAUDITED)
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
FINANCIAL STATEMENTS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2008
CONTENTS
STATEMENT OF ASSETS, LIABILITIES AND INVESTORS' CAPITAL .................. 2
SCHEDULE OF INVESTMENTS .................................................. 3
STATEMENT OF OPERATIONS .................................................. 5
STATEMENT OF CHANGES IN INVESTORS' CAPITAL ............................... 6
STATEMENT OF CASH FLOWS .................................................. 7
FINANCIAL HIGHLIGHTS ..................................................... 8
NOTES TO FINANCIAL STATEMENTS ............................................ 9
INVESTMENT CONTRACT RENEWAL DISCLOSURE ................................... 18
CAPITALIZED TERMS IN THESE FINANCIAL STATEMENTS THAT ARE NOT DEFINED HAVE THE
MEANINGS GIVEN TO THEM IN THE FUND'S PROSPECTUS.
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
STATEMENT OF ASSETS, LIABILITIES AND INVESTORS' CAPITAL (UNAUDITED)
SEPTEMBER 30,
2008
-------------
ASSETS
Investments in Portfolio Funds, at fair value (cost $ 81,727,772) $86,714,914
Cash 2,331,020
Restricted cash 488,064
Redemptions receivable from Portfolio Funds 480,291
Interest receivable 7,086
Other assets 12,758
-----------
TOTAL ASSETS 90,034,133
-----------
LIABILITIES
Withdrawals payable 488,064
Management fee payable 93,054
Administration fee payable 6,093
Professional fees payable 159,232
Accrued expenses 48,909
-----------
TOTAL LIABILITIES 795,352
-----------
NET ASSETS $89,238,781
===========
INVESTORS' CAPITAL
Net capital (1) $84,251,639
Net accumulated unrealized appreciation on investments in
Portfolio Funds 4,987,142
-----------
TOTAL INVESTORS' CAPITAL $89,238,781
===========
(1) Net capital includes net capital contributions, cumulative net investment
income/(losses) and net realized gains/(losses) on investments in Portfolio
Funds.
The accompanying notes are an integral part of these financial statements.
2
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 2008
-----------------------------------
% OF
FAIR NET
COST VALUE ASSETS*
----------- ----------- -------
INVESTMENTS IN PORTFOLIO FUNDS
EMERGING MARKETS
Henderson Asia Pacific Absolute Return Fund, Ltd.+ $ 5,000,000 $ 5,308,854 5.95%
Rohatyn Group Global Opportunity Partners, L.P. (Class A) 167,351 230,813 0.26
----------- ----------- -----
TOTAL EMERGING MARKETS 5,167,351 5,539,667 6.21
----------- ----------- -----
EQUITY HEDGE
Addison Clark Fund, L.P. 3,000,000 2,953,111 3.31
Alydar Fund, L.P.+ 5,999,169 6,695,558 7.50
Artha Emerging Markets Fund, L.P.+ 4,700,000 4,473,793 5.01
New Star UK Gemini Hedge Fund, Ltd. 3,366,071 4,170,650 4.67
Royal Capital Value Fund (QP), L.P.+ 5,714,172 6,101,219 6.84
Seligman Tech Spectrum Fund, LLC+ 5,750,000 6,415,079 7.19
TCS Capital II, L.P. 1,575,357 2,447,038 2.74
Tiedemann/Falconer Partners, L.P.++ 4,250,000 5,154,143 5.78
----------- ----------- -----
TOTAL EQUITY HEDGE 34,354,769 38,410,591 43.04
----------- ----------- -----
EVENT DRIVEN
American Durham, L.P. 3,700,000 3,460,252 3.88
Centaurus Alpha Fund, L.P.(b) 4,812,602 4,302,679 4.82
Delaware Street Capital, L.P. 37,249 40,584 0.04
Halcyon Enhanced Fund, L.P. 4,526,335 4,437,438 4.97
JANA Partners, L.P.++ 4,264,241 4,972,469 5.57
Strategic Value Restructuring Fund, L.P.+ 5,700,000 5,922,946 6.64
Waterfall Eden Fund, L.P. 4,000,000 3,558,123 3.99
----------- ----------- -----
TOTAL EVENT DRIVEN 27,040,427 26,694,491 29.91
----------- ----------- -----
MACRO
Brevan Howard, L.P.+ 3,086,502 4,940,260 5.53
Drake Global Opportunities Fund, L.P.(b) 678,723 638,902 0.72
----------- ----------- -----
TOTAL MACRO 3,765,225 5,579,162 6.25
----------- ----------- -----
The accompanying notes are an integral part of these financial statements.
3
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 2008
-----------------------------------
% OF
FAIR NET
COST VALUE ASSETS*
----------- ----------- -------
INVESTMENTS IN PORTFOLIO FUNDS (CONTINUED)
RELATIVE VALUE
Aristeia Partners, L.P. (b) $ 3,650,000 $ 3,586,500 4.02%
Lydian Partners II, L.P.(a) 3,524,717 2,228,950 2.50
Lydian Partners SPV, Ltd.(a) 475,283 52,281 0.06
MKP Opportunity Fund, L.P. 1,000,000 1,255,395 1.41
Vicis Capital Fund 2,750,000 3,367,877 3.77
----------- ----------- -----
TOTAL RELATIVE VALUE 11,400,000 10,491,003 11.76
----------- ----------- -----
TOTAL INVESTMENTS IN PORTFOLIO FUNDS $81,727,772 $86,714,914 97.17%
=========== =========== =====
INVESTMENT STRATEGY AS A PERCENTAGE OF TOTAL INVESTMENTS
IN PORTFOLIO FUNDS, AT FAIR VALUE
% of Total Investments
Strategy in Portfolio Funds
-------- ----------------------
Equity Hedge 44.30%
Event Driven 30.78%
Relative Value 12.10%
Macro 6.43%
Emerging Markets 6.39%
------
100.00%
* Percentages are based on net assets of $89,238,781.
(a) Portfolio Fund that has suspended redemptions as of the date of this
report.
(b) Portfolio Fund that has imposed limits on the redemptions on or after the
date of this report.
For Portfolio Funds representing greater than 5.00% of the Fund's net assets,
the following are the redemption cycles:
+ Subject to monthly redemption cycle, subject to the Manager's ability to
suspend redemptions at any time.
++ Subject to quarterly redemption cycle, subject to the Manager's ability to
suspend redemptions at any time.
The aggregate cost of investments for tax purposes was approximately
$91,697,356. Net unrealized depreciation on investments for tax purposes was
$4,982,442 consisting of $2,280,458 of gross unrealized appreciation and
$7,262,900 of gross unrealized depreciation.
The investments in Portfolio Funds shown above, representing 97.17% of
Investors' capital, have been fair valued in accordance with procedures
established by the Board of Managers (See Note 2).
The accompanying notes are an integral part of these financial statements.
4
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, 2008
------------------
INVESTMENT INCOME
Interest income $ 59,411
-----------
TOTAL INVESTMENT INCOME 59,411
-----------
EXPENSES
Management fees 626,519
Administration fees 40,421
Audit and tax service fees 78,703
Legal fees 75,000
Insurance fees 28,356
Board fees 15,000
Registration fees 8,000
Miscellaneous expenses 46,306
-----------
TOTAL EXPENSES 918,305
-----------
NET INVESTMENT LOSS (858,894)
-----------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS IN PORTFOLIO FUNDS
Net realized gain on redemptions from investments in Portfolio Funds 941,886
Change in unrealized appreciation on investments in Portfolio Funds (8,251,499)
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS IN PORTFOLIO FUNDS (7,309,613)
-----------
NET DECREASE IN INVESTORS' CAPITAL RESULTING FROM OPERATIONS $(8,168,507)
===========
The accompanying notes are an integral part of these financial statements.
5
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
STATEMENT OF CHANGES IN INVESTORS' CAPITAL (UNAUDITED)
AFFILIATED
INVESTOR* INVESTORS TOTAL
----------- ------------ ------------
INVESTORS' CAPITAL AT MARCH 31, 2007 $19,798,282 $ 79,952,011 $ 99,750,293
Contributions 3,000,000 13,148,437 16,148,437
Withdrawals -- (12,989,693) (12,989,693)
Allocation of net increase in Investors'
capital resulting from operations 58,886 773,146 832,032
----------- ------------ ------------
INVESTORS' CAPITAL AT MARCH 31, 2008 22,857,168 80,883,901 103,741,069
----------- ------------ ------------
Contributions -- 3,797,500 3,797,500
Withdrawals -- (10,131,281) (10,131,281)
Allocation of net decrease in Investors'
capital resulting from operations (1,926,392) (6,242,115) (8,168,507)
----------- ------------ ------------
INVESTORS' CAPITAL AT SEPTEMBER 30, 2008 $20,930,776 $ 68,308,005 $ 89,238,781
=========== ============ ============
* The affiliated Investor is NB Funding Company, LLC.
The accompanying notes are an integral part of these financial statements.
6
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
STATEMENT OF CASH FLOWS (UNAUDITED)
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, 2008
------------------
Cash flows from operating activities:
Net decrease in Investors' capital resulting from operations $ (8,168,507)
Adjustments to reconcile net decrease in Investors' capital resulting from
operations to net cash provided by operating activities:
Net realized gain on redemptions from investments in Portfolio Funds (941,886)
Net change in unrealized appreciation on investments in Portfolio Funds 8,251,499
Cost of investments in Portfolio Funds (14,834,209)
Proceeds from sale of investments in Portfolio Funds 18,667,309
(Increase)/decrease in operating assets:
Redemptions receivable from Portfolio Funds 3,618,302
Interest receivable (7,086)
Other assets 32,036
Increase/(decrease) in operating liabilities:
Management fee payable (15,122)
Administration fee payable (913)
Professional fees payable 11,268
Accrued expenses 21,395
------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 6,634,086
------------
Cash flows from financing activities:
Capital contributions 3,797,500
Capital withdrawals (10,131,281)
Decrease in capital contributions received in advance (200,000)
Decrease in withdrawals payable (132,465)
Decrease in restricted cash 132,465
------------
NET CASH USED IN FINANCING ACTIVITIES (6,533,781)
------------
Net increase in cash 100,305
Cash, beginning of period 2,230,715
------------
Cash, end of period $ 2,331,020
============
The accompanying notes are an integral part of these financial statements.
7
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
FINANCIAL HIGHLIGHTS
The below ratios are calculated by dividing total dollars of income or expenses
as applicable by the average of total annual Investors' capital based on each of
the twelve months ended March 31 and the six months ended September 30, 2008.
Total return amounts are calculated by geometrically linking returns based on
the change in value during each accounting period for each year ended March 31
or period ended September 30. An individual investor's return may vary from
these returns based on the timing of capital contributions and withdrawals.
SIX
Ratios to average Investors' capital: MONTHS ENDED
SEPTEMBER 30, YEARS ENDED MARCH 31,
2008 -------------------------------------------------------
(UNAUDITED) 2008 2007 2006 2005 2004
------------- -------- ------- ------- ------- -------
Net investment loss - prior to incentive allocation (1.70%)(1) (1.67%) (2.02%)(8) (2.49%) (2.56%) (2.36%)(3)
Incentive allocation 0.00%(7) 0.00%(7) 0.00%(7) 0.00%(7) (0.03%) (0.50%)
------- -------- ------- ------- ------- -------
Net investment loss - net of incentive allocation (1.70%)(1) (1.67%) (2.02%)(8) (2.49%) (2.59%) (2.86%)
======= ======== ======= ======= ======= =======
Expenses before organization expenses (4) 1.82%(1) 1.81% 2.32%(8) 2.74% 2.66% 2.72%(5)
------- -------- ------- ------- ------- -------
Expenses (4)(9) 1.82%(1) 1.81% 2.32%(8) 2.74% 2.66% 2.87%(3)
Incentive allocation (4)(9) 0.00%(7) 0.00%(7) 0.00%(7) 0.00%(7) 0.03% 0.50%
------- -------- ------- ------- ------- -------
Total expenses and incentive allocation (4)(9) 1.82%(1) 1.81% 2.32%(8) 2.74% 2.69% 3.37%(3)
======= ======== ======= ======= ======= =======
Total return - prior to incentive allocation (6) (8.43%)(2) 0.66% 7.79% 6.38% 2.61% 10.34%
Incentive allocation 0.00%(7) 0.00%(7) 0.00%(7) 0.00%(7) (0.02%) (0.46%)
------- -------- ------- ------- ------- -------
Total return - net of incentive allocation (6) (8.43%)(2) 0.66% 7.79% 6.38% 2.59% 9.88%
======= ======== ======= ======= ======= =======
Portfolio turnover rate 15.74%(2) 26.75% 37.40% 47.84% 61.24% 43.16%
======= ======== ======= ======= ======= =======
Investors' capital, end of period ($000) $89,239 $103,741 $99,750 $75,257 $71,765 $64,155
======= ======== ======= ======= ======= =======
(1) Annualized.
(2) Not annualized.
(3) Includes organization expenses of $ 45,000 incurred prior to commencement
of operations on April 1, 2003, charged to Investors' Capital Accounts.
(4) Does not include expenses of the Portfolio Funds in which the Fund invests.
The expense ratio (expense and incentive allocation ratio) is calculated
for the Investors taken as a whole. The computation of such ratios based on
the amount of expenses and incentive allocation assessed to an individual
Investor's capital may vary from these ratios based on the timing of
capital transactions.
(5) Does not include organization expenses charged during the year ended March
31, 2004 in the amount of $22,668.
(6) Total return is calculated for all the Investors taken as a whole, net of
all fees, except where noted that performance is prior to incentive fee
allocation. An individual Investor's return may vary from these returns
based on the timing of capital transactions.
(7) Effective December 1, 2005, the Fund terminated the incentive fee accrual
retroactively to April 1, 2005.
(8) If expenses had not been voluntarily reimbursed by the Adviser, the ratios
of net investment loss and expenses to average Investors' Capital would be
(2.05%) and 2.35%, respectively.
(9) The Underlying Funds expense ratios excluding incentive fee range from
1.62% to 17.08% (unaudited). The Underlying Funds incentive fees are
generally 20% of profits generated by the Underlying Funds.
The accompanying notes are an integral part of these financial statements.
8
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
BACAP Alternative Multi-Strategy Fund, LLC (the "Fund") is a Delaware
limited liability company registered under the Investment Company Act of
1940, as amended (the "1940 Act"), as a non-diversified, closed-end
management investment company. The Fund's limited liability company
interests ("Interests") have been registered under the Securities Act of
1933, as amended (the "1933 Act"). The Fund commenced investment operations
on April 1, 2003.
Banc of America Investment Advisors, Inc. ("BAIA" or the "Adviser") serves
as the Fund's investment adviser and has the responsibility for the
management of the business and affairs of the Fund on a daily basis. The
Adviser is registered as an investment adviser under the Investment
Advisers Act of 1940, as amended (the "Advisers Act"). Prior to June 13,
2005, Columbia Management Advisors, LLC (formerly known as Banc of America
Capital Management, LLC) ("CMA"), an advisory affiliate of the Adviser,
served as the investment adviser to the Fund. Investors approved the
Investment Advisory Agreement with the Adviser at a meeting held on June
13, 2005.
The investment objective of the Fund is to generate consistent long-term
capital appreciation with low volatility and limited risk under a wide
range of market conditions. The Fund attempts to achieve the investment
objective by allocating its assets among at least 15 private investment
funds, discretionary managed accounts or special purpose vehicles created
for the Fund (collectively, "Portfolio Funds"). The Adviser allocates the
assets of the Fund among Portfolio Funds that generally employ one or more
of the following strategies: (i) Event Driven (e.g. Risk (Merger)
Arbitrage, High Yield Securities, Distressed Securities and Special
Situations); (ii) Relative Value (e.g. Convertible Arbitrage, Fixed Income
Arbitrage, Statistical Arbitrage and Capital Structure Arbitrage); (iii)
Equity Hedge; (iv) Macro; and (v) Other.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported
amount of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported
amounts of increases and decreases in net assets from operations during the
reporting period. Actual results could differ from those estimates.
The following are the significant accounting policies adopted by the Fund:
A. VALUATIONS
The Fund's investments are valued by the Adviser as of the close of
business on the last business day of each month in accordance with
policies and procedures approved by the Fund's Board of Managers (the
"Board"). The Fund's investments in Portfolio Funds may be subject to
limitations on redemptions, including the assessment of early
redemption fees. In addition, market quotations for such interests are
not available. As a result, the Fund's investments in Portfolio Funds
are valued at fair value, which normally will be the value determined
by the portfolio managers or administrators of the Portfolio Funds.
Such value of the Fund's interest in a Portfolio Fund generally
represents the Fund's proportionate share of the net assets of the
Portfolio Fund. The value of the Fund's investments in Portfolio Funds
is generally increased by additional contributions to the Portfolio
9
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
A. VALUATIONS (CONTINUED)
Funds and the Fund's share of net earnings from Portfolio Funds and
decreased by withdrawals and the Fund's share of net losses from
Portfolio Funds. The Fund and the Adviser rely upon audited and
unaudited reports and estimates prepared by or for Portfolio Fund and
any other information that they may receive from Portfolio Fund, which
may be subject to adjustment by Portfolio Fund or its manager or
administrator. The values assigned to the Fund's investments in
Portfolio Funds may not represent amounts that would ultimately be
realized, as such amounts depend on future circumstances and cannot be
determined until the liquidation of the Fund's interest in the
Portfolio Fund. The estimated value of the Fund's interests in
Portfolio Funds may differ significantly from the value received upon
liquidation. Neither the Fund nor the Adviser will be able to confirm
independently the accuracy of the valuations provided by Portfolio
Funds or their portfolio managers or administrators.
Portfolio Funds, or their administrators or portfolio managers,
generally use an independent pricing source to value the funds'
securities. Securities with no readily available market value are
initially valued at cost, with subsequent adjustments to values, which
reflect either meaningful third-party transactions in the private
market, or fair value deemed appropriate by Portfolio Fund or its
portfolio manager or administrator. In such instances, consideration
may also be given to the financial condition and operating results of
the issuer, the amount that Portfolio Funds can reasonably expect to
realize upon the sale of the securities and other factors deemed
relevant by Portfolio Fund or its portfolio manager or administrator.
Some of Portfolio Funds may invest all or a portion of their assets in
illiquid securities and may hold all or a portion of these investments
separately from the rest of their portfolio. These separate baskets of
illiquid securities (the "side pockets") may be subject to
restrictions on liquidation that are more strict than the liquidity
restrictions applicable to general interests in the Portfolio Fund. If
the Fund liquidates its interests in such a Portfolio Fund, the Fund
may be required to maintain these illiquid securities for an extended
period of time. The value of these baskets of illiquid securities may
fluctuate significantly. In instances where such a Portfolio Fund
closes its operations, the Fund may receive an 'in kind' distribution
and fully remove its interests from the Portfolio Fund. As of
September 30, 2008, the Fund's investments in side pockets are
immaterial in relation to the Fund's net assets.
In general, most of the Portfolio Funds in which the Fund invests
provide for periodic withdrawals of capital ranging from monthly to
annually and, in some cases, have lock up provisions under which the
Fund may not withdraw capital for a specified period after the date of
its contribution, which may be up to three years. The governing
documents of Portfolio Funds generally provide that the Portfolio Fund
may suspend, limit or delay the right of its investors, such as the
Fund, to withdraw capital.
10
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
B. INVESTMENTS
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards ("SFAS") No. 157,
which provides enhanced guidance for using fair value to measure
assets and liabilities. The Fund adopted SFAS No. 157 on April 1,
2008. SFAS No. 157 establishes a fair value hierarchy and specifies
that a valuation technique used to measure fair value shall maximize
the use of observable inputs and minimize the use of unobservable
inputs. The objective of a fair value measurement is to determine the
price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the
measurement date (an exit price). Accordingly, the fair value
hierarchy gives the highest priority to quoted prices (unadjusted) in
active markets for identical assets or liabilities (Level 1) and the
lowest priority to unobservable inputs (Level 3). The three levels of
the fair value hierarchy under SFAS No. 157 are described below:
- Level 1 -- Unadjusted quoted prices in active markets for
identical, unrestricted assets or liabilities that the Fund has
the ability to access at the measurement date;
- Level 2 -- Quoted prices which are not active, or inputs
that are observable (either directly or indirectly) for
substantially the full term of the asset or liability; and
- Level 3 -- Prices, inputs or modeling techniques which are
both significant to the fair value measurement and unobservable
(supported by little or no market activity).
As required by SFAS No.157, investments are classified within the
level of the lowest significant input considered in determining fair
value. Investments classified within Level 3 consider several inputs
and may include Level 1 or Level 2 inputs as components of the overall
fair value measurement. The table below sets forth information about
the level within the fair value hierarchy at which the Fund
investments are measured at September 30, 2008:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------- ----------- -----------
Investments in Portfolio Funds $-- $-- $86,714,914 $86,714,914
--- --- ----------- -----------
TOTAL $-- $-- $86,714,914 $86,714,914
=== === =========== ===========
The following is a reconciliation of the investments in which
significant unobservable inputs (Level 3) were used in determining
value:
BEGINNING BALANCE AS OF 3/31/08 $97,857,627
Realized gain/(loss) 941,886
Change in unrealized
appreciation/(depreciation) (8,251,499)
Net purchase/sales (3,833,100)
Net transfers in and/or out of Level 3 --
-----------
ENDING BALANCE AS OF 9/30/08 $86,714,914
===========
11
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
C. SECURITY TRANSACTIONS
Purchases of investments in Portfolio Funds are recorded as of the
first day of legal ownership of a Portfolio Fund and sales of
Portfolio Funds are recorded as of the last day of legal ownership or
participation. Purchases and sales of other securities are accounted
for on the trade-date basis. Realized gains and losses are recorded at
the time of disposition of the respective investment on an average
cost basis.
D. INTEREST AND DIVIDENDS
Interest income is recognized on an accrual basis. Dividend income, if
any, is recognized on the ex-dividend date.
E. FUND EXPENSES
The Fund bears its own expenses including, but not limited to: any
taxes; organizational expenses; offering costs; investment-related
expenses incurred by the Fund (e.g., fees and expenses charged by the
Adviser and Portfolio Funds, placement fees, professional fees,
custody and administration fees).
F. CASH
Cash represents cash and cash equivalents held at SEI Private Trust
Company, the Fund's custodian (the "Custodian"). At September 30,
2008, a total of $2,819,084 in cash was held at the Custodian. Of that
amount, $488,064 was held in a segregated account related to the
holdbacks on Members' withdrawals from the Fund.
G. INCOME TAXES
The Fund is treated as a partnership for Federal income tax purposes.
No Federal or state taxes have been provided on profits of the Fund
since Investors are individually required to report on their own tax
return their distributive share of the Fund's taxable income or loss.
Effective April 1, 2007, the Fund adopted the 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. The Fund has
evaluated the application of FIN 48 and has determined that it does
not have a material impact on the Fund's financial statements. There
is no tax liability resulting from unrecognized tax benefits relating
to uncertain income tax positions taken or expected to be taken on the
tax return for the period ended September 30, 2008. No income tax
returns are currently under examination. The statute of
12
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G. INCOME TAXES (CONTINUED)
limitations on the Fund's U.S. Federal tax returns remains open for
the years ended March 31, 2005 through March 31, 2008. The statute of
limitations on the Fund's state and local tax returns may remain open
for an additional year depending upon the jurisdiction.
3. INVESTORS' CAPITAL ACCOUNTS
A separate Capital Account is maintained for each Investor of the Fund. The
increase or decrease in Investors' capital resulting from operations is
allocated to each Investor at the end of each calendar month, based on its
pro-rata share of aggregated capital in the Fund.
As of the last day of each calendar month, any net profit or net loss for
the calendar month, and any offering costs required by applicable
accounting principles to be charged to capital that are paid or accrued
during the calendar month, are allocated among and credited to or debited
against the Capital Accounts of the Investors in accordance with their
respective Capital Account balances for such calendar month.
A. CONTRIBUTIONS
Interests in the Fund are offered through Columbia Management
Distributors, Inc. (the "Distributor") (successor to BACAP
Distributors, LLC), an affiliate of the Adviser, and through selling
agents exclusively to "qualified clients" as defined in the
regulations under the Advisers Act.
Investments in the Fund may be subject to a sales load of up to 3.00%.
The sales load may be waived by the Fund for certain types of
investors. The total sales load charged for the six months ended
September 30, 2008 was $2,500. In addition, the Fund may compensate
selling agents for selling Interests to their customers.
In light of the proposed reorganization (see Note 12 for more
information), effective July 1, 2008, the Fund suspended distribution
of Interests and stopped accepting contributions for Interests in the
Fund.
B. WITHDRAWALS
The Fund may from time to time offer to repurchase Interests pursuant
to written tenders by Investors. Repurchases are made at such times
and on such terms as may be determined by the Board, in its sole
discretion, and generally include an offer to repurchase a specified
dollar amount of outstanding Interests. In determining whether and
when the Fund should repurchase Interests, the Board considers
recommendations from the Adviser. Depending on market conditions and
other factors, the Adviser typically recommends to the Board that the
Fund offer to repurchase Interests from Investors twice each year,
effective as of June 30 and December 31 of each year. For the six
months ended September 30, 2008, the Fund purchased $10,131,281 in
Interests as a result of a tender offer effective as of June 30, 2008.
The Adviser did not recommend, and the Board did not authorize, a
repurchase of Interests from Investors effective December 31, 2008.
13
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
4. INVESTMENTS IN PORTFOLIO FUNDS
The agreements related to investments in Portfolio Funds typically provide
for compensation to the general partners/managers in the form of management
fees of 1% to 2% (per annum) of net assets and performance/incentive fees
or allocations of up to 25% of net profits earned. Portfolio Funds
generally provide for periodic redemptions ranging from monthly to annually
with lock up provisions of up to two years from initial investment. Most of
the Portfolio Funds have the contractual discretion to temporarily suspend
redemptions in certain circumstances. Some Portfolio Funds may charge
redemption fees. Such provisions may restrict the Fund's ability to respond
to changing market conditions. None of Portfolio Funds are expected to make
distributions (e.g., dividend payments to investors).
Aggregate purchases and sales of Portfolio Funds for the six months ended
September 30, 2008, amounted to $14,834,209 and $18,667,309, respectively.
5. MANAGEMENT FEES
In consideration of services provided by the Adviser, the Fund pays the
Adviser a monthly fee (the "Management Fee") computed at an annual rate of
1.25% of the net assets of the Fund as of the last day of each month,
before reduction for any repurchases of Interests.
6. ADMINISTRATION, SUB-ADMINISTRATION AND REGULATORY ADMINISTRATION AGREEMENTS
The Fund has entered into an administration agreement with the Adviser to
perform certain administration services. Under the administration
agreement, the Adviser provides, or arranges to provide certain accounting,
administrative, and transfer agency services to the Fund.
Per the administration agreement, the Fund pays the Adviser a monthly
administration fee computed at the annual rate of 0.07% of the net assets
of the Fund before reduction for any repurchases of Interests, as well as
other expenses set forth in the administration agreement. For the six
months ended September 30, 2008, the Fund paid an administration fee of
$40,421.
The Fund and the Adviser have contracted with SEI Investments Global Fund
Services ("SEI") as Sub-Administrator to perform administration services.
The Adviser pays SEI a fee at the annual rate of 0.07% of the Fund's net
asset value.
The Fund has entered into an agreement with PFPC Inc. ("PFPC") to perform
regulatory administration services. The Fund pays PFPC 0.015% per year on
average net assets subject to a $30,000 minimum fee. For the six months
ended September 30, 2008, the Fund paid $15,000 to PFPC under this
agreement which is included in Miscellaneous expenses in the Statement of
Operations.
7. INVESTOR SERVICING AGREEMENT
Prior to April 1, 2007, the Fund paid the Distributor and/or selling agents
a monthly Investor Servicing fee calculated at the annual rate of 0.25% of
the net assets of the Fund as of the last day of each month to compensate
securities dealers and other financial intermediaries for account
maintenance services under the Investor Service Plan and Investor Service
Agreement. Pursuant to the Investor Service Plan, intermediaries will
handle investor inquiries regarding investments in the
14
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
7. INVESTOR SERVICING AGREEMENT (CONTINUED)
Fund, capital account balances and report and prepare tax information,
assist in the maintenance of Fund records containing Investor information,
and provide other such information and services as the Distributor or
Adviser may reasonably request. This Investor Servicing fee was terminated
effective April 1, 2007.
8. RELATED PARTY TRANSACTIONS
Each member of the Board of Managers who is not an "interested person" of
the Fund, as defined by the 1940 Act, receives an annual retainer of $6,000
plus a fee of $1,000 for each meeting attended. Any manager or officer who
is an "interested person" does not receive any annual fee or other fees
from the Fund. All managers are reimbursed by the Fund for reasonable
out-of-pocket expenses related to performance of their duties as managers
of the Fund.
9. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK, CONCENTRATION OF CREDIT
RISK, AND OTHER RISKS
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 option contracts, and
equity swaps. To the extent that the Fund's investment activity is limited
to making investments in investment funds via limited partnership interests
or limited liability company holdings, the Fund's risk of loss in these
investment funds is generally limited to the value of these investments
reported by the Fund. To date, the Fund has only invested in such limited
partnership and limited liability company interests.
Because the Fund is a closed-end investment company, its Interests are not
redeemable at the option of Investors and will not be exchangeable for
interests of any other fund. Although the Board in its discretion may cause
the Fund to offer from time to time to repurchase Interests at their
investors' capital account value, the Interests are considerably less
liquid than shares of funds that trade on a stock exchange or shares of
open-end investment companies. With respect to any tender offer for
Interests by the Fund, the aggregate repurchase amount will be determined
by the Board in its discretion and such repurchase amount may represent
only a small portion of the Fund's outstanding Interests. Because the
Fund's investments in Portfolio Funds themselves have limited liquidity,
the Fund may not be able to fund significant repurchases. Investors whose
Interests are accepted for repurchase also bear the risk that the Fund's
investors' capital may fluctuate significantly between the time that they
submit their request for repurchase and the date of the repurchase.
There are a number of other risks to the Fund. Three principal types of
risk that can adversely affect the Fund's investment approach are market
risk, strategy risk, and manager risk. The Fund is also subject to multiple
manager risks, possible limitations in investment opportunities, allocation
risks, illiquidity, lack of diversification, and other risks for the Fund
and potentially for each Portfolio Fund. Some Portfolio Funds have
suspended or restricted redemptions, which increases the illiquidity risk
for the Fund.
15
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
10. CONTINGENCIES AND COMMITMENTS
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide
general indemnifications. The Fund's maximum exposure under these
arrangements is unknown, as this would involve future claims that may be
made against the Fund that have not yet occurred. However, based on
experience, the Fund expects the risk of loss to be remote.
11. LITIGATION EVENT
The events described below have not directly impacted the Fund or had any
known material adverse effect on its financial position or results of
operations.
On February 9, 2005, the Distributor and certain other affiliates of the
Adviser, including the former investment adviser to the Fund, entered into
Assurances of Discontinuance with the New York Attorney General ("NYAG")
(the "NYAG Settlements") and consented to the entry of cease-and-desist
orders by the Securities and Exchange Commission (the "SEC") (the "SEC
Orders") in connection with matters relating to mutual fund trading. Copies
of the SEC Orders are available on the SEC website at http://www.sec.gov.
Copies of the NYAG Settlements are available as part of the Bank of America
Corporation Form 8-K filing of February 10, 2005.
In connection with the events that resulted in the NYAG Settlements and SEC
Orders, various parties filed suit against certain Columbia Funds
(including former Nations Funds), the Trustees of the Columbia Funds
(including Trustees of the former Nations Funds), FleetBoston Financial
Corporation (the former parent of the Adviser) and certain of its
affiliated entities and/or Bank of America Corporation and certain of its
affiliated entities. More than 300 cases, including those filed against
entities unaffiliated with the Columbia Funds, their Boards, FleetBoston
Financial Corporation and its affiliated entities and/or Bank of America
Corporation and its affiliated entities, were transferred to a
multi-district proceeding in the Federal District Court in Maryland for
consolidated or coordinated pretrial proceedings. The parties have reached
settlements with respect to the claims in the actions concerning the
Columbia Funds. All such settlements are subject to court approval.
Certain other actions against certain Columbia Funds, the Trustees of the
Columbia Funds, advisers and affiliated entities, alleging among other
things excessive fees and inappropriate use of fund assets for distribution
and other improper purposes, have been consolidated in the Massachusetts
federal court as In re Columbia Entities Litigation on March 2, 2005. On
November 30, 2005, the judge dismissed all claims by plaintiffs and entered
final judgment in favor of the defendants. The plaintiffs appealed to the
United States Court of Appeals for the First Circuit on December 30, 2005.
A stipulation and settlement agreement dated January 19, 2007 was filed in
the First Circuit on February 14, 2007, with a joint stipulation of
dismissal and motion for remand to obtain district court approval of the
settlement. That joint motion was granted and the appeal was dismissed. On
March 6, 2007, the case was remanded to the District Court. The settlement,
approved by the District Court on September 18, 2007, became effective
October 19, 2007. Pursuant to the settlement, the Adviser and/or its
affiliates made certain payments, including plaintiffs' attorneys' fees and
costs of notice to class members.
16
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
12. SUBSEQUENT EVENT
The Fund's Board of Managers has approved the reorganization of the Fund
into Excelsior Directional Hedge Fund of Funds (TI), LLC (the "Acquiring
Fund"), a Delaware limited liability company that is registered under the
1940 Act as a closed-end, non-diversified, management investment company.
On or about November 10, 2008, the Fund mailed to its Investors a
prospectus/proxy statement asking them to approve the reorganization at a
special meeting scheduled for December 18, 2008. If Fund members approve
the reorganization, all of the assets of the Fund will be transferred to
the Acquiring Fund, the Acquiring Fund will assume the Fund's identified
liabilities, and eligible Investors will receive interests of the Acquiring
Fund in exchange for their Interests in the Fund. If an Investor is
ineligible to receive the Acquiring Fund's interests, the Fund will
repurchase on an involuntary basis the Investor's Interests in the Fund. If
approved by Fund members and other closing conditions are satisfied, the
reorganization is expected to close on or about March 31, 2009.
The Acquiring Fund is governed by a different Board of Managers than the
Fund and is managed by U.S. Trust Hedge Fund Management, Inc., an affiliate
of the Adviser. The Acquiring Fund is a feeder fund in a master/feeder
structure and invests substantially all of its assets into Excelsior
Directional Hedge Fund of Funds Master Fund, LLC, which is also registered
under the 1940 Act.
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 within sixty days after the end of the period. The
Fund's Form N-Q is 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
relating to 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 (888) 786-9977; and (ii) on the Commission's website at
http://www.sec.gov.
17
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
INVESTMENT CONTRACT RENEWAL DISCLOSURE (UNAUDITED)
BOARD ACTION WITH RESPECT TO INVESTMENT ADVISORY AGREEMENT
At a meeting held on September 19, 2008, the Board of Managers of BACAP
Alternative Multi-Strategy Fund, LLC (the "Fund"), which consists only of
Managers who are not "interested persons" of the Fund (as defined in the
Investment Company Act of 1940, as amended), approved the continuation of the
Fund's investment advisory agreement (the "Advisory Agreement") with Banc of
America Investment Advisors, Inc. ("BAIA") for an additional one-year period
ending on October 31, 2009. At that meeting, the Board considered information
and factors that it believed were relevant to the interests of the Fund's
investors, and during its deliberations consulted with its independent legal
counsel and with Fund counsel. In addition, at most of its other meetings
throughout the year, the Board considers matters bearing on the Advisory
Agreement.
The Managers received and reviewed all materials that they or their independent
legal counsel believed to be reasonably necessary to evaluate the Advisory
Agreement and determine whether to approve its continuation. Those materials
included, among other items, (i) a report prepared by BAIA comparing the Fund's
investment performance to the performance of a universe of registered funds of
hedge funds identified by an independent third party, including funds managed by
third parties and another registered fund managed by BAIA (the "Third-Party
Identified Peer Group"), and the Fund's performance benchmark; (ii) a report
prepared by BAIA comparing the Fund's advisory fees and other expenses,
including information comparing the Fund's expenses to those of the Third-Party
Identified Peer Group, and a report prepared by the independent third party
comparing the Fund's expenses to those of the Third Party-Identified Peer Group;
(iii) information about the profitability of the Advisory Agreement to BAIA and
potential "fall-out" or ancillary benefits that BAIA and its affiliates may
receive as a result of their relationships with the Fund; and (iv) information
obtained through BAIA's response to a letter prepared at the request of the
Managers by their independent legal counsel requesting certain information in
connection with the renewal of the Fund's Advisory Agreement. The Board also
considered other information such as (v) BAIA's financial results and financial
condition; and (vi) BAIA's resources devoted to, and its record of compliance
with, the Fund's investment policies and restrictions, policies on personal
securities transactions and other compliance policies. Throughout the process,
the Managers had the opportunity to ask questions of, and request additional
materials from, BAIA and to consult with their independent legal counsel. The
Board also referred to information about the Fund's investment process that it
received from BAIA's investment professionals at previous meetings throughout
the year.
In considering whether to approve the continuation of the Advisory Agreement,
the Managers did not identify any single factor as determinative, and each
weighed various factors as he deemed appropriate. The Managers considered the
following matters in connection with their approval of the continuation of the
Advisory Agreement:
NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED. The Board considered the
nature, quality and extent of the advisory services provided by BAIA under the
Advisory Agreement. It considered the investment approach BAIA employs, BAIA's
research capabilities, the nature of BAIA's experience and resources, the
experience of relevant BAIA personnel and BAIA's resources, practices and
procedures designed to address regulatory compliance matters.
18
BACAP ALTERNATIVE MULTI-STRATEGY FUND, LLC
INVESTMENT CONTRACT RENEWAL DISCLOSURE (UNAUDITED) (CONTINUED)
INVESTMENT PERFORMANCE. The Board reviewed the Fund's investment performance and
the performance of funds in the Third-Party Identified Peer Group. The Board
reviewed the factors that BAIA identified as contributing to performance and
noted their continuing concern with the investment performance of the Fund. In
this regard, the Board acknowledged the efforts of BAIA to improve the quality
of the personnel responsible for management of the Fund and the potential
positive effects of the proposed reorganization of the Fund with the Excelsior
Directional Hedge Fund of Funds (TI), LLC on investment performance.
EXPENSE INFORMATION, PROFITABILITY AND ECONOMIES OF SCALE. The Board considered
the fees payable under the Fund's Advisory Agreement. The Board reviewed the
Fund's fees and expenses and the fees and expenses of other comparable
registered funds of hedge funds included in the Third-Party Identified Peer
Group. The Board also considered information regarding the advisory fees paid by
a similar registered fund of hedge funds managed by BAIA that was included in
the Third-Party Identified Peer Group. The Board noted BAIA's stated
justification for the advisory fees charged to the Fund, which included
information about performance and services.
The Board reviewed the actual dollar amount of fees paid to BAIA under the
Advisory Agreement and BAIA's expenses in providing its services and, in this
context, considered the fact that BAIA or its affiliates provide other services
to the Fund and its investors and receive payment for these services. The Board
also considered so-called "fall-out" benefits to BAIA, such as any incremental
increase to its reputation derived from serving as investment adviser to the
Fund.
In addition, the Board considered possible economies of scale with respect to
the management of the Fund that might be realized at different Fund asset
levels. In this regard, the Board considered the Fund's existing and reasonably
foreseeable asset levels and information related to BAIA's estimated costs.
OTHER CONSIDERATIONS. The Board also considered the terms of the Advisory
Agreement, including the applicable standard of care, and the structure of, and
the method used to determine, the compensation of BAIA's portfolio managers. In
addition, the Board considered the extent to which the Fund operated in
accordance with its investment objective and its record of compliance with its
investment restrictions, and the compliance programs of the Fund and BAIA.
Based on these considerations and following deliberation and discussion, in open
session with representatives of BAIA and in executive session with independent
legal counsel, the Managers concluded that (i) BAIA had the capabilities,
resources and personnel necessary to fulfill its duties under the Advisory
Agreement; (ii) the scope and quality of services provided under the Advisory
Agreement are consistent with the Fund's operational requirements; (iii) the
advisory fees paid to BAIA under the Advisory Agreement were reasonable in light
of the services that BAIA provides and the costs that BAIA incurs; (iv) BAIA's
profitability in providing advisory services to the Fund was reasonable; and (v)
there was no potential for economies of scale to be realized by BAIA in managing
the Fund given the current asset size of the Fund. Based on their evaluation of
all factors that they deemed to be material, including those factors described
above, and assisted by the advice of independent legal counsel, the Managers
approved the continuance of the Advisory Agreement.
19
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual report.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(b) Effective August 28, 2008, Mr. Fred Wofford replaced Mr. Stephen Slade as a
voting member of the investment committee that makes the portfolio management
decisions for the registrant (the "Fund").
Mr. Wofford, born in 1955, currently serves as the GWIM Compliance Executive
supporting the Alternatives Investments Solutions and is a member of a BAIA
Investment Committee (2008 to present). Further, Mr. Wofford has held previous
positions with Bank of America and its affiliates. Previously he was the GWIM
Compliance Executive supporting Columbia Asset Management and the Columbia Funds
(2005-2008) and Vice President of BAIA and Vice President to the Liberty
All-star Funds (2003-2005). Mr. Wofford received his B.A. in Economics from the
University of Connecticut in 1978 and M.B.A. from Northeastern University in
1982.
The table below provides information regarding accounts (other than the
registrant) managed by Mr. Wofford, as of September 30, 2008, as part of the
committee or otherwise:
NUMBER OF
ACCOUNTS
MANAGED FOR ASSETS MANAGED
WHICH ADVISORY FOR WHICH
NUMBER OF FEE IS ADVISORY FEE IS
ACCOUNT PERFORMANCE- PERFORMANCE-
TYPE OF ACCOUNT MANAGED TOTAL ASSETS MANAGED* BASED BASED*
FRED WOFFORD
Registered 0 N/A 0 N/A
Investment
Companies
Other pooled 11 $1,095,981,597 11 $1,095,981,597
investment vehicles
Other Accounts 0 N/A 0 N/A
BAIA and its affiliates and their partners, officers and employees, including
those involved in the investment activities and business operations of the Fund
(collectively, for the purposes of this section "BAIA Affiliates"), are active
participants in the global currency, equity, commodity, fixed-income and other
markets in which the Fund directly or indirectly invests. As such, BAIA
Affiliates are actively engaged in transactions in the same securities and other
instruments in which the underlying funds selected by BAIA may invest. The
proprietary activities or portfolio strategies of BAIA Affiliates and managers
of underlying funds ("Fund Managers"), or the activities or strategies used for
accounts managed by BAIA Affiliates or Fund Managers for other customer
accounts, could conflict with the transactions and strategies employed by BAIA
for the Fund or the Fund Managers for the underlying funds and could affect the
prices and availability of the securities and instruments in which the Fund
invests directly or indirectly through its investments in underlying funds. BAIA
Affiliates' and the Fund Managers' trading activities are carried out without
reference to positions held directly or indirectly by the Fund and may have an
effect on the value of the positions so held or may result in their having an
interest in an issuer that is adverse to that of the Fund. Neither BAIA
Affiliates nor the Fund Managers are under any obligation to share any
investment opportunity, idea or strategy with the Fund. As a result, BAIA
Affiliates and the Fund Managers may directly or indirectly compete with the
Fund for appropriate investment opportunities.
BAIA Affiliates may create, write or issue derivative instruments where the
counterparty is an underlying fund in which the Fund has invested or the
performance of which is based on the performance of the Fund. BAIA Affiliates
may keep any profits, commissions and fees accruing to them in connection with
their activities for themselves and other clients, and the fees or allocations
from the Fund to BAIA Affiliates are not reduced thereby.
Conflicts also may arise because the BAIA Affiliates and the Fund Managers and
their respective affiliates serve as investment managers to numerous other
accounts, some of which may have investment programs similar to that of the Fund
or the underlying funds, as the case may be. Although BAIA manages investments
on behalf of a number of other investment funds and customer accounts,
investment decisions and allocations are not necessarily made in parallel among
the Fund's account and the other investment funds and customer accounts.
Investments made by the Fund do not, and are not intended to, replicate the
investments, or the investment methods and strategies, of other accounts managed
by BAIA Affiliates. Nevertheless, the BAIA Affiliates at times, and from time to
time, may elect to make, on behalf of other accounts that they manage, the same
investments that the Fund makes; however, these investments may not be made in
parallel and the size of these investments may not be based on the capital in
each account. Rather, such investments may be allocated among accounts based on
perception of the appropriate risk and reward ratio for each account, the
liquidity of the account at the time of the investment and on an on-going basis,
and the overall portfolio composition and performance of the account. Moreover,
other accounts managed by BAIA Affiliates may make investments and utilize
investment strategies that may not be made or utilized by the Fund.
Accordingly, the other accounts managed by BAIA or BAIA affiliates may produce
results that are materially different from those experienced by the Fund. There
may be similar conflicts of interest between Fund Managers and underlying funds,
which could indirectly disadvantage the Fund by virtue of its investments in
underlying funds.
BAIA Affiliates from time to time may invest proprietary or client capital with
portfolio managers, including Fund Managers selected for the Fund, and may also
invest in the same underlying funds that may be purchased for the Fund or in the
Fund directly. BAIA Affiliates may have other business relationships with such
Fund Managers and/or underlying funds, including without limitation prime
brokerage relationships.
BAIA provides investment management services to other clients, including other
multi-manager funds and managed accounts that follow investment programs
substantially similar to that of the Fund. As a result, where a limited
investment opportunity would be appropriate for the Fund and also for one or
more of its other clients, BAIA is required to choose among the Fund and such
other clients in allocating such opportunity, or to allocate less of such
opportunity to the Fund than it would ideally allocate if it did not provide
investment management services to other clients. In addition, BAIA may determine
that an investment opportunity is appropriate for a particular client, or for
itself or an affiliate, but not for the Fund. Situations may arise in which
other client accounts managed by BAIA or its affiliates have made investments
that would have been suitable for the Fund but, for various reasons, were not
pursued by, or available to, the Fund. BAIA attempts to allocate limited
investment opportunities among the Fund and its other client accounts in a
manner it believes to be reasonable and equitable.
Subject to applicable law, BAIA may allocate assets of the Fund to Fund Managers
affiliated with it or with which BAIA Affiliates have a business relationship,
but not on terms more favorable to such Fund Managers than could be obtained
through arm's length negotiation. Such business relationships could include
agreements pursuant to which a BAIA Affiliate provides services to a Fund
Manager and is compensated by receiving a share of such Fund Manager's revenue,
including revenue based on a percentage of the Fund Manager's assets under
management. BAIA Affiliates may enter into placement agent agreements with a
Fund Manager, pursuant to which such Fund Manager may compensate BAIA Affiliates
for referring investors (other than the Fund) to the Fund Manager.
The Fund Managers may manage other accounts and may have financial incentives to
favor certain of such accounts over the Fund or the underlying funds. Any of
their proprietary accounts and other customer accounts may compete with the Fund
or the underlying funds for specific trades, or may hold positions opposite to
positions maintained on behalf of the Fund or the underlying Funds. The Fund
Managers may give advice and recommend securities to, or buy or sell securities
for, their respective portfolio or managed accounts in which the Fund's assets
are invested, which advice or securities may differ from advice given to, or
securities recommended or bought or sold for, other accounts and customers even
though their investment objectives may be the same as, or similar to, those of
the Fund.
If a Fund Manager seeks to purchase or sell the same financial instruments for
an underlying fund and other accounts managed by such Fund Manager (including
managed accounts of employees and other related accounts), it is authorized to
bunch orders for the underlying fund with orders of other clients and to
allocate the aggregate amount of the investment purchased or sold among such
accounts. When executions occur at different prices during the day, a Fund
Manager generally will give participating clients the average price in that
security during the day. If the amount that a Fund Manager has been able to
execute in the desired price range is not sufficient to fill all of its orders,
the total amount executed will be allocated to its accounts in a manner
determined in the discretion of such Fund Manager to be equitable. In some
cases, this system may adversely affect the size or the price of the assets
purchased or sold by the Fund Manager on behalf of an underlying fund.
The management of accounts with different advisory fee rates and/or fee
structures, including accounts that pay advisory fees based on account
performance ("performance fee accounts"), may raise potential conflicts of
interest by creating an incentive to favor higher-fee accounts. These potential
conflicts may include, among others:
o The most attractive investments could be allocated to higher-fee accounts or
performance fee accounts.
o The trading of higher-fee accounts could be favored as to timing and/or
execution price. For example, higher-fee accounts could be permitted to sell
securities earlier than other accounts when a prompt sale is desirable or to
buy securities at an earlier and more opportune time.
o The trading of other accounts could be used to benefit higher-fee accounts
(front- running).
o The investment management team could focus their time and efforts primarily
on higher-fee accounts due to a personal stake in compensation.
Potential conflicts of interest may also arise when the portfolio managers have
personal investments in other accounts that may create an incentive to favor
those accounts.
Other present and future activities of BAIA Affiliates, the Fund Managers and/or
their affiliates may give rise to additional conflicts of interest.
Each committee member is a senior executive from business units within Bank of
America's Global Wealth and Investment Management business. As such, the
compensation packages for the members on the Fund's investment committee are
composed of the same components used with all Bank of America senior executives:
base salary, annual incentive performance bonus and equity awards. There is no
direct link between any member's specific compensation with the Fund's
investment performance.
In determining the base salaries, Bank of America intends to be competitive in
the marketplace and to ensure that salaries are commensurate with each member's
experience and ultimate responsibilities within each member's respective
business unit. Bank of America regularly evaluates base salary levels with
external industry studies and analysis of industry trends.
Each committee member's annual bonus and equity awards are discretionary awards
distributed after measuring each member's contributions against quantitative and
qualitative goals relative to their individual business responsibilities.
Quantitative goals are relative to the individual's business unit, and are not
directly related to the performance of the Fund or any other portfolio relative
to any benchmark, or to the size of the Fund. An example of a quantitative
measure is associate turnover ratio. Qualitative measures may include staff
management and development, process management (ex: adherence to internal and
external policies), business management and strategic business input to the
business platform.
There are no pre-set allocations regarding the split between salary and
performance incentives resulting in the total compensation for the individual
member.
As of September 30, 2008, Mr. Wofford did not own any Interests in the Fund.
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.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or
this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer, based on their evaluation of the registrant's disclosure controls and
procedures as of a date within 90 days of the filing of this report, have
concluded that such controls and procedures are adequately designed to ensure
that information required to be disclosed by the registrant in Form N-CSR is
accumulated and communicated to the registrant's management, including the
principal executive officer and principal financial officer, or persons
performing similar functions, as appropriate to allow timely decisions regarding
required disclosure.
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))
that occurred during the registrant's second fiscal quarter of the period
covered by this report that have materially affected, or are reasonably likely
to materially affect, the registrant's internal control over financial
reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act
of 1940 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906
of the Sarbanes-Oxley Act of 2002 are attached hereto.
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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) BACAP Alternative Multi-Strategy Fund, LLC
By (Signature and Title)* /s/ David R. Bailin
---------------------------------
David R. Bailin, President
(Principal Executive Officer)
Date: November 25, 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/ David R. Bailin
---------------------------------
David R. Bailin, President
(Principal Executive Officer)
Date: November 25, 2008
By (Signature and Title)* /s/ Steven L. Suss
---------------------------------
Steven L. Suss, Treasurer
and Senior Vice President
(Principal Financial Officer)
Date: November 25, 2008
* Print the name and title of each signing officer under his or her signature.