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 811-21552
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J.P. Morgan Multi-Strategy Fund, L.L.C.
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(Exact name of registrant as specified in charter)
245 Park Avenue, Floor 3
New York, NY 10167
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(Address of principal executive offices) (Zip code)
Ronan O'Comhrai, Esq.
J.P. Morgan Alternative Asset Management, Inc.
245 Park Avenue, Floor 8
New York, NY 10167
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(Name and address of agent for service)
Copy to:
James G. Silk
Willkie Farr & Gallagher LLP
1875 K Street, N.W.
Washington, D.C. 20006-1238
registrant's telephone number, including area code: 212-648-1953
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Date of fiscal year end: March 31
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Date of reporting period: March 31, 2009
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
FINANCIAL STATEMENTS
For the year ended March 31, 2009
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Financial Statements
For the year ended March 31, 2009
CONTENTS
Report of Independent Registered Public Accounting Firm ................... 1
Schedule of Investments ................................................... 2
Statement of Assets, Liabilities and Members' Capital ..................... 4
Statement of Operations ................................................... 5
Statement of Changes in Members' Capital .................................. 6
Statement of Cash Flows ................................................... 7
Financial Highlights ...................................................... 8
Notes to Financial Statements ............................................. 9
Directors and Officers Biographical Data .................................. 18
Supplemental Disclosure (unaudited) ....................................... 23
[LOGO OMITTED}
PricewaterhouseCoopers
- --------------------------------------------------------------------------------
PRICEWATERHOUSECOOPERS LLP
PricewaterhouseCoopers Center
300 Madison Avenue
New York NY 10017
Telephone (646) 471 3000
Facsimile (813) 286 6000
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors and Members of
J.P. Morgan Multi-Strategy Fund, L.L.C.:
In our opinion, the accompanying statement of assets, liabilities and members'
capital, including the schedule of investments, and the related statements of
operations, of changes in members' capital and of cash flows and the financial
highlights present fairly, in all material respects, the financial position of
J.P. Morgan Multi-Strategy Fund, L.L.C. (the "Fund") at March 31, 2009, the
results of its operations and its cash flows for the year then ended, the
changes in its members' capital for each of the two years in the period then
ended and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "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 of these financial statements in
accordance with the 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, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments at March 31, 2009 by
correspondence with the investment funds, provide a reasonable basis for our
opinion.
/s/ PricewaterhouseCoopers LLP
May 29, 2009
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Schedule of Investments
March 31, 2009
% OF
MEMBERS'
STRATEGY INVESTMENT FUND COST FAIR VALUE CAPITAL LIQUIDITY FOOTNOTE
- -------- --------------- ------------ ------------ -------- ------------- --------
Credit Centar Investment
Group (Asia) L.P. $ 5,150,000 $ 4,770,253 2.64% Quarterly
Credit Good Hill Partners Fund L.P. 3,000,000 2,293,748 1.27% Semi-Annually
Credit Plainfield Special Situations
Onshore Feeder, L.P. 3,900,000 3,087,770 1.71% Quarterly
Credit Strategic Value Restructuring
Fund, L.P. 4,017,692 4,125,685 2.29% Annually (A)
Credit Waterfall Eden Fund, L.P. 6,150,000 5,265,505 2.92% Quarterly
Credit Waterfall Victoria Fund, L.P. 1,600,000 1,674,991 0.93% Semi-Annually
------------ ------------ ------
TOTAL 23,817,692 21,217,952 11.76%
------------ ------------ ------
Long/Short Equities Black Bear Fund I, L.P. 3,193,449 2,199,880 1.22% Quarterly
Long/Short Equities Deerfield Partners, L.P. 6,700,000 7,164,408 3.97% Semi-Annually
Long/Short Equities Eastern Advisor Fund, L.P. 322,253 585,377 0.33% Side Pocket
Long/Short Equities Egerton Capital Partners, L.P. 3,800,190 2,999,527 1.66% Quarterly
Long/Short Equities Glenview Institutional
Partners, L.P. 4,715,676 3,109,318 1.72% Quarterly
Long/Short Equities Pennant Windward Fund, L.P. 5,000,000 5,253,885 2.91% Quarterly
Long/Short Equities PMA Prospect Fund 696,453 573,777 0.32% Side pocket
Long/Short Equities Tremblant Concentrated
Fund, L.P. 700,000 419,787 0.23% (C)
Long/Short Equities ValueAct Capital
Partners, L.P. 5,258,910 3,824,971 2.12% Annually
Long/Short Equities ValueAct Capital
Partners III, L.P. 765,887 306,921 0.17% (C)
------------ ------------ ------
TOTAL 31,152,818 26,437,851 14.65%
------------ ------------ ------
Merger Arbitrage/Event Driven Apollo Asia Opportunity
Fund, L.P. 4,150,000 3,037,561 1.68% Quarterly
Merger Arbitrage/Event Driven Deephaven Event Fund, LLC 823,612 313,715 0.17% (C)
Merger Arbitrage/Event Driven Pendragon Lancelot II
Fund, LLC 763,240 375,013 0.21% (C)
Merger Arbitrage/Event Driven Pentwater Event Fund, LLC 5,000,000 3,514,927 1.95% Annually (B)
Merger Arbitrage/Event Driven Taconic Opportunity
Fund, L.P. 3,300,000 2,859,565 1.59% Quarterly
------------ ------------ ------
TOTAL 14,036,852 10,100,781 5.60%
------------ ------------ ------
Opportunistic/Macro Brevan Howard, L.P. 3,294,971 6,214,132 3.44% Monthly
Opportunistic/Macro Brevan Howard Multi-Strategy
Fund, L.P. 3,100,000 3,347,163 1.86% Monthly
Opportunistic/Macro Red Kite Metals Fund, LLC 2,374,785 1,818,948 1.01% Quarterly
------------ ------------ ------
TOTAL 8,769,756 11,380,243 6.31%
------------ ------------ ------
Relative Value Aviator Partners, L.P. 8,179 1,714 0.00% (C)
Relative Value BAM Opportunity, L.P. 5,651,454 6,653,663 3.69% Quarterly
Relative Value Black River Commodity
Multi-Strategy Fund, LLC 4,136,924 4,248,149 2.35% Semi-Annually
Relative Value CQS Volatility Feeder Fund
Limited 6,500,000 4,792,712 2.66% (C)
Relative Value D.E. Shaw Composite Fund, LLC 5,603,768 5,787,485 3.21% Quarterly
Relative Value D.E. Shaw Oculus Fund, LLC 2,664,098 5,323,076 2.95% Quarterly
Relative Value DKR Sound Shore Oasis
Fund, L.P. 4,704,790 4,564,488 2.52% Quarterly
Relative Value Chestnut Fund Ltd. 136,431 124,736 0.07% (C)
Relative Value Evolution M Fund, L.P. 3,913,908 4,244,603 2.35% Quarterly (A)
Relative Value Hudson Bay Fund, L.P. 6,300,000 8,033,584 4.45% Quarterly
Relative Value Magnetar Capital Fund, L.P. 2,244,044 1,805,105 1.00% Semi-Annually
Relative Value Magnetar Risk Linked
Fund (US) Ltd. 4,800,000 3,545,685 1.97% Semi-Annually (B)
Relative Value QVT Associates, L.P. 8,388,098 7,414,977 4.11% Quarterly (B)
Relative Value Viridian Fund, L.P. 8,350,000 8,730,304 4.84% Quarterly
Relative Value Whiteside Energy Domestic L.P. 4,950,000 5,522,967 3.06% Quarterly
------------ ------------ ------
TOTAL 68,351,694 70,793,248 39.23%
------------ ------------ ------
Short Selling Copper River Partners, L.P. 2,442,497 836,500 0.46% (C)
Short Selling Icarus Partners, L.P. 3,000,000 3,061,771 1.70% Quarterly
Short Selling Kingsford Capital
Partners, L.P. 1,420,224 1,967,928 1.09% Quarterly
------------ ------------ ------
TOTAL 6,862,721 5,866,199 3.25%
------------ ------------ ------
TOTAL INVESTMENTS $152,991,533 145,796,274 80.80%
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Other Assets, less Other
Liabilities 34,643,875 19.20%
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MEMBERS' CAPITAL $180,440,149 100.00%
============ ======
(A) Investment Fund is restructuring
(B) Investment Fund has suspended redemptions
(C) Investment Fund is in liquidation
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Schedule of Investments (continued)
March 31, 2009
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA SHOWN IN PRINTED GRAPHIC AS FOLLOWS:
Relative Value 48.56%
Long/Short Equities 18.13%
Credit 14.55%
Opportunistic/Macro 7.81%
Merger Arbitrage/Event Driven 6.93%
Short Selling 4.02%
THE INVESTMENTS IN INVESTMENT FUNDS SHOWN ABOVE, REPRESENTING 80.80% OF MEMBERS'
CAPITAL, HAVE BEEN VALUED AT FAIR VALUE AS DISCLOSED IN NOTE 2B.
None of the Investment Funds are related parties. The management agreements of
the general partners/managers provide for compensation to such general
partners/managers in the form of management fees ranging from 1% to 3% annually
of net assets and incentive fees/allocations of 20% to 30% of net profits
earned.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Statement of Assets, Liabilities and Members' Capital
March 31, 2009
ASSETS
Investments in investment funds, at fair value
(cost $152,991,533) $145,796,274
Cash and cash equivalents 20,393,052
Investments paid in advance 9,800,000
Receivable for Investments sold 10,294,725
Prepaid fees 47,892
Interest receivable 1,542
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TOTAL ASSETS 186,333,485
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LIABILITIES
Tender offer proceeds payable 4,162,156
Contributions received in advance 965,000
Management Fees and Manager Administrative
Services fees payable 428,047
Professional fees payable 255,535
Administration fees payable 59,194
Other accrued expenses 23,404
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TOTAL LIABILITIES 5,893,336
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MEMBERS' CAPITAL $180,440,149
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
4
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Statement of Operations
For the year ended March 31, 2009
INVESTMENT INCOME
Interest $ 89,361
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EXPENSES
Management Fees and Manager Administrative Services Fees 2,553,009
Professional fees 331,075
Administration fees 320,283
Insurance expenses 62,946
Directors fees 33,053
Custodian fees 13,676
Other expenses 57,442
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Total expenses 3,371,484
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NET INVESTMENT LOSS (3,282,123)
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REALIZED AND UNREALIZED LOSS FROM INVESTMENT FUND TRANSACTIONS
Net realized loss from investment fund transactions (3,665,924)
Net change in unrealized depreciation on investment funds (30,164,414)
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Net realized and unrealized loss from investment fund transactions (33,830,338)
------------
NET DECREASE IN MEMBERS' CAPITAL DERIVED FROM OPERATIONS $(37,112,461)
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
5
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Statement of Changes in Members' Capital
For the year ended March 31, 2009
MANAGING SPECIAL OTHER
MEMBER MEMBERS MEMBERS TOTAL
FROM INVESTMENT ACTIVITIES
Net investment loss $ (205) $ (848) $ (3,281,070) $ (3,282,123)
Net realized loss from investment fund transactions (174) (720) (3,665,030) (3,665,924)
Net change in unrealized depreciation on investment funds (1,817) (7,500) (30,155,097) (30,164,414)
Performance allocation -- -- -- --
----------------------------------------------------------
NET DECREASE IN MEMBERS' CAPITAL DERIVED FROM OPERATIONS (2,196) (9,068) (37,101,197) (37,112,461)
FROM MEMBERS' CAPITAL TRANSACTIONS
Capital contributions -- -- 87,511,300 87,511,300
Repurchase fee -- -- 3,187 3,187
Capital redemptions -- -- (18,777,692) (18,777,692)
----------------------------------------------------------
NET INCREASE IN MEMBERS' CAPITAL DERIVED
FROM CAPITAL TRANSACTIONS -- -- 68,736,795 68,736,795
----------------------------------------------------------
NET CHANGE IN MEMBERS' CAPITAL (2,196) (9,068) 31,635,598 31,624,334
MEMBERS' CAPITAL AT APRIL 1, 2008 12,653 52,233 148,750,929 148,815,815
----------------------------------------------------------
MEMBERS' CAPITAL AT MARCH 31, 2009 $10,457 $ 43,165 $180,386,527 $180,440,149
==========================================================
For the year ended March 31, 2008
MANAGING SPECIAL OTHER
MEMBER MEMBERS MEMBERS TOTAL
FROM INVESTMENT ACTIVITIES
Net investment loss $ (208) $ (5,540) $ (2,636,703) $ (2,642,451)
Net realized gain from investment fund transactions 960 29,947 11,657,969 11,688,876
Net change in unrealized depreciation on investment funds (127) (14,180) (876,150) (890,457)
Performance allocation (29) 375,065 (375,036) --
----------------------------------------------------------
NET INCREASE IN MEMBERS' CAPITAL DERIVED FROM OPERATIONS 596 385,292 7,770,080 8,155,968
FROM MEMBERS' CAPITAL TRANSACTIONS
Capital contributions -- -- 26,394,200 26,394,200
Repurchase fee -- 7 2,253 2,260
Capital redemptions -- (861,324) (42,319,885) (43,181,209)
----------------------------------------------------------
NET DECREASE IN MEMBERS' CAPITAL DERIVED
FROM CAPITAL TRANSACTIONS -- (861,317) (15,923,432) (16,784,749)
----------------------------------------------------------
NET CHANGE IN MEMBERS' CAPITAL 596 (476,025) (8,153,352) (8,628,781)
MEMBERS' CAPITAL AT APRIL 1, 2007 12,057 528,258 156,904,281 157,444,596
----------------------------------------------------------
MEMBERS' CAPITAL AT MARCH 31, 2008 $12,653 $ 52,233 $148,750,929 $148,815,815
==========================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
6
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Statement of Cash Flows
For the year ended March 31, 2009
CASH FLOWS FROM OPERATING ACTIVITIES
Net decrease in members' capital derived from operations $(37,112,461)
Adjustments to reconcile net increase in members' capital derived from
operations to net cash used in operating activities:
Purchases of investment funds (77,000,190)
Proceeds from dispositions of investment funds 38,792,799
Net realized loss from investment fund transactions 3,665,924
Net change in unrealized loss on investment funds 30,164,414
Increase in investments paid in advance (5,800,000)
Increase in receivable for investments sold (2,003,426)
Increase in prepaid fees (19,155)
Decrease in interest receivable 11,281
Increase in professional fees payable 113,800
Increase in management fees and manager administrative services fees payable 245,717
Increase in administration fees payable 41,117
Increase in other accrued expenses 22,468
------------
NET CASH USED IN OPERATING ACTIVITIES (48,877,712)
------------
CASH FLOWS FROM FINANCING ACTIVITIES
Capital contributions 83,921,487
Capital redemptions (23,663,891)
------------
NET CASH PROVIDED BY FINANCING ACTIVITIES 60,257,596
------------
NET INCREASE IN CASH 11,379,884
Cash and cash equivalents at beginning of year 9,013,168
------------
Cash and cash equivalents at end of year $ 20,393,052
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
7
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Financial Highlights
RATIOS AND OTHER FINANCIAL HIGHLIGHTS
The following represents the ratios to average net assets and other financial
highlights information for Members' Capital other than the Managing Member and
the Special Member:
FOR THE PERIOD
FROM AUGUST 1,
2004
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR (COMMENCEMENT OF
ENDED ENDED ENDED ENDED OPERATIONS) TO
MARCH 31, 2009 MARCH 31, 2008 MARCH 31, 2007 MARCH 31, 2006 MARCH 31, 2005
-------------- -------------- -------------- -------------- --------------
TOTAL RETURN BEFORE PERFORMANCE ALLOCATION (17.36%) 5.18% 6.33% 8.96% 4.80%(c)
PERFORMANCE ALLOCATION 0.00% (0.23%) (0.18%) (0.42%) (0.24%)(c)
-------- ------- ------- ------ -------
TOTAL RETURN AFTER PERFORMANCE ALLOCATION (17.36%) 4.95% 6.15% 8.54% 4.56%(c)
RATIOS TO AVERAGE NET ASSETS:
Expenses, before waivers (a) 1.87% 1.82% 1.85% 2.30% 3.05%(b)
Expenses, net of waivers (a) 1.87% 1.82% 1.85% 2.20% 2.30%(b)
Performance allocation 0.00% 0.24% 0.20% 0.45% 0.26%
-------- ------- ------- ------ -------
Expenses including performance allocation,
net of waivers(a) 1.87% 2.06% 2.05% 2.65% 2.56%(b)
Net investment loss, before waivers (a) (1.82%) (1.68%) (1.61%) (2.19%) (3.00%)(b)
Net investment loss, net of waivers (a) (1.82%) (1.68%) (1.61%) (2.09%) (2.25%)(b)
Portfolio turnover rate 23.76% 20.89% 34.88% 38.28% 2.30%(c)
Net Assets applicable to Other Members $180,386,527 $148,750,929 $156,904,281 $127,184,066 $86,505,763
(a) The Investment Manager and PFPC Inc. waived fees and expenses for the period
ended March 31, 2005 and for the year ended March 31, 2006.
(b) Annualized
(c) Not annualized
THE ABOVE RATIOS AND TOTAL RETURNS ARE CALCULATED FOR OTHER MEMBERS TAKEN AS A
WHOLE. AN INDIVIDUAL INVESTOR'S RETURN MAY VARY FROM THESE RETURNS BASED ON THE
TIMING OF CAPITAL CONTRIBUTIONS AND PERFORMANCE ALLOCATION.
THE ABOVE EXPENSE RATIOS DO NOT INCLUDE THE EXPENSES FROM THE UNDERLYING FUND
INVESTMENTS. HOWEVER, TOTAL RETURNS TAKE INTO ACCOUNT ALL EXPENSES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
8
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009
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1. ORGANIZATION
J.P. Morgan Multi-Strategy Fund, L.L.C. (the "Fund") was organized as a limited
liability company on April 6, 2004 under the laws of the State of Delaware and
is registered under the Investment Company Act of 1940 (the "1940 Act"), as a
closed-end, non-diversified, management investment company. The Fund's
investment objective is to generate consistent capital appreciation over the
long term, with relatively low volatility and a low correlation with traditional
equity and fixed-income markets. The Fund will seek to accomplish this objective
by allocating its assets primarily among professionally selected investment
funds ("Investment Funds") that are managed by experienced third-party
investment advisers ("Portfolio Managers") who invest in a variety of markets
and employ, as a group, a range of investment techniques and strategies.
J.P. Morgan Alternative Asset Management, Inc. (the "Investment Manager"), a
corporation formed under the laws of the State of Delaware and an affiliate of
JPMorgan Chase & Co. ("JPMorgan Chase"), is responsible for the allocation of
assets to various Investment Funds, subject to policies adopted by the Board of
Directors (the "Board"). Ehrlich Associates, L.L.C., a limited liability company
formed under the laws of the State of Delaware (the "Managing Member"), serves
as the managing member of the Fund. The Managing Member is registered as a
commodity pool operator with the Commodity Futures Trading Commission ("CFTC")
and is a member of the National Futures Association ("NFA").
CMRCC, Inc., a corporation formed under the laws of the State of New York and an
affiliate of the Investment Manager, is the special member of the Fund (the
"Special Member"). The Special Member is entitled to all incentive-based
performance allocations, if any, from Members' accounts.
2. SIGNIFICANT ACCOUNTING POLICIES
A. USE OF ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires the Investment
Manager to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. Actual results could differ
from these estimates.
B. PORTFOLIO VALUATION
The net asset value of the Fund is determined by or at the direction of the
Investment Manager as of the last day of each month in accordance with the
valuation principles set forth below or as may be determined from time to time
pursuant to policies established by the Board. The Fund's investments in the
Investment Funds are considered to be illiquid and can only be redeemed
periodically. The Board has approved procedures pursuant to which the Fund
values its investments in Investment Funds at fair value. In accordance with
these procedures, fair value as of each month-end ordinarily is the value
determined as of such month-end for each Investment Fund in accordance with the
Investment Fund's valuation policies and reported at the time of the Fund's
valuation.
9
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
B. PORTFOLIO VALUATION (CONTINUED)
As a general matter, the fair value of the Fund's interest in an Investment Fund
as determined by the Investment Manager represents the amount that the Fund
could reasonably expect to receive from an Investment Fund if the Fund's
interest were redeemed at the time of the valuation, based on information
reasonably available at the time the valuation is made and that the Investment
Manager believes to be reliable. In the unlikely event that an Investment Fund
does not report a month-end value to the Fund on a timely basis, the Investment
Manager would determine the fair value of such Investment Fund based on the most
recent value reported by the Investment Fund, as well any other relevant
information available at the time the Investment Manager Fund values the Fund's
portfolio. The values assigned to these investments are based on available
information and do not necessarily represent amounts that might ultimately be
realized, as such amounts depend on future circumstances and cannot reasonably
be determined until the individual investments are actually liquidated. However,
because of the inherent uncertainty of valuation, those estimated values may
differ significantly from the values that would have been used had a ready
market for the investments existed, and the differences could be significant.
Investments in Investment Funds with a value of $145,796,274 which is
approximately 80.80% of the Fund's net assets at March 31, 2009, have been fair
valued and are illiquid and restricted as to resale or transfer.
Some of the Investment Funds may invest all or a portion of their assets in
investments which may be illiquid. Some of these investments are held in
so-called "side pockets", sub funds within the Investment Funds, which provide
for their separate liquidation potentially over a much longer period than the
liquidity an investment in the Investment Funds may provide. Should the Fund
seek to liquidate its investment in an Investment Fund which maintains
investments in a side pocket arrangement or which holds substantially all of its
assets in illiquid securities, the Fund might not be able to fully liquidate its
investment without delay, which could be considerable. In such cases, during the
period until the Fund is permitted to fully liquidate its interest in the
Investment Funds, the value of its investment could fluctuate.
In September 2006, the Statement of Financial Accounting Standards No. 157 -
Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal
years beginning after November 15, 2007. SFAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. SFAS 157 requires disclosure surrounding the various
inputs that are used in determining the value of the Fund's investments. These
inputs are summarized into the three broad levels listed below.
-- Level 1 - quoted prices in active markets for identical securities
-- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
-- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
10
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
B. PORTFOLIO VALUATION (CONTINUED)
The following is a summary of the inputs used as of March 31, 2009, in valuing
the Fund's assets and liabilities carried at fair value:
--------------------------------------------
Investments in
Securities
--------------------------------------------
--------------------------------------------
Level 1 $ --
--------------------------------------------
Level 2 --
--------------------------------------------
Level 3 145,796,274
--------------------------------------------
Total $145,796,274
--------------------------------------------
SFAS 157 also requires a reconciliation of assets for which significant
unobservable inputs (Level 3) were used in determining fair value:
-------------------------------------------------------
Investments in
Securities
-------------------------------------------------------
-------------------------------------------------------
Balances as of 03/31/08 $141,419,220
-------------------------------------------------------
Realized gain (loss) (3,665,924)
-------------------------------------------------------
Change in unrealized appreciation
(depreciation) (30,164,413)
-------------------------------------------------------
Net purchases (sales) 38,207,391
-------------------------------------------------------
Net transfers in and out (Level 3) --
-------------------------------------------------------
Balance as of 03/31/09 $145,796,274
-------------------------------------------------------
Net unrealized gains/(losses) included in the Statement of Operations for
investments still held at March 31, 2009 $(7,195,259).
11
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
C. DISTRIBUTIONS FROM INVESTMENT FUNDS
Distributions received, whether in the form of cash or securities, are applied
as a reduction of the investment's cost when identified by the Investment Fund
as a return of capital. Once the investment's cost is received, any further
distributions are recognized as realized gains.
D. INCOME RECOGNITION AND SECURITY TRANSACTIONS
Interest income is recorded on an accrual basis. Dividend income is recorded on
the ex-dividend date. Realized gains and losses from Investment Fund
transactions are calculated on the identified cost basis. Investments are
recorded on the effective date of the subscription in the Investment Fund. All
changes in the value of the Investment Funds are included as unrealized
appreciation or depreciation in the Statement of Operations.
E. FUND EXPENSES
The Fund bears all expenses incurred in its business other than those that the
Investment Manager assumes. The expenses of the Fund include, but are not
limited to, the following: all costs and expenses related to investment
transactions and positions for the Fund's account; legal fees; accounting and
auditing fees; custodial fees; costs of computing the Fund's net asset value;
costs of insurance; registration expenses; expenses of meetings of the Board and
Members; all costs with respect to communications to Members; and other types of
expenses as may be approved from time to time by the Board.
F. INCOME TAXES
The Fund intends to operate and has elected to be treated as a partnership for
Federal income tax purposes. Accordingly, no provision for the payment of
Federal, state or local income taxes has been provided. Each Member is
individually required to report on its own tax return its distributive share of
the Fund's taxable income or loss.
The Investment Manager evaluates tax positions taken or expected to be taken in
the course of preparing the Fund's financial statements to determine whether the
tax positions are "more-likely-than-not" of being sustained by the applicable
tax authority. Tax positions with respect to tax at the Fund level not deemed to
meet the "more-likely-than-not" threshold would be recorded as a tax benefit or
expense in the current year. The Investment Manager's conclusions regarding tax
positions will be subject to review and may be adjusted at a later date based on
factors including, but not limited to, on-going analyses of tax laws,
regulations and interpretations thereof.
Investment Manager has determined that the adoption of FIN 48 will not have a
material impact to the Fund's financial statements. However, the Investment
Manager's conclusions regarding FIN 48 may be subject to review and adjustment
at a later date based on on-going analyses of tax laws, regulations and
interpretations thereof and other factors.
12
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G. CASH AND CASH EQUIVALENTS
Cash represents cash and cash equivalents held at PFPC Trust Company ("PFPC
Trust"), the Fund's custodian.
3. MANAGEMENT FEE, RELATED PARTY TRANSACTIONS AND OTHER
The Investment Manager provides advisory and other services. In consideration
for such management services, the Fund pays the Investment Manager a monthly
management fee equal to 0.1042% (approximately 1.25% on an annualized basis) and
an additional administrative services fee of 0.0125% per month (0.15% on an
annualized basis) of end of month Members' Capital.
The Fund and the Investment Manager have entered into an Expense Limitation and
Reimbursement Agreement (the "Expense Limitation Agreement"), dated May 26,
2004, under which the Investment Manager will agree to waive its fees and, if
necessary, reimburse expenses in respect of the Fund for each fiscal year that
the Agreement is in place so that the total operating expenses of the Fund
(excluding interest, brokerage commissions, other transaction-related expenses
and any extraordinary expenses of the Fund as well as any Incentive Allocation)
do not exceed 2.30% on an annualized basis of the Fund's net assets as of the
end of each month. Under the Expense Limitation Agreement, any waivers or
reimbursements made by the Investment Manager will be subject to repayment by
the Fund within three years of the end of the fiscal year in which the waiver or
reimbursement is made, provided that repayment does not result in the Fund's
aggregate operating expenses exceeding the foregoing expense limitations. For
the year ended March 31, 2009, the Funds' operating expenses did not exceed the
expense limitation. The Fund did not reimburse the Investment Manager, and the
Investment Manager did not pay for any expenses on the Fund's behalf.
The Fund has entered into an administration agreement with PNC Global Investment
Servicing, Inc. ("PNC"), formerly known as PFPC Inc., whereby PNC provides fund
accounting, investor services and transfer agency functions for the Fund. As
compensation for services set forth herein that are rendered by PNC during the
term of this Agreement, the Fund pays PNC an annual fee ranging from 0.035% to
0.075% of the Fund's average net assets, with a minimum monthly fee of $6,250
for administration and accounting, an annual fee of 0.015% of the Fund's average
net assets, with a minimum monthly fee of $3,334 for regulatory administration
services, and an annual fee for Member services of $150 per Member, with a
minimum monthly fee of $1,000. For the year ended March 31, 2009, administration
fees totaled $320,283, of which none were waived.
PFPC Trust serves as custodian of the Fund's assets and provides custodial
services to the Fund. As compensation for services, the Fund pays PFPC Trust an
annual fee of 0.005% of the Fund's average gross assets, with a minimum monthly
fee of $795.
13
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
3. MANAGEMENT FEE, RELATED PARTY TRANSACTIONS AND OTHER (CONTINUED)
The Independent Directors are each paid an annual retainer of $10,000 plus
reasonable out-of-pocket expenses in consideration for their attendance at
meetings of the Board, and any committees thereof, and other services they may
provide to the Fund.
4. LINE OF CREDIT
From time to time, the Fund may borrow cash from a major institution under a
credit agreement up to a maximum of $8 million. Interest is payable on any
outstanding balance at PRIME plus Margin (0.00%) or LIBOR plus Margin (1.85%).
During the year ended March 31, 2009, there were no borrowings, and there was no
loan payable outstanding on March 31, 2009. Credit facility fees incurred for
the year ended March 31, 2009 amounted to $36,889, which is included in other
expenses in the Statement of Operations
5. SECURITY TRANSACTIONS
Aggregate purchases and sales of Investment Funds for the year ended March 31,
2009 amounted to $77,000,190 and $38,792,799, respectively.
At March 31, 2009, the estimated cost of investments for Federal income tax
purposes was substantially the same as the cost for financial reporting
purposes. Accordingly, gross unrealized appreciation on investments was
$12,752,306 and gross unrealized depreciation was $19,947,565, resulting in net
unrealized depreciation of $7,195,259.
6. CONTRIBUTIONS, REDEMPTIONS, AND PERFORMANCE ALLOCATION
Generally, initial and additional subscription for interests by eligible
investors may be accepted at such times as the Fund may determine. The Fund
reserves the right to reject any subscriptions for interests in the Fund. The
initial acceptance for subscriptions for Interests was August 1, 2004 (the
"Initial Closing Date"). After the Initial Closing Date, the Fund generally
accepts subscriptions for interests as of the first day of each month.
The Fund from time to time may offer to repurchase interests pursuant to written
tenders by members. These repurchases will be made at such times, and in such
amounts, and on such terms as may be determined by the Board, in its sole
discretion. The Investment Manager and the Managing Member expect to typically
recommend to the Board that the Fund offer to repurchase Interests from members
of up to 25% of the Fund's net assets quarterly, effective as of the last day of
March, June, September, and December. A 1.5% repurchase fee payable to the Fund
will be charged for repurchases of Members' Interests at any time prior to the
day immediately preceding the one-year anniversary of a Member's purchase of its
Interests. For the year ended March 31, 2009, the fund charged repurchase fees
totaling $3,187 to Members.
14
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
6. CONTRIBUTIONS, REDEMPTIONS, AND PERFORMANCE ALLOCATION (CONTINUED)
At the end of each Allocation Period of the Fund, any net capital appreciation
or net capital depreciation of the Fund (both realized and unrealized), as the
case may be, is allocated to the capital accounts of all of the Members
(including the Special Member and the Managing Member) in proportion to their
respective opening capital account balances for such Allocation Period. The
initial "Allocation Period" began on the Initial Closing Date, with each
subsequent Allocation Period beginning immediately after the close of the
preceding Allocation Period. Each Allocation Period closes on the first to occur
of (1) the last day of each month, (2) the date immediately prior to the
effective date of (a) the admission of a new Member or (b) an increase in a
Member's capital contribution, (3) the effective date of any repurchase of
Interests, or (4) the date when the Fund dissolves.
At the end of each calendar year, each Member's return on investment for the
year is determined and a portion of the net capital appreciation allocated to
each Member's capital account during the year (the "Performance Allocation"),
net of the Member's allocable share of the Management Fee and the Manager
Administrative Services Fee, equal to 10% of the portion of such net capital
appreciation that exceeds the Preferred Return (as defined below) will be
reallocated to the capital account of the Special Member. The "Preferred Return"
is equal to the 3-month U.S. Treasury Bill yield (as defined below) for each
month during the relevant calendar year (or any shorter period of calculation).
The "3-month U.S. Treasury Bill yield" for any month shall equal one-twelfth of
the annual yield for the 3-month U.S. Treasury Bill for the first business day
of the then current calendar quarter as set forth in the U.S. Federal Reserve
Statistical Release H.15(519) under the caption "Treasury constant maturities",
or if such measurement is not available, such other source as the Managing
Member may determine appropriate in its discretion.
Prior to April 1, 2005 the performance allocation was calculated in the
following manner: (1) net capital appreciation up to a 6% return remains
allocated to each Member (the "Preferred Return"); (2) net capital appreciation
in excess of the Preferred Return is reallocated to the Special Member until it
has been allocated the next 0.30% of return (the "Catch-Up"); and (3)
thereafter, 95% of any net capital appreciation in excess of the Preferred
Return plus the Catch-Up remains allocated to such Member, and the remaining 5%
of such net capital appreciation is reallocated to the Special Member.
No Performance Allocation is made, however, with respect to a Member's capital
account until any cumulative net capital depreciation previously allocated to
such Member's capital account plus any Management Fees and Manager
Administrative Service Fees charged to such capital account (the "Loss
Carryforward") have been recovered. Any Loss Carryforward of a Member is reduced
proportionately to reflect the repurchase of any portion of that Member's
Interest. Upon a repurchase of an Interest (other than at the end of a calendar
year) from a Member, a Performance Allocation will be determined and allocated
to the Special Member, and in the case of any repurchase of a partial Interest,
on a "first in - first out" basis (i.e., the portion of the Interest being
repurchased (and the amount with respect to which the Performance Allocation is
calculated) will be deemed to have been taken from the first capital
contribution of such Member (as such contribution has been adjusted for net
capital appreciation or depreciation, Management Fees, Manager Administrative
Services Fees and other expenses) until it is decreased to zero and from each
subsequent capital contribution until such contribution (as adjusted) is
decreased to zero).
15
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (continued)
- --------------------------------------------------------------------------------
6. CONTRIBUTIONS, REDEMPTIONS, AND PERFORMANCE ALLOCATION (CONTINUED)
Based upon profits for the year ended March 31, 2009, there was no Incentive
Allocation to the Special Member. This amount is subject to change as Incentive
Allocations occur at the end of each calendar year.
7. RISK EXPOSURE
In the normal course of business, the Investment 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, contracts for differences,
and interest rate, credit default and total return equity swaps contracts. The
Fund's risk of loss in these Investment Funds is limited to the value of the
investments in the Funds.
In pursuing its investment objectives, the Fund invests in Investment Funds that
are not registered under the 1940 Act. These Investment Funds may utilize
diverse investment strategies, which are not generally managed against
traditional investment indices. The Investment Funds selected by the Fund will
invest in and actively trade securities and other financial instruments using a
variety of strategies and investment techniques that may involve significant
risks. Such risks arise from the volatility of the equity, fixed income,
commodity and currency markets, leverage both on and off balance sheet
associated with borrowings, short sales and derivative instruments, the
potential illiquidity of certain instruments including emerging markets, private
transactions, derivatives, and counterparty and broker defaults. Various risks
are also associated with an investment in the Fund, including risks relating to
the multi-manager structure of the Fund, risks relating to compensation
arrangements and risks related to limited liquidity of the units. The Investment
Funds provide for periodic redemptions ranging from monthly to annually, and may
be subject to various lock-up provisions and early withdrawal fees.
The investments of the Investment Funds are subject to normal market
fluctuations and other risks inherent in investing in securities and there can
be no assurance that any appreciation in value will occur. The value of
investments can fall as well as rise and investors may not realize the amount
that they invest.
Although the Investment Manager will seek to select Investment Funds that offer
the opportunity to have their shares or units redeemed within a reasonable
timeframe, there can be no assurance that the liquidity of the investments of
such Investment Funds will always be sufficient to meet redemption requests as,
and when, made.
The Investment Manager may invest the Fund's assets in Investment Funds that
invest in illiquid securities and do not permit frequent withdrawals. Illiquid
securities owned by Investment Funds are riskier than liquid securities because
the Investment Funds may not be able to dispose of the illiquid securities if
their investment performance deteriorates, or may be able to dispose of the
illiquid securities only at a greatly reduced price. Similarly, the illiquidity
of the Investment Funds may cause Members to incur losses because of an
inability to withdraw their investments from the Fund during or following
periods of negative performance.
16
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Notes to Financial Statements March 31, 2009 (concluded)
- --------------------------------------------------------------------------------
7. RISK EXPOSURE (CONTINUED)
The Investment Funds may invest in the securities of foreign companies that
involve special risks and considerations not typically associated with investing
in U.S. companies. These risks include devaluation of currencies, less reliable
information about issuers, different securities transaction clearance and
settlement practices, and future adverse political and economic developments.
Moreover, securities of many foreign companies and their markets may be less
liquid and their prices more volatile than those securities of comparable U.S.
companies.
The Investment Funds may also invest in derivatives which represent agreements
between the Investment Fund and a counterparty. Such agreements, which include
forward contracts, non-exchange-traded options and swaps, usually represent an
agreement between two parties to either receive or pay monies equal to the
difference between a selective value or market rate and/or corresponding value
or market value ("Reference Rates") upon the termination of an agreement. Such
transactions can be effected on a leveraged basis which may amplify the positive
or negative outcome of the change in Reference Rates.
8. INDEMNIFICATIONS
In the normal course of business, the Fund enters into contracts that contain a
variety of representations that 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, the Fund expects the risk of loss to be remote.
9. SUBSEQUENT EVENTS
Through May 1, 2009 the Fund received subscriptions from investors of $2,221,000
of which $965,000 was received in advance of March 31, 2009.
17
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Directors and Officers Biographical Data (unaudited)
- --------------------------------------------------------------------------------
The business of the Fund is managed under the direction of the Board of
Directors. Subject to the provisions of the Operating Agreement and Delaware
law, the Directors have all powers necessary and convenient to carry out this
responsibility. The Directors and officers of the Fund, their addresses, their
ages and descriptions of their principal occupations during the past five years
are listed below.
- ------------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
PRINCIPAL COMPLEX
POSITION(S) TERM OF OFFICE(i) OCCUPATION(S) OVERSEEN
HELD WITH AND LENGTH OF DURING THE PAST BY OTHER DIRECTORSHIPS HELD BY
NAME, ADDRESS, AND AGE FUND TIME SERVED 5 YEARS DIRECTOR DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT DIRECTORS
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth H. Beer Director May 26, 2004 Senior Vice President None. Board Member, Children's
Stone Energy Corporation to present and Chief Financial Hospital of New Orleans; Board
625 East Kaliste Saloom Road Officer of Stone Energy Member, J.P. Morgan Corporate
Lafayette, LA 70508 Corporation (oil and Finance Investors Board Member,
DOB: 6-29-1957 gas company); prior J.P. Morgan U.S. Corporate
thereto, Partner, Finance Investors II; Board
Director of Research Member, J.P. Morgan Europe
and Senior Energy Corporate Finance Investors II;
Analyst of Johnson Rice Board Member, J.P. Morgan
& Co. L.L.C. Venture Capital Investors; Board
(investment banking Member, J.P. Morgan Venture
firm). Capital Investors II
- ------------------------------------------------------------------------------------------------------------------------------------
(i) EACH DIRECTOR SERVES FOR THE DURATION OF THE FUND, OR UNTIL THEIR DEATH,
RESIGNATION, TERMINATION, REMOVAL OR RETIREMENT.
18
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Directors and Officers Biographical Data (unaudited)(continued)
- ---------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
PRINCIPAL COMPLEX
POSITION(S) TERM OF OFFICE(i) OCCUPATION(S) OVERSEEN
HELD WITH AND LENGTH OF DURING THE PAST BY OTHER DIRECTORSHIPS HELD BY
NAME, ADDRESS, AND AGE FUND TIME SERVED 5 YEARS DIRECTOR DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------------
S. Lawrence Prendergast Director May 26, 2004 Executive Vice None. Board Member, Batterymarch
Prendergast Capital to present President of Finance of Global Emerging Markets Fund;
Management LaBranche & Co. Board Member, Cincinnati
270 Davidson Avenue (specialist firm on the Incorporated; Board Member,
Somerset, NJ 08873 NYSE); prior thereto Aftermarket Technology Corp.;
DOB: 4-20-1941 Chairman and CEO of Private Equity Fund Advisory
AT&T Investment Board Member, E.M. Warburg,
Management Corp. (money Pincus & Co.; Private Equity
management company). Fund Advisory Board Member,
Lehman Brothers; Board Member,
Turrell Fund; Board Member, J.P.
Morgan Corporate Finance
Investors; Board Member, J.P.
Morgan U.S. Corporate Finance
Investors II; Board Member, J.P.
Morgan Europe Corporate Finance
Investors II; Board Member, J.P.
Morgan Venture Capital
Investors; Board Member, J.P.
Morgan Venture Capital Investors
II.
- ------------------------------------------------------------------------------------------------------------------------------------
(i) EACH DIRECTOR SERVES FOR THE DURATION OF THE FUND, OR UNTIL THEIR DEATH,
RESIGNATION, TERMINATION, REMOVAL OR RETIREMENT.
19
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Directors and Officers Biographical Data (unaudited)(continued)
- ---------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
PRINCIPAL COMPLEX
POSITION(S) TERM OF OFFICE(i) OCCUPATION(S) OVERSEEN
HELD WITH AND LENGTH OF DURING THE PAST BY OTHER DIRECTORSHIPS HELD BY
NAME, ADDRESS, AND AGE FUND TIME SERVED 5 YEARS DIRECTOR DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------------
Anthony G. Van Schaick Director October 5, 2007 Retired as of March None. Board Member, Lockheed Federal
c/o J.P. Morgan Alternative to present 2006; prior thereto Credit Union; Board Member,
Asset Management, Inc. Vice President and Mission Aviation Fellowship
245 Park Avenue, Floor 3 Treasurer of Lockheed
New York, NY 10167 Martin Corp. from
DOB: 10-11-1945 October 2002; prior
thereto President and
CEO of Lockheed Martin
Investment Management
Co.
- ------------------------------------------------------------------------------------------------------------------------------------
(i) EACH DIRECTOR SERVES FOR THE DURATION OF THE FUND, OR UNTIL THEIR DEATH,
RESIGNATION, TERMINATION, REMOVAL OR RETIREMENT.
20
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Directors and Officers Biographical Data (unaudited) (continued)
- ----------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
IN FUND
PRINCIPAL COMPLEX
POSITION(S) TERM OF OFFICE(i) OCCUPATION(S) OVERSEEN
HELD WITH AND LENGTH OF DURING THE PAST BY OTHER DIRECTORSHIPS HELD BY
NAME, ADDRESS, AND AGE FUND TIME SERVED 5 YEARS DIRECTOR DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED DIRECTORS
- ------------------------------------------------------------------------------------------------------------------------------------
Lawrence M. Unrein Director May 26, 2005 Managing Director, None. Board Member, National Surgical
JPMorgan Investment to present JPMorgan Investment Hospitals, Inc.; and Board
Management, Inc. Management, Inc. Member, Response Insurance;
245 Park Avenue, Floor 3 Advisory Board Member, Accel
New York, NY 10167 Partners; Advisory Board Member,
DOB: 2-2-1956 Accel-IDG; Advisory Board
Member, Accel London; Advisory
Board Member, Apax US; Advisory
Board Member, Clayton, Dubilier
& Rice; Advisory Board Member,
Fenway Partners; Advisory Board
Member, Great Hill Equity
Partners; Advisory Board Member,
Highbridge Capital Corp.;
Advisory Board Member, MeriTech
Capital Partners; Advisory Board
Member, New Enterprise
Associates; Advisory Board
Member, North Bridge Growth
Equity; Advisory Board Member,
North Bridge Venture Partners;
Advisory Board Member, Redpoint
Omega; Advisory Board Member,
Redpoint Venture Partners;
Advisory Board Member, TA
Associates; and Advisory Board
Member, Valhalla Partners.
- ------------------------------------------------------------------------------------------------------------------------------------
(i) EACH DIRECTOR SERVES FOR THE DURATION OF THE FUND, OR UNTIL THEIR DEATH,
RESIGNATION, TERMINATION, REMOVAL OR RETIREMENT.
21
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Directors and Officers Biographical Data (unaudited) (concluded)
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
POSITION(S) TERM OF OFFICE(i)
HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION(S)
NAME, ADDRESS, AND AGE FUND TIME SERVED DURING THE PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- ------------------------------------------------------------------------------------------------------------------------------------
Lawrence M. Unrein Chief Executive Officer May 26, 2005 Managing Director, JPMorgan Investment
JPMorgan Investment to present Management, Inc.
Management, Inc.
245 Park Avenue, Floor 3
New York, NY 10167
DOB: 2-2-1956
- ------------------------------------------------------------------------------------------------------------------------------------
Thomas J. DiVuolo Chief Financial Officer May 26, 2005 Vice President and Chief Financial
J.P. Morgan Alternative Asset to present Officer, J.P. Morgan Alternative Asset
Management, Inc. Management, Inc.
245 Park Avenue, Floor 3
New York, NY 10167
DOB: 7-27-1960
- ------------------------------------------------------------------------------------------------------------------------------------
The Fund's Forms N-Q are available on the Commission's web site 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 without charge, upon
request, by calling 1-212-648-1953, and (ii) on the Commission's website at
HTTP://WWW.SEC.GOV.
(i) EACH DIRECTOR SERVES FOR THE DURATION OF THE FUND, OR UNTIL THEIR DEATH,
RESIGNATION, TERMINATION, REMOVAL OR RETIREMENT.
22
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Supplemental Disclosure (unaudited)
- --------------------------------------------------------------------------------
BOARD APPROVAL OF CONTINUANCE OF INVESTMENT MANAGEMENT AGREEMENT
The Board met in person on November 13, 2008 for the purpose of, among other
things, considering whether it would be in the best interests of the Fund and
the Members to approve the continuance of the investment management agreement
between the Fund and the Investment Manager (the "Investment Management
Agreement") for a one year period from December 1, 2008. At the November 13,
2008 Board meeting, and for the reasons described below, the Board, including
all of the Independent Directors, unanimously approved the continuance of the
Investment Management Agreement for a one year period from December 1, 2008.
In determining whether to approve the continuance of the Investment Management
Agreement, the Board considered, among other factors, the nature, extent and
quality of the services provided by the Investment Manager, the performance of
the Fund, the profitability of the Fund to the Investment Manager and
information about economies of scale. In considering these factors, the Board
requested and reviewed a variety of information, including in comparison to such
information provided in January 2006 in connection with the Board's initial
approval of the Investment Management Agreement.
In considering the nature, extent and quality of the services to be provided by
the Investment Manager, the Directors reviewed the services that the Investment
Manager provides to the Fund. The Directors acknowledged that the Fund is
registered under the Investment Company Act of 1940 and allocates its assets
primarily among Investment Funds that are managed by third party Portfolio
Managers who employ a range of investment techniques and strategies. The
Investment Manager's services to the Fund have included investment management
services, including the selection and monitoring of Investment Funds and
Portfolio Managers and direct investments in certain other instruments;
maintaining appropriate accounts for the Fund's assets; and instructing certain
of the Fund's service providers in connection with the Fund's investments. The
Investment Manager's services also have included administrative services,
including providing office space and other support services; maintaining and
preserving certain records; preparing and filing various materials relating to
the Investment Manager with state and U.S. federal regulators; and reviewing and
arranging for payment of the Fund's expenses. The Directors considered, among
other things, the Investment Manager's management, personnel, resources, and
capabilities and experience in investing through third party Portfolio Managers.
The Directors also considered the Investment Manager's supervision of the Fund's
service providers and its attention to the compliance programs of the Fund, the
Investment Manager and certain other service providers.
The Directors reviewed the investment performance of the Fund since inception
and compared that performance to the Fund's investment objective, the
performance of certain indices and the Investment Manager's performance
expectations.
The Directors considered the cost to the Investment Manager of the Investment
Management Agreement and the profitability to the Investment Manager and its
affiliates of the relationship with the Fund over various time periods. The
information provided to the Directors indicated that the profitability to the
Investment Manager and its affiliates arising from the Investment Management
Agreement has not been excessive. The Directors acknowledged certain benefits to
the reputations of the Investment Manager and the Fund from their association
with each other.
23
J.P. MORGAN MULTI-STRATEGY FUND, L.L.C.
Supplemental Disclosure (unaudited) (continued)
- --------------------------------------------------------------------------------
The Directors considered services provided by other advisers to funds having
investment objectives and policies similar to those of the Fund. The Board
received, among other things, comparative data with respect to various types of
fund expenses. The Directors received information regarding the fees paid by
other funds managed by the Investment Manager that had investment objectives
similar to that of the Fund. The Directors took into account information
provided by the Investment Manager about differences between the Fund and those
accounts, including with respect to incentive or performance fees or
allocations. In considering the extent of the fees received by the Investment
Manager for providing services to the Fund, the Directors evaluated factors such
as the fees and expenses borne by other registered funds in the market pursuing
strategies generally similar to those followed by the Fund. The Directors
considered the Fund's historical management fees, its anticipated expense ratio,
and various components of that expense ratio, along with its historical
performance allocations, including how those amounts compared to the amounts
projected under the various scenarios provided in January 2006.
The Directors, in considering economies of scale, reviewed information showing
that the Fund had increased in size since inception but had not yet reached the
asset level set out in the Investment Manager's original long-term projections.
The materials and other information described above were considered by the
Board, and also were considered separately by the Independent Directors. The
Directors did not identify any particular information or any single factor that
was controlling, or the particular weight any Director placed on any one factor
for purposes of determining whether to vote in approval of the continuance of
the Investment Management Agreement. The summary set out above describes the
most important factors, but not all of the matters considered by the Directors
in coming to their decision regarding the Investment Management Agreement.
24
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party.
(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, and that relates to any element of
the code of ethics description.
(d) The registrant has not granted any waivers, including an implicit
waiver, from a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, that relates to one or more of the
items set forth in paragraph (b) of this item's instructions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
directors has determined that S. Lawrence Prendergast is qualified to serve as
an audit committee financial expert serving on its audit committee and that he
is "independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Audit Fees
- ----------
(a) The aggregate fees billed for each of the last two fiscal years for
professional services rendered by the principal accountant for the
audit of the registrant's annual financial statements or services that
are normally provided by the accountant in connection with statutory
and regulatory filings or engagements for those fiscal years are
$44,100 for 2008 and $45,423 for 2009.
Audit-Related Fees
- ------------------
(b) The aggregate fees billed in each of the last two fiscal years for
assurance and related services by the principal accountant that are
reasonably related to the performance of the audit of the registrant's
financial statements and are not reported under paragraph (a) of this
Item are $0 for 2008 and $0 for 2009.
Tax Fees
- --------
(c) The aggregate fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are $146,800 for 2008 and
$187,000 for 2009.
All Other Fees
- --------------
(d) The aggregate fees billed in each of the last two fiscal years for
products and services provided by the principal accountant, other than
the services reported in paragraphs (a) through (c) of this Item are $0
for 2008 and $0 for 2009.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
The Fund's Audit Committee approves all non-audit services, as required
by the statutes and regulations administered by the Securities and
Exchange Commission, including the 1940 Act and the Sarbanes-Oxley Act
of 2002.
(e)(2) The percentage of services described in each of paragraphs (b) through
(d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) N/A
(c) 100%
(d) N/A
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most
recent fiscal year that were attributed to work performed by persons
other than the principal accountant's full-time, permanent employees
was 0%.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by
another investment adviser), and any entity controlling, controlled by,
or under common control with the adviser that provides ongoing services
to the registrant for each of the last two fiscal years of the
registrant was $0 for 2008 and $0 for 2009.
(h) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The Proxy Voting Policies are attached herewith.
J.P. MORGAN ALTERNATIVE ASSET MANAGEMENT, INC.
PROXY VOTING POLICIES AND PROCEDURES
Objective
J.P. Morgan Alternative Asset Management, Inc. ("JPMAAM"), an investment adviser
registered with the U.S. Securities and Exchange Commission and an affiliate of
JPMorgan Chase & Co. ("JPMC"), is responsible for the allocation of assets on
behalf of its clients to various private investment funds, including hedge funds
and other alternative investment pools that are structured as private limited
partnerships, limited liability companies or offshore corporations
(collectively, "Alternative Investments"). The voting rights of Alternative
Investments generally are contract rights set forth in the organizational
documents (e.g., the limited partnership agreement, Limited Liability Company
agreement or memorandum and articles of association). As privately placed
securities, Alternative Investments generally are not subject to the regulatory
scheme applicable to public companies. Consequently, in most cases, Alternative
Investments do not issue proxies. Instead, they often solicit consents from
their limited partners, members or shareholders.
As an investment manager, JPMAAM, in the normal course of business, is typically
granted by its clients the authority to vote the proxies or consents of
Alternative Investments (and very rarely, proxies for securities that are
received as a result of in-kind redemptions from Alternative Investments). In
accordance with the Investment Advisers Act of 1940, as amended (the "Advisers
Act"), the Employee Retirement Income Security Act of 1974, as amended
("ERISA"), and other applicable fiduciary and regulatory standards, JPMAAM's
objective is to vote the solicitations, consents and proxies (hereinafter
referred to as "proxies") in the best interests of its clients. To further that
objective, JPMAAM has adopted these Proxy Voting Policies and Procedures.
The Proxy Voting Process
1. VOTING IN GENERAL. JPMAAM's Portfolio Management Group ("PMG") as part
of its ongoing analysis of client holdings monitors significant
developments relating to the portfolio of Alternative Investments.
Situations may arise in which more than one client invests in the same
Alternative Investment or securities. BECAUSE IN THE CONTEXT OF
ALTERNATIVE INVESTMENTS EACH SOLICITED VOTE RAISES UNIQUE QUESTIONS AND
IS AN INTEGRAL PART OF JPMAAM'S INVESTMENT PROCESS, EACH PROXY OR OTHER
SOLICITATION WITH RESPECT TO ALTERNATIVE INVESTMENTS WILL BE ANALYZED
BY A MEMBER OR MEMBERS OF PMG ON A CASE-BY-CASE BASIS.
As a result, JPMAAM may cast different votes on behalf of different
clients.
2. RESPONSIBILITY FOR VOTE FOR ALTERNATIVE INVESTMENTS - PRIMARY CONTACT
FOR THE MANAGER OF THE UNDERLYING HEDGE FUND OR OTHER PERSON
IDENTIFIED. Where the proxy being voted is with respect to interests in
an underlying hedge fund ("UHF") owned by a JPMAAM client over which
JPMAAM has discretionary investment authority, it shall be the
responsibility of the Primary portfolio manager ("Primary") in PMG
responsible for that UHF to vote the proxy in a timely manner and
otherwise in accordance with these
procedures. In the absence of the Primary, the Chief Investment Officer
shall assign such responsibility to another person in PMG in accordance
with the procedures set forth below in this section.
3. PROCEDURES FOR VOTING PROXIES. JPMAAM has adopted the following
procedures in order to ensure that all proxy materials are processed in
a timely fashion:
o All proxies and related materials should be received by, or
forwarded to, JPMAAM Operations ("Operations") and processed
by the designated person or persons within Operations.
o Operations will:
o Forward the materials by e-mail to:
|X| the Primary for that UHF/manager, as well as PMG as
a whole; and
|X| the Chief Compliance Officer ("CCO").
o Include in the cover email the following information:
|X| name of UHF and manager;
|X| name(s) of the JPMAAM client portfolio(s) holding
interests in this UHF; and
|X| the date and time by which JPMAAM must submit the
proxy (the "Voting Deadline"). (This is to allow
enough time for the completed proxy to be returned
to the issuer prior to the Voting Deadline.)
o The CCO will initially review the proxy material to determine
if a material conflict of interest exists that would prevent
PMG from voting. If there is no conflict of interest the CCO
will inform PMG that it may vote the proxy as it determines.
If there is a material conflict of interest, see Escalation
of Conflicts of Interest, below.
o The Primary, upon receiving approval from the CCO to vote the
proxy, will analyze the proxy materials and make a decision
on how to vote the proxy, conferring with other PMG personnel
if appropriate. The Primary shall promptly communicate via
email or otherwise in writing the decision as to how to vote
each proxy to Operations (by close of business on the day
before the Voting Deadline, unless otherwise agreed with
Operations), copying the CCO. Once instructions are received
in a timely manner from the Primary, Operations shall have
responsibility for completing, executing and submitting the
proxy prior to the Voting Deadline.
o In some cases, proxy materials may stipulate how a failure to
vote the proxy will be interpreted (for example, proxy
materials may stipulate that a "no" vote will be deemed to be
a vote in favor of the proposal, or that there is no need to
submit a proxy if there is an intention to vote in favor of a
proposal). In such cases, the Primary must still determine
how to vote the proxy, and convey this decision via email or
other written communication to Operations, as described
above. If the proxy materials dictate that an actual written
proxy need not be submitted, Operations shall still email
PMG's decision to the UHF and keep a copy of that email in
its files.
MATERIAL CONFLICTS OF INTEREST
Rule 206(4)-6 under the Advisers Act requires that the proxy voting procedures
adopted and implemented by a registered investment adviser include procedures
that address material conflicts of interests that may arise between the
investment adviser and its clients and/or investors. Material conflicts of
interest may arise when management of a JPMAAM client or prospective client,
distributor or prospective distributor of its investment management products, or
critical vendor, is soliciting proxies and failure to vote in favor of
management may affect JPMAAM's relationship with such company and materially
impact JPMAAM's business; or when a personal relationship between a JPMAAM
officer and management of a company or other proponents of proxy proposals could
impact the voting decision. Given JPMAAM's position as a subsidiary of JPMC,
material conflicts of interest can also arise between the interests of JPMC and
JPMAAM's clients.
ESCALATION OF CONFLICTS OF INTEREST
The CCO is responsible for initially identifying potential material conflicts of
interest. If a potential material conflict of interest is identified by the CCO,
JPMAAM will forward the proxy material to internal and/or external counsel for
review. Such counsel will provide their advice on proceeding with the vote. If a
material conflict of
interest is identified involving the interests of JPMAAM and its clients or
investors, it is the responsibility of the CCO, in consultation with senior
management and the Proxy Voting Committee (described below) to evaluate the
matter and determine the final voting decision.
Depending upon the nature of the material conflict, JPMAAM may elect to take one
or more of the following measures, or other appropriate action:
|_| removing certain JPMAAM personnel from the proxy voting process;
|_| "walling off" personnel with knowledge of the material conflict to
ensure that such personnel do not influence the relevant proxy
vote;
|_| deferring the vote to a proxy voting service and vote in
accordance with their recommendation; or
|_| abstaining from voting the proxy.
The resolution of all potential and actual material conflict issues presented to
senior management will be thoroughly documented.
PROXY VOTING COMMITTEE
A Proxy Voting Committee composed of senior personnel from Legal, Compliance,
Risk Management, PMG and Operations can be convened to provide oversight of the
proxy voting process, when necessary. The purposes of such Committee would be to
(i) review general proxy voting matters, and (ii) discuss and arrive at
conclusions on more controversial proxy voting issues.
RECORDKEEPING
JPMAAM is required to maintain in an easily accessible place for five (5) years
all records relating to the proxy voting process (the first two years at the
office of JPMAAM). Those records will be kept by Operations and will include the
following:
|_| a copy of each proxy statement received on behalf of JPMAAM clients;
|_| a record of each vote cast on behalf of JPMAAM client holdings;
|_| a copy of all documents created by JPMAAM personnel that were material
to making a decision on the voting of client securities or that
memorialize the basis of the decision; and
|_| a copy of each written request by a JPMAAM investor for information on
how JPMAAM voted proxies on behalf of a client, as well as a copy of
any written response by JPMAAM to any request by an investor for
information on how JPMAAM voted proxies on behalf of a client.
Adopted: May 26, 2004
Revised: February 1, 2007
Revised: January 26, 2009
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Information regarding the individuals primarily involved in the management
of the Fund's portfolio is set out below. This information is provided as of
June 8, 2009.
PAUL ZUMMO is Chief Investment Officer and a Managing Director of J.P.
Morgan Alternative Asset Management, Inc. (the "Adviser"), the Fund's
investment adviser. He has been with the Adviser since 1994 and is
responsible for investment analysis, research, due diligence and portfolio
management.
COREY CASE is Chief Operating Officer and a Managing Director of the
Adviser. He has been with the Adviser since January 2001, has an extensive
background in risk management and is responsible for the
functional oversight of the Risk Management & Quantitative Analysis, Client
Solutions, Product Development, Geneva Advisory and Infrastructure groups
within the Adviser.
REMI BOUTEILLE is Deputy Chief Investment Officer and Director of Research
and a Managing Director of the Adviser. He has been with the Adviser since
2000 and is responsible for investment analysis, research, due diligence and
portfolio management.
PIERRE CHABRAN is a Vice President of the Adviser. He has been with the
Adviser since May 2001 and is responsible for investment analysis, research,
due diligence and portfolio management with a focus in Relative Value and
Opportunistic/Global Macro strategies.
Pierre Chabran has been primarily responsible for the day to day management
of the Fund's portfolio since early March 2007, including selecting the
investment funds in which the Fund will invest and allocating the Fund's
assets among those investment funds. Paul Zummo, Corey Case and Remi
Bouteille have final decision making authority regarding the investment
funds in which the Fund (and the other pooled investment vehicles and
accounts which are managed by the Adviser ("Other Adviser Accounts")) will
be permitted to invest.
The following table lists the number and types of other accounts advised by
the persons named above and approximate assets under management in those
accounts as of March 31, 2009. The Adviser does not manage any other
registered investment companies.
Pooled Investment Vehicles Other Accounts
Name of Portfolio -------------------------- --------------
Manager # of Vehicles Assets Managed # of Accounts Assets Managed
------------- -------------- ------------- --------------
Paul Zummo 24 $3.76 billion (1) 6 $1.10 billion
Corey Case 24 $3.76 billion (1) 6 $1.10 billion
Remi Bouteille 24 $3.76 billion (1) 6 $1.10 billion
Pierre Chabran 1 $71 million 1 $545 million
(1) Of these assets, $478.9 million across fourteen vehicles are not subject to advisory fees based on
performance.
Potential conflicts of interest may arise regarding the allocation of
limited investment opportunities to the Fund and Other Adviser Accounts.
Some of the Other Adviser Accounts may have investment objectives,
strategies and risks that differ from that of the Fund. Different
investments may be purchased for the Fund and for Other Adviser Accounts and
the performance of investments purchased by the Fund may differ from that of
the investments purchased for Other Adviser Accounts. Transactions placed on
behalf of Other Adviser Accounts that are directly or indirectly contrary to
investment decisions made for the Fund may have the potential to adversely
impact the Fund. The Adviser has adopted and implemented policies and
procedures to address the potential conflicts of interest associated with
managing multiple accounts on behalf of multiple clients. The Adviser
monitors a variety of areas, including compliance with any stated investment
guidelines and restrictions and the performance of the Fund and the Other
Adviser Accounts, to ensure that each account is being managed appropriately
and in accordance with the Adviser's fiduciary obligations to all its
clients.
As of March 31, 2009, the Adviser's portfolio managers receive a
compensation package made up of a base salary and an annual discretionary
bonus. Discretionary bonuses are closely tied to a variety of factors,
including but not limited to, the investment performance of all accounts
managed by the Adviser, the Adviser's overall business performance, as well
as the individual portfolio manager's contribution to that performance and
the Adviser's business generally including the education, training and
support of the Adviser's other personnel. Discretionary bonuses are
comprised of a combination of mandatory and voluntary
bonus deferral programs and a cash component. Mandatory bonus deferral is
generally in the form of JPMorgan Chase stock, subject to a vesting period.
For certain senior portfolio managers, a part of the mandatory deferral
amount may be allocated among different investment choices including one or
more pooled investment vehicles managed by the Adviser, also subject to a
vesting period. The voluntary bonus deferral program has various investment
choices which in prior years included a pooled investment vehicle managed by
the Adviser.
As of March 31, 2009, none of the persons involved in the management of the
Fund's portfolio beneficially owns any interest in the Fund.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(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 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, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) J.P. Morgan Multi-Strategy Fund, L.L.C.
--------------------------------------------------------------------
By (Signature and Title)* /s/ Lawrence M. Unrein
-------------------------------------------------------
Lawrence M. Unrein, Principal Executive Officer
(principal executive officer)
Date May 29, 2009
----------------------------------------------------------------------------
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/ Lawrence M. Unrein
-------------------------------------------------------
Lawrence M. Unrein, Principal Executive Officer
(principal executive officer)
Date May 29, 2009
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Thomas J. DiVuolo
-------------------------------------------------------
Thomas J. DiVuolo, Principal Financial Officer
(principal financial officer)
Date June 5, 2009
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.