0001193125-11-237725.txt : 20110831 0001193125-11-237725.hdr.sgml : 20110831 20110831134202 ACCESSION NUMBER: 0001193125-11-237725 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 20110630 FILED AS OF DATE: 20110831 DATE AS OF CHANGE: 20110831 EFFECTIVENESS DATE: 20110831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Endowment Institutional TEI Fund W, L.P. CENTRAL INDEX KEY: 0001493234 IRS NUMBER: 272627601 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22465 FILM NUMBER: 111068048 BUSINESS ADDRESS: STREET 1: 4265 SAN FELIPE STREET 2: 8TH FLOOR CITY: HOUSTON STATE: TX ZIP: 77027 BUSINESS PHONE: 713-993-4675 MAIL ADDRESS: STREET 1: 4265 SAN FELIPE STREET 2: 8TH FLOOR CITY: HOUSTON STATE: TX ZIP: 77027 N-CSRS 1 dncsrs.htm SALIENT ENDOWMENT TEI FUND W, L.P. Salient Endowment TEI Fund W, L.P.

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22465

The Endowment Institutional TEI Fund W, L.P.

(Exact name of registrant as specified in charter)

 

4265 SAN FELIPE, SUITE 800, HOUSTON, TX   77027
(Address of principal executive offices)   (Zip code)

 

 

A. Haag Sherman

The Endowment Institutional TEI Fund W, L.P.

4265 San Felipe, Suite 800,

Houston, TX 77027

(Name and address of agent for service)

 

With a copy to:

 

George J. Zornada

K& L Gates LLP

State Street Financial Center

One Lincoln St.

Boston, MA 02111-2950

(617) 261-3231

Registrant’s telephone number, including area code: 800-725-9456

Date of fiscal year end: 12/31/11

Date of reporting period: 06/30/11

 

 

 


Item 1. Reports to Stockholders.


LOGO


TABLE OF CONTENTS

 

The Endowment Institutional TEI Fund W, L.P.

  

Statement of Assets, Liabilities and Partners’ Capital

     1   

Statement of Operations

     2   

Statements of Changes in Partners’ Capital

     3   

Statement of Cash Flows

     4   

Notes to Financial Statements

     5   

Supplemental Information

     12   

The Endowment Master Fund, L.P.

  

Consolidated Statement of Assets, Liabilities and Partners’ Capital

     17   

Consolidated Schedule of Investments

     18   

Consolidated Statement of Operations

     29   

Consolidated Statements of Changes in Partners’ Capital

     30   

Consolidated Statement of Cash Flows

     31   

Notes to Consolidated Financial Statements

     32   

Supplemental Information

     52   


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Statement of Assets, Liabilities, and Partners’ Capital

June 30, 2011

(Unaudited)

 

Assets

  

Investment in the Offshore Institutional Fund, at estimated fair value

   $ 16,661,164   

Advanced contributions to the Offshore Institutional Fund

     1,600,000   

Receivable from the Adviser

     26,739   

Prepaids and other assets

     35,370   
  

 

 

 

Total assets

     18,323,273   
  

 

 

 

Liabilities and Partners’ Capital

  

Contributions received in advance

     1,600,000   

Accounts payable and accrued expenses

     37,322   
  

 

 

 

Total liabilities

     1,637,322   
  

 

 

 

Partners’ capital

     16,685,951   
  

 

 

 

Total liabilities and partners’ capital

   $ 18,323,273   
  

 

 

 

 

See accompanying notes to financial statements.

 

1


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Statement of Operations

Six Months Ended June 30, 2011*

(Unaudited)

 

Net investment loss allocated from the Offshore Institutional Fund:

  

Dividend income (net of foreign withholding tax of $1)

   $ 12,826   

Interest income

     2,031   

Dividend income from affiliated investments

     2,317   

Interest income from affiliated investments

     1,393   

Expenses

     (68,124
  

 

 

 

Net investment loss allocated from the Offshore Institutional Fund

     (49,557
  

 

 

 

Expenses of the Institutional TEI Fund:

  

Organization costs

     25,057   

Amortization of offering costs

     14,032   

Professional fees

     11,667   

Other expenses

     1,147   
  

 

 

 

Total expenses of the Institutional TEI Fund

     51,903   
  

 

 

 

Expenses reimbursed by the Adviser

     (26,739
  

 

 

 

Net expenses of the Institutional TEI Fund

     25,164   
  

 

 

 

Net investment loss of the Institutional TEI Fund

     (74,721
  

 

 

 

Net realized and unrealized loss from investments, affiliated investments, foreign currency transactions and translations, options, options sold not yet purchased and redemptions in-kind allocated from the Offshore Institutional Fund:

  

Net realized loss from investments, affiliated investments, foreign currency transactions and translations, options, options sold not yet purchased and redemptions in-kind allocated from the Offshore Institutional Fund

     (1,854

Change in unrealized appreciation/depreciation from investments, foreign currency transactions and translations, options and options sold not yet purchased allocated from the Offshore Institutional Fund

     (223,474
  

 

 

 

Net realized and unrealized loss from investments, affiliated investments, foreign currency transactions and translations, options, options sold not yet purchased and redemptions in-kind allocated from the Offshore Institutional Fund

     (225,328
  

 

 

 

Net decrease in partners’ capital resulting from operations

   $ (300,049
  

 

 

 

 

*

The Institutional TEI Fund commenced operations on January 1, 2011

 

See accompanying notes to financial statements.

 

2


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Statement of Changes in Partners’ Capital

Six Months Ended June 30, 2011*

(Unaudited)

 

Partners’ capital at January 1, 2011

   $ —     

Contributions

     16,986,000   

Net decrease in partners’ capital resulting from operations:

  

Net investment loss

     (74,721

Net realized gain from investments

     (1,854

Change in unrealized appreciation/depreciation from investments

     (223,474
  

 

 

 

Net decrease in partners’ capital resulting from operations

     (300,049
  

 

 

 

Partners’ capital at June 30, 2011

   $ 16,685,951   
  

 

 

 

 

*

The Institutional TEI Fund commenced operations on January 1, 2011

 

See accompanying notes to financial statements.

 

3


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Statement of Cash Flows

Six Months Ended June 30, 2011*

(Unaudited)

 

Cash flows from operating activities:

  

Net decrease in partners’ capital resulting from operations

   $ (300,049

Adjustments to reconcile net decrease in partners’ capital resulting from operations to net cash used in operating activities:

  

Amortization of offering cost

     14,032   

Net realized and unrealized loss from investments, affiliated investments, foreign currency transactions and translations, options, options sold not yet purchased and redemptions in-kind allocated from the Offshore Institutional Fund

     225,328   

Net investment loss allocated from the Offshore Institutional Fund

     49,557   

Contributions to the Offshore Institutional Fund

     (16,986,000

Redemptions from the Offshore Institutional Fund

     49,951   

Increase in receivable from the Adviser

     (26,739

Increase in advanced contributions to the Offshore Institutional Fund

     (1,600,000

Increase in prepaids and other assets

     (49,402

Increase in accounts payable and accrued expenses

     37,322   
  

 

 

 

Net cash used in operating activities

     (18,586,000
  

 

 

 

Cash flows from financing activities:

  

Contributions

     18,586,000   
  

 

 

 

Net cash provided by financing activities

     18,586,000   
  

 

 

 

Net change in cash and cash equivalents

     —     

Cash and cash equivalents at beginning of year

     —     
  

 

 

 

Cash and cash equivalents at end of year

   $ —     
  

 

 

 

 

*

The Institutional TEI Fund commenced operations on January 1, 2011

 

See accompanying notes to financial statements.

 

4


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements

June 30, 2011

(Unaudited)

 

(1) ORGANIZATION

The Endowment Institutional TEI Fund W, L.P. (the “Institutional TEI Fund”), is a limited partnership organized under the laws of the state of Delaware. The Institutional TEI Fund was registered and began operations on January 1, 2011 (“Inception”) as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Institutional TEI Fund was created to serve as a feeder fund for The Endowment Offshore Institutional Fund W, Ltd. (the “Offshore Institutional Fund”), which in turn is a feeder fund for The Endowment Master Fund, L.P. (the “Master Fund”). For convenience, reference to the Institutional TEI Fund may include the Offshore Institutional Fund and Master Fund, as the context requires.

The Institutional TEI Fund’s investment objective is to preserve capital and to generate consistent long-term appreciation and returns across a market cycle (which is estimated to be five to seven years). The Institutional TEI Fund pursues its investment objective by investing substantially all of its assets in the Offshore Institutional Fund, which will in turn invest all of it assets in the Master Fund, which has the same investment objectives as the Offshore Institutional Fund and the Institutional TEI Fund. The Master Fund invests its assets in a variety of investment vehicles including but not limited to limited partnerships, limited liability companies, offshore corporations and other foreign investment vehicles (collectively, the “Investment Funds”), registered investment companies (including exchange traded funds) and direct investments in marketable securities and derivative instruments. The Master Fund’s consolidated financial statements, footnotes and Consolidated Schedule of Investments, included elsewhere in this report, are an integral part of the Institutional TEI Fund’s financial statements that should be read in conjunction with this report. The percentage of the Master Fund’s partnership interests indirectly owned by the Institutional TEI Fund on June 30, 2011, was 0.33%.

The Endowment Fund GP, L.P., a Delaware limited partnership, serves as the general partner of the Institutional TEI Fund (the “General Partner”). To the fullest extent permitted by applicable law, the General Partner has irrevocably delegated to a board of directors (the “Board” and each member a “Director”) its rights and powers to monitor and oversee the business affairs of the Institutional TEI Fund, including the complete and exclusive authority to oversee and establish policies regarding the management, conduct and operation of the Institutional TEI Fund’s business. A majority of the members of the Board are independent of the General Partner and its management. To the extent permitted by applicable law, the Board may delegate any of its rights, powers and authority to, among others, the officers of the Institutional TEI Fund, the Adviser, or any committee of the Board.

The Board is authorized to engage an investment adviser and it has selected Endowment Advisers, L.P. (the “Adviser”), to manage the Institutional TEI Fund’s portfolio and operations, pursuant to an investment management agreement (the “Investment Management Agreement”). The Adviser is a Delaware limited partnership that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended. Under the Investment Management Agreement, the Adviser is responsible for the establishment of an investment committee, which is responsible for developing, implementing, and supervising the Institutional TEI Fund’s investment program subject to the ultimate supervision of the Board. In addition to investment advisory services, the Adviser also functions as the servicing agent of the Institutional TEI Fund (the “Servicing Agent”) and as such provides or procures investor services and administrative assistance for the Institutional TEI Fund. The Adviser can delegate all or a portion of its duties as Servicing Agent to other parties, who would in turn act as sub-servicing agents.

 

5


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements, continued

June 30, 2011

(Unaudited)

 

Under the Institutional TEI Fund’s organizational documents, the Institutional TEI Fund’s officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Institutional TEI Fund. In the normal course of business, the Institutional TEI Fund enters into contracts with service providers, which also provide for indemnifications by the Institutional TEI Fund. The Institutional TEI Fund’s maximum exposure under these arrangements is unknown, as this would involve any future potential claims that may be made against the Institutional TEI Fund. However, based on experience, the General Partner expects that risk of loss to be remote.

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PRACTICES

(a) BASIS OF ACCOUNTING

The accounting and reporting policies of the Institutional TEI Fund conform with U.S. generally accepted accounting principles (“GAAP”).

(b) CASH EQUIVALENTS

The Institutional TEI Fund considers all unpledged temporary cash investments with a maturity date at the time of purchase of three months or less to be cash equivalents.

(c) INVESTMENT SECURITIES TRANSACTIONS

The Institutional TEI Fund records monthly, its pro-rata share of income, expenses, changes in unrealized appreciation and depreciation, and realized gains and losses derived from the Offshore Institutional Fund and the Master Fund.

The Institutional TEI Fund records security transactions on a trade-date basis.

Investments that are held by the Institutional TEI Fund are marked to fair value at the date of the financial statements, and the corresponding change in unrealized appreciation/(depreciation) is included in the Statement of Operations.

In general, distributions received from Investment Funds are accounted for as a reduction to cost and any proceeds received above the allocated cost basis results in a realized gain. Realized gains or losses on the disposition of investments are accounted for based on the first in first out (“FIFO”) method.

(d) VALUATION OF INVESTMENTS

The valuation of the Institutional TEI Fund’s investments will be determined as of the close of business at the end of any fiscal period, generally monthly. The valuation of the Institutional TEI Fund’s investments is calculated by Citi Fund Services Ohio, Inc., the Institutional TEI Fund’s independent administrator (the “Independent Administrator”).

The Board has formed a valuation committee (the “Board Valuation Committee”) that is responsible for overseeing the Institutional TEI Fund’s valuation policies, making recommendations to the Board on valuation-related matters, and overseeing implementation by the Adviser Valuation Committee (as defined below) of the

 

6


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements, continued

June 30, 2011

(Unaudited)

 

Institutional TEI Fund’s valuation policies that the Board of the Institutional TEI Fund has approved for purposes of determining the value of securities held by the Institutional TEI Fund, including the fair value of the Institutional TEI Fund’s investments in Investment Funds.

The Board has also authorized the establishment of a valuation committee of the Adviser (the “Adviser Valuation Committee”). The Adviser Valuation Committee’s function, subject to the oversight of the Board Valuation Committee and the Board, is generally to review the Investment Funds’ valuation methodologies, valuation determinations, and any information provided to the Adviser Valuation Committee by the Adviser or the Independent Administrator.

The Institutional TEI Fund invests substantially all of its assets in the Offshore Institutional Fund, which in turn invests in the Master Fund. Investments in the Master Fund are recorded at fair value based on the Institutional TEI Fund’s proportional share of the Master Fund’s partners’ capital through the Offshore Institutional Fund. Valuation of the investments held by the Master Fund is discussed in the Master Fund’s notes to consolidated financial statements included elsewhere in this report.

(e) INVESTMENT INCOME

For investments in securities, dividend income is recorded on the ex-dividend date, net of withholding taxes. Interest income is recorded as earned on the accrual basis and includes amortization of premiums or accretion of discounts.

(f) FUND EXPENSES

Unless otherwise voluntarily or contractually assumed by the Adviser or another party, the Institutional TEI Fund bears all expenses incurred in its business, directly or indirectly through its investment in the Master Fund (through the Offshore Institutional Fund), including but not limited to, the following: all costs and expenses related to investment transactions and positions for the Institutional TEI Fund’s account; legal fees; accounting, auditing and tax preparation fees; recordkeeping and custodial fees; costs of computing the Institutional TEI Fund’s net asset value; fees for data and software providers; research expenses; costs of insurance; registration expenses; offering costs; expenses of meetings of the partners; directors fees; all costs with respect to communications to partners; and other types of expenses as may be approved from time to time by the Board. Offering costs are amortized over a twelve-month period or less from the date they are incurred.

(g) INCOME TAXES

The Institutional TEI Fund is organized and operates as a limited partnership and is not subject to income taxes as a separate entity. Such taxes are the responsibility of the individual partners. Accordingly, no provision for income taxes has been made in the Institutional TEI Fund’s financial statements. Investments in foreign securities may result in foreign taxes being withheld by the issuer of such securities.

The Institutional TEI Fund has evaluated the tax positions taken or expected to be taken in the course of preparing the Institutional TEI Fund’s tax returns to determine whether the tax positions will “more-likely-than-not” be sustained by the Institutional TEI Fund upon challenge by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold and that would result in a tax benefit or expense to the

 

7


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements, continued

June 30, 2011

(Unaudited)

 

Institutional TEI Fund would be recorded as a tax benefit or expense in the current period. For the six months ended June 30, 2011, the Institutional TEI Fund did not recognize any amounts for unrecognized tax benefit/expense. A reconciliation of unrecognized tax benefit/expense is not provided herein, as the beginning and ending amounts of unrecognized tax benefit/expense are zero, with no interim additions, reductions or settlements. Tax positions taken in tax years which remain open under the statute of limitations (generally three years for federal income tax purposes) are subject to examination by tax authorities.

(h) USE OF ESTIMATES

The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions relating to the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates, and such differences may be significant.

(i) ORGANIZATIONAL EXPENSES

The Institutional TEI Fund’s organizational expenses (the “Organizational Expenses”) were initially borne by the Adviser or an affiliate thereof and for capital account allocation purposes assumed to be reimbursed, over not more than a 60 month period of time, notwithstanding that such Organizational Expenses were expensed in accordance with GAAP for Institutional TEI Fund financial reporting purposes upon commencement of operations.

(3) FAIR VALUE MEASUREMENTS

The Institutional TEI Fund records its investment in the Offshore Institutional Fund, which in turns invests in the Master Fund at fair value. Investments of the Master Fund are recorded at fair value as more fully discussed in the notes to the Master Fund’s consolidated financial statements included elsewhere in this report.

(4) PARTNERS’ CAPITAL ACCOUNTS

(a) ISSUANCE OF INTERESTS

Upon receipt from an eligible investor of an initial or additional application for interests (the “Interests”), which will generally be accepted as of the first day of each month, the Institutional TEI Fund will issue new Interests. The Interests have not been registered under the Securities Act of 1933, as amended (the “Securities Act”), or the securities laws of any state. The Institutional TEI Fund issues Interests only in private placement transactions in accordance with Regulation D or other applicable exemptions under the Securities Act. No public market exists for the Interests, and none is expected to develop. The Institutional TEI Fund is not required, and does not intend, to hold annual meetings of its partners. The Interests are subject to substantial restrictions on transferability and resale and may not be transferred or resold except as permitted under the Institutional TEI Fund’s limited partnership agreement.

The Institutional TEI Fund reserves the right to reject any applications for Interests. The $1,600,000 in contributions received in advance as of June 30, 2011 represents subscriptions for Institutional TEI Fund Interests received prior to the July 2011 closing.

 

8


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements, continued

June 30, 2011

(Unaudited)

 

(b) ALLOCATION OF PROFITS AND LOSSES

For each fiscal period, generally monthly, net profits or net losses of the Institutional TEI Fund, including allocations from the Master Fund (through the Offshore Institutional Fund), are allocated among and credited to or debited against the capital accounts of all partners as of the last day of each fiscal period in accordance with the partners’ respective capital account ownership percentage for the fiscal period. Net profits or net losses are measured as the net change in the value of the partners’ capital of the Institutional TEI Fund, including any net change in unrealized appreciation or depreciation from investments and income, net of expenses, and realized gains or losses during a fiscal period. Net profits or losses are allocated after giving effect for any initial or additional applications for Interests, which generally occur at the beginning of the month, or any repurchases of Interests.

(c) REPURCHASE OF INTERESTS

A partner will not be eligible to have the Institutional TEI Fund repurchase all or any portion of an Interest at any time prior to the business day immediately preceding the one-year anniversary of the partner’s purchase of such Interest (or portion thereof) without incurring additional costs including an early repurchase fee. The Adviser, which also serves as the investment adviser of the Master Fund and the Offshore Institutional Fund, expects that it will recommend to the Board that the Institutional TEI Fund offer to repurchase such Interests each calendar quarter, pursuant to written tenders by partners. However, the Board retains the sole discretion to accept or reject the recommendation of the Adviser and to determine the amount of Interests, if any, that will be purchased in any tender offer that it does approve. Since the Institutional TEI Fund’s assets are invested in the Master Fund (through the Offshore Institutional Fund), the ability of the Institutional TEI Fund to have its Interests in the Master Fund be repurchased would be subject to the Master Fund’s and Offshore Institutional Fund’s repurchase policies. In addition, the Institutional TEI Fund may determine not to conduct a repurchase offer each time the Master Fund and Offshore Institutional Fund conduct a repurchase offer. In the event Interests are repurchased, there will be a substantial period of time between the date as of which partners must tender their Interests for repurchase and the date they can expect to receive payment for their Interests from the Institutional TEI Fund. The Institutional TEI Fund records early repurchase fees received, if any, as additional capital contributions, allocable to Interests which have not been repurchased.

(5) INVESTMENTS IN PORTFOLIO SECURITIES

As of June 30, 2011, all of the investments made by the Institutional TEI Fund were in the Master Fund (through the Offshore Institutional Fund).

(6) FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK

In the normal course of business, the Investment Funds in which the Institutional TEI Fund may invest either directly or through the Offshore Institutional Fund and the Master Fund may trade various derivative securities and other financial instruments, and enter into various investment activities with off-balance sheet risk both as an investor and as a principal. The Institutional TEI Fund’s risk of loss in these Investment Funds is limited to the Institutional TEI Fund’s pro rata share of the value of the investment in or commitment to such Investment Funds as held directly or through the Offshore Institutional Fund and Master Fund. In addition, the Master Fund may from time to time invest directly in derivative securities or other financial instruments to gain greater or lesser exposure to a particular asset class.

 

9


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements, continued

June 30, 2011

(Unaudited)

 

(7) ADMINISTRATION AGREEMENT

In consideration for administrative, accounting, and recordkeeping services, the Master Fund will pay the Independent Administrator a monthly administration fee based on the month end partners’ capital of the Master Fund. The Independent Administrator will also provide the Institutional TEI Fund, the Offshore Institutional Fund and the Master Fund with legal, compliance, transfer agency, and other investor related services at an additional cost.

The fees for Institutional TEI Fund administration will be paid out of the Master Fund’s assets, which will decrease the net profits or increase the net losses of the partners in the Institutional TEI Fund.

(8) RELATED PARTY TRANSACTIONS

(a) INVESTMENT MANAGEMENT FEE

In consideration of the advisory and other services provided by the Adviser to the Master Fund and the Institutional TEI Fund, the Master Fund will pay the Adviser an investment management fee (the “Investment Management Fee”) equal to 1.00% based on the Master Fund’s partners’ capital at the end of each month. So long as the Institutional TEI Fund invests all of its investable assets in the Offshore Institutional Fund, which in turn invests all of its investable assets in the Master Fund, the Institutional TEI Fund will not pay the Adviser directly any Investment Management Fee; however, should the Institutional TEI Fund not have all of its investments in the Offshore Institutional Fund, it may be charged the 1.00% Investment Management Fee directly. The Institutional TEI Fund’s partners bear an indirect portion of the Investment Management Fee paid by the Master Fund. The Investment Management Fee will decrease the net profits or increase the net losses of the Master Fund and indirectly the Institutional TEI Fund as the fees reduce the capital accounts of the Master Fund’s partners.

The Adviser has contractually agreed to limit total annualized expenses of the Institutional TEI Fund through December 31, 2011 through an expense limitation agreement (the “Expense Limitation Agreement”), including the expenses allocated from the Master Fund (through the Offshore Institutional Fund) (exclusive of borrowing, investment-related costs and offshore withholding tax expense), to 1.75%, of partners’ capital. Under the Expense Limitation Agreement, the Adviser is permitted to recover in later periods expenses it has borne to the extent that the Institutional TEI Fund’s expenses fall below the 1.75% rate. The Institutional TEI Fund, however, is not obligated to pay any such amount beyond three years after the end of the fiscal year in which the Adviser reimbursed such expense. Any such recovery by the Adviser shall not cause the Institutional TEI Fund to exceed the annual limitation expense rate in the period in which the Adviser is reimbursed. For the six months ended June 30, 2011, the Adviser reimbursed, and is eligible to recoup $26,739 for expenses of the Institutional TEI Fund.

(b) PLACEMENT AGENTS

The Institutional TEI Fund may engage one or more placement agents (each, a “Placement Agent”) to solicit investments in the Institutional TEI Fund. Salient Capital, L.P., an affiliate of the Adviser, is a broker-dealer who has been engaged by the Institutional TEI Fund to serve as a Placement Agent. A Placement Agent may engage one or more sub-placement agents. The Adviser or its affiliates may pay a fee out of their own resources to Placement Agents and sub-placement agents.

 

10


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Notes to Financial Statements, continued

June 30, 2011

(Unaudited)

 

(9) FINANCIAL HIGHLIGHTS

 

     Six months ended
June 30, 2011
(Unaudited)1
 

Net investment loss to average partners’ capital2

     (2.17 )% 

Gross expenses to average partners’ capital2

     3.49

Net expenses to average partners’ capital2, 3

     2.71

Portfolio turnover4

     12.53

Total return5

     (0.99 )% 

Partners’ capital, end of period (in 000’s)

   $ 16,686   

An investor’s return (and operating ratios) may vary from those reflected based on the timing of capital transactions.

 

1

The Institutional TEI Fund commenced operations on January 1, 2011.

2

Ratios are calculated by dividing the indicated amount by average partners’ capital measured at the end of each month during the period. Ratios include allocations of net investment loss and expenses from the Offshore Institutional Fund and Master Fund. These ratios have been annualized for periods less than twelve months.

3

Net expenses, as presented in these financial statements, includes the expense waiver calculation based on the Institutional TEI Fund’s Organization Expenses being expensed upon commencement of operations (in accordance with GAAP). The contractual waiver includes amortization of the Institutional TEI Fund’s Organization Expenses over a 60-month period of time (see Note 2), resulting in a ratio of net expenses to average partners’ capital of 1.75% for the six months ended June 30, 2011.

4

The Institutional TEI Fund is invested exclusively in the Offshore Institutional Fund, which in turn is invested solely in the Master Fund, therefore this ratio reflects the portfolio turnover of the Master Fund for the six months ended June 30, 2011.

5

Calculated as geometrically linked monthly returns for each month in the period. The reported total return amount for the six months ended June 30, 2011, is negatively impacted by the write off of the Institutional TEI Fund’s Organizational Expenses, which occurred at Inception of the Institutional TEI Fund’s operations in accordance with GAAP. Had these costs not been included as an expense at Inception for the purposes of the total return calculation and were instead amortized over 60 months as they are being handled for capital allocation purposes, the total return would have been 0.48% for the six months ended June 30, 2011. Total return is not annualized for periods less than twelve months.

(10) SUBSEQUENT EVENTS

The Institutional TEI Fund accepts initial or additional applications for Interests generally as of the first day of the month. Investor subscriptions for Interests totaled approximately $4 million and $5 million for July and August 2011, respectively.

Management of the Institutional TEI Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of June 30, 2011.

 

11


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Supplemental Information

June 30, 2011

(Unaudited)

 

Directors and Officers

The Institutional TEI Fund’s operations are managed under the direction and oversight of the Board. Each Director serves for an indefinite term or until he or she reaches mandatory retirement, if any, as established by the Board. The Board appoints the officers of the Institutional TEI Fund who are responsible for the Institutional TEI Fund’s day-to-day business decisions based on policies set by the Board. The officers serve at the pleasure of the Board.

Compensation for Directors

The Institutional TEI Fund, the Master Fund, The Endowment Institutional Fund, L.P., The Endowment Registered Fund, L.P. and The Endowment TEI Fund, L.P. together pay each of the Directors who is not an “interested person” of the Adviser, as defined in the 1940 Act (the “Independent Directors”) an annual retainer of $42,000, which is paid quarterly, a fee of $5,000 per Board meeting, a fee of $2,500 for any special Board meeting, a fee of $1,250 per interim Board meeting, a fee of $1,250 per each committee meeting to each committee member, and an annual fee of $10,000 for the audit committee chairman, and $7,500 for each other committee chair, each of which is paid quarterly, and an annual fee of $10,000, paid quarterly, to the lead Independent Director. There are currently six Independent Directors. In the interest of retaining Independent Directors of the highest quality, the Board intends to periodically review such compensation and may modify it as the Board deems appropriate.

Allocation of Investments

The following chart indicates the allocation of investments among the asset classes in the Master Fund as of June 30, 2011.

 

Asset Class 1

   Fair Value      %  

Arbitrage Strategies

   $ 702,702,578         13.19   

Domestic Equity

     381,894,170         7.17   

Energy

     498,851,638         9.36   

Enhanced Fixed Income

     788,972,688         14.80   

Global Opportunistic

     879,477,352         16.50   

International Equity

     409,702,782         7.69   

Natural Resources

     262,168,136         4.92   

Private Equity

     640,817,585         12.02   

Real Estate

     285,048,097         5.35   

Traditional Fixed Income

     200,640,047         3.76   

Call Options Purchased

     36,868,185         0.69   

Money Market

     242,747,926         4.55   
  

 

 

    

 

 

 

Total Investments

   $ 5,329,891,184         100.00   
  

 

 

    

 

 

 

 

1

The complete list of investments is included in the consolidated Schedule of Investments of the Master Fund, which is included elsewhere in this report.

 

12


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Supplemental Information, continued

June 30, 2011

(Unaudited)

 

Form N-Q Filings

The Institutional TEI Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Institutional TEI Fund’s Form N-Q is available on the Securities and Exchange Commission website at http://www.sec.gov. The Institutional TEI Fund’s Form N-Q may be reviewed and copied at the Securities and Exchange Commission Public Reference Room in Washington, DC and information regarding operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Proxy Voting Policies

A description of the policies and procedures that the Institutional TEI Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-725-9456; and (ii) on the Securities and Exchange Commission website at http://www.sec.gov. Information regarding how the Institutional TEI 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 1-800-725-9456; and (ii) on the Securities and Exchange Commission website at http://www.sec.gov.

Additional Information

The Institutional TEI Fund’s private placement memorandum (the “PPM”) includes additional information about Directors of the Institutional TEI Fund. The PPM is available, without charge, upon request by calling 1-800-725-9456.

Board Consideration of the Investment Management Agreement

At an in-person meeting of the Board held on January 18, 2011, the Board, including the Directors who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), considered and approved the continuation of the Investment Management Agreement (the “Advisory Agreement”) between the Master Fund and the Adviser. In preparation for review of this agreement, the Board requested the Adviser to provide detailed information which the Board determined to be reasonably necessary to evaluate the agreement. On January 10, 2011, the Independent Directors met in-person among themselves to review and discuss aspects of the materials, initially with, and later without, representatives of the Adviser being present. At the request of the Independent Directors, on January 10, 2011 and again during the January 18, 2011 meeting, representatives of the Adviser made extensive presentations regarding the materials and responded to questions from the Independent Directors relating to, among other things, portfolio management, the Adviser’s staffing and training program, Master Fund and Adviser compliance programs, Master Fund performance including benchmarks and comparisons to other funds, Master Fund fee levels, and the Adviser’s profitability and any economies of scale. Further, the Board, including the Independent Directors, took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board meetings, as well as the information specifically prepared in connection with the renewal process. The Independent Directors were assisted at all times by independent counsel.

Following the Board’s review, the Board concluded that the Advisory Agreement continues to enable the Fund’s partners to obtain high quality services at a cost that is appropriate, reasonable, and in the interests of investors. The Board’s decision to renew the Advisory Agreement was not based on any single factor, but rather

 

13


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Supplemental Information, continued

June 30, 2011

(Unaudited)

 

was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. Upon consideration of these and other factors, the Board determined:

The nature, extent and quality of the advisory services provided. With respect to the Advisory Agreement, the Board considered: the background and experience of key investment personnel and the Adviser’s ability to retain them; the Adviser’s focus on analysis of complex asset categories; the Adviser’s disciplined investment approach and commitment to investment principles; the Adviser’s significant investment in and commitment to personnel, including additional hiring and extensive training; the Adviser’s significant compliance and tax reporting efforts, and oversight of sales; and, the Adviser’s oversight of and interaction with service providers. The Board concluded that the nature, extent and quality of the management and advisory service provided were appropriate and thus supported a decision to renew the Advisory Agreement. The Board also concluded that the Adviser would be able to provide during the coming year the same quality of investment management and related services as provided in the past, that these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape and investor needs.

The investment performance of the Funds. The Board evaluated the comparative information provided by the Adviser regarding the Fund’s investment performance, information on the performance of other investment funds and various indices, including the relevance of various indices. The Board also considered the various performance reports received throughout the year. The Board concluded that the Fund’s investment performance for the period met conveyed expectations regarding performance in a context of highly volatile equity markets and was in keeping with long-term investment expectations. On the basis of the Directors’ assessment, the Directors concluded that the Adviser was capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objective, policies and strategies and fully competitive with comparable funds.

The cost of advisory service provided and the level of profitability. In analyzing the cost of services and profitability of the Adviser, the Board considered the revenues earned and expenses incurred by the Adviser. The Board took into account the significant investment by and cost to the Adviser in additional personnel and service infrastructure to support the Fund and its investors. On the basis of the Board’s review of the fees to be charged by the Adviser for investment advisory and related services, the unique nature of the Fund’s investment program, the Adviser’s financial information, and the costs associated with managing the Fund, the Board concluded that the level of investment management fees and the profitability is appropriate in light of the services provided, the management fees and overall expense ratios of comparable investment companies, and the anticipated profitability of the relationship between the Fund and the Adviser.

The extent to which economies of scale would be realized as the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund investors. While noting that the management fees will not decrease as the level of Fund assets increase, the Board concluded that the management fees reflect the Fund’s complex operations, the current economic environment for the Adviser, including its continued investment relating to support and monitoring of the Fund, investment decision-making, and the competitive nature of the investment company market as relevant to the Fund. The Board noted that as the Fund grew the need for investor support and in particular infrastructure and tax reporting grew. The Board noted cost reductions in certain service provider agreements. The Board noted that it will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, as well as the appropriateness of management fees payable to the Adviser, in the future.

 

14


THE ENDOWMENT INSTITUTIONAL TEI FUND W, L.P.

(A Limited Partnership)

Supplemental Information, continued

June 30, 2011

(Unaudited)

 

Benefits (such as soft dollars) to the Adviser from its relationship with the Fund. The Board concluded that other benefits derived by the Adviser from its relationship with the Fund, to the extent such benefits are identifiable or determinable, are reasonable and fair, result from the provision of appropriate services to the Fund and investors therein, and are consistent with industry practice and the best interests of the Fund and its partners. In this regard, the Board noted that the Adviser does not realize “soft dollar” benefits from its relationship with the Fund.

Other considerations. The Board determined that the Adviser has made a continuing and substantial commitment both to the recruitment and retention of high quality personnel, monitoring and investment decision-making and provision of investor service, and maintained and expanded the financial, compliance and operational resources reasonably necessary to manage the Fund in a professional manner that is consistent with the best interests of the Fund and its partners. The Directors also concluded that the Adviser continues to make a significant entrepreneurial commitment to the management and success of the Fund. The Board, in reaching its determination to renew the Advisory Agreements, noted its awareness that partners in the Funds have a range of investment choices available to them, including choices among funds offered by the Adviser’s competitors, and that the Funds’ partners, with the opportunity to review and weigh the disclosure provided by the Funds, have chosen to invest in the Funds managed by the Adviser.

 

15


the

ENDOWMENT FUND

The Endowment Master Fund, L.P.

Shareholders’ Report

June 30, 2011

(Unaudited)

 

16


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Statement of Assets, Liabilities and Partners’ Capital

June 30, 2011

(Unaudited)

 

Assets

  

Investments in Investment Funds, at estimated fair value (cost $1,537,786,610)

   $ 1,760,197,715   

Investments in affiliated Investment Funds, at estimated fair value (cost $2,284,574,696)

     2,690,260,165   

Investments in securities, at fair value (cost $792,999,665)

     879,433,304   
  

 

 

 

Total investments

     5,329,891,184   

Cash and cash equivalents

     14,028,501   

Advanced contributions to Investment Funds

     53,929   

Interest and dividends receivable

     858,013   

Dividends receivable from affiliated investments

     265,361   

Receivable from investments sold

     120,561,064   

Prepaids and other assets

     383,438   
  

 

 

 

Total assets

     5,466,041,490   
  

 

 

 

Liabilities and Partners’ Capital

  

Contributions received in advance

     25,021,019   

Withdrawals payable

     364,759,066   

Investment Management Fees payable

     13,583,490   

Offshore withholding tax payable

     5,626,589   

Administration fees payable

     464,839   

Payable to Adviser

     30,635   

Payable to Directors

     121,750   

Accounts payable and accrued expenses

     1,718,148   
  

 

 

 

Total liabilities

     411,325,536   
  

 

 

 

Partners’ capital

     5,054,715,954   
  

 

 

 

Total liabilities and partners’ capital

   $ 5,466,041,490   
  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

17


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments

June 30, 2011

(Unaudited)

 

     Shares      Fair
Value
     % of
Partners’
Capital
        
        
        
        

Investments in Investment Funds

        

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies

        

Cayman Islands

        

Arbitrage Strategies (0.04% of Partners’ Capital)

        

Montrica Global Opportunities Fund, L.P.

     35,876       $ 2,015,804      

Energy (1.14% of Partners’ Capital)

        

BlueGold Global Fund, L.P.

        57,423,111      

Enhanced Fixed Income (0.28% of Partners’ Capital)

        

Anchorage Capital Partners Offshore, Ltd. (Class D)

     12,986         14,195,736      

International Equity (2.06% of Partners’ Capital)

        

Algebris Global Financials Fund, L.P. (Class F)

        44,190,029      

S.R. Global Fund—Emerging Markets Portfolio
(Class G, L.P.)

        60,104,168      

Natural Resources (0.49% of Partners’ Capital)

        

Sentient Global Resources Fund III, L.P.

        24,043,169      

Sentient Global Resources Fund IV, L.P.

        1,003,400      

Private Equity (5.98% of Partners’ Capital)

        

ABRY Advanced Securities Fund, L.P.(1)

        22,902,347      

Carlyle Japan International Partners II, L.P.

        1,240,204      

CX Partners Fund Limited(1)(2)

        8,822,603      

Gavea Investment Fund II A, L.P.

        4,526,282      

Gavea Investment Fund III, L.P.

        73,848,588      

Hillcrest Fund, L.P.(1)(3)

        10,649,361      

Hony Capital Fund 2008, L.P.

        17,100,000      

India Asset Recovery Fund, L.P.(1)

        358,097      

J.C. Flowers III, L.P.

        6,918,590      

LC Fund IV, L.P.(1)(2)

        15,337,080      

New Horizon Capital III, L.P.(1)(2)

        19,249,459      

Northstar Equity Partners III Limited

        555,946      

Orchid Asia IV, L.P.(1)

        13,720,894      

Reservoir Capital Partners (Cayman), L.P.

        5,967,795      

Tiger Global Private Investment Partners IV, L.P.(1)

        9,448,615      

Tiger Global Private Investment Partners V, L.P.(1)

        23,281,183      

Tiger Global Private Investment Partners VI, L.P.

        7,152,591      

Trustbridge Partners II, L.P.(2)

        30,931,576      

Trustbridge Partners III, L.P.(2)

        30,043,569      

Real Estate (0.86% of Partners’ Capital)

        

Forum European Realty Income III, L.P.(2)

        10,562,704      

Phoenix Asia Real Estate Investments II, L.P.(1)(2)

        14,832,239      

 

See accompanying notes to consolidated financial statements.

 

18


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares      Fair
Value
     % of
Partners’
Capital
        
        

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies (continued)

        

Cayman Islands (continued)

        

Real Estate (0.86% of Partners’ Capital) (continued)

        

Phoenix Real Estate Fund (T) L.P.

      $ 17,999,760      
     

 

 

    

Total Cayman Islands

        548,424,900      
     

 

 

    

Guernsey

        

Private Equity (0.13% of Partners’ Capital)

        

Mid Europa Fund III LP(1)

        6,831,859      
     

 

 

    

Total Guernsey

        6,831,859      
     

 

 

    

Republic of Mauritius

        

International Equity (0.49% of Partners’ Capital)

        

India Capital Fund Ltd.(2)

     450,725         24,532,285      

Real Estate (0.06% of Partners’ Capital)

        

Orbis Real Estate Fund I(1)(2)

        3,284,321      
     

 

 

    

Total Republic of Mauritius

        27,816,606      
     

 

 

    

Scotland

        

Private Equity (0.04% of Partners’ Capital)

        

Actis Umbrella Fund, L.P.(1)

        1,856,055      
     

 

 

    

Total Scotland

        1,856,055      
     

 

 

    

United Kingdom

        

Private Equity (0.24% of Partners’ Capital)

        

Darwin Private Equity I, L.P.

        3,742,645      
        

Exponent Private Equity Partners II, L.P.(1)

        5,503,479      

Sovereign Capital Limited Partnership III(2)

        3,193,517      

Real Estate (0.17% of Partners’ Capital)

        

Benson Elliott Real Estate Partners II, L.P.

        1,973,767      

Patron Capital L.P. II

        1,044,121      

Patron Capital L.P. III

        5,500,731      
     

 

 

    

Total United Kingdom

        20,958,260      
     

 

 

    

United States

        

Arbitrage Strategies (11.65% of Partners’ Capital)

        

Citadel Wellington LLC

        62,120,010      

Eton Park Fund, L.P.

        55,270,231      

Investcorp Silverback Arbitrage Fund, LLC(3)

        16,854,977      

 

See accompanying notes to consolidated financial statements.

 

19


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares    Fair
Value
     % of
Partners’
Capital
        
        
        
        

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies (continued)

        

United States (continued)

        

Arbitrage Strategies (11.65% of Partners’ Capital) (continued)

        

Kenmont Onshore Fund, L.P.(2)

      $ 1,736,337      

King Street Capital, L.P.

        27,918,366      

Magnetar Capital Fund, L.P.

        7,088,677      

Magnetar SPV, LLC (Series L)(3)

        17,828,537      

OZ Asia Domestic Partners, L.P.(1)

        3,416,633      

Paulson Advantage Plus, L.P.

        63,266,415      

Paulson Partners Enhanced, L.P.(2)

        56,507,035      

PIPE Equity Partners, L.L.C.(3)

        29,749,977      

PIPE Select Fund, L.L.C.(3)

        63,980,573      

PSAM WorldArb Partners, L.P.(2)

        35,854,916      

Stark Investments Limited Partnership(1)

        1,571,652      

Stark Select Asset Fund, LLC

        3,558,296      

Waterstone Market Neutral Fund, L.P.(2)

        58,368,128      

Whitebox Multi-Strategy Fund, L.P.(2)

        83,732,147      

Domestic Equity (6.52% of Partners’ Capital)

        

Artis Partners 2X (Institutional), L.P.(2)

        35,277,371      

CCM Small Cap Value Qualified Fund, L.P.(3)

        32,931,713      

Empire Capital Partners Enchanced, L.P.(2)

        23,031,342      

HealthCor, L.P.(2)

        53,452,560      

Ithan Creek Partners, L.P.(2)

        72,963,661      

Samlyn Onshore Fund, L.P.

        66,067,782      

Tiger Consumer Partners, L.P.(2)

        45,984,102      

Energy (7.53% of Partners’ Capital)

        

AL Gulf Coast Terminals, LLC(1)

        8,734,393      

ArcLight Energy Partners Fund IV, L.P.(1)

        9,916,624      

CamCap Resources, L.P.

        504,511      

Chilton Global Natural Resources Partners, L.P.(2)

        76,392,958      

EnCap Energy Capital Fund VII-B, L.P.(1)

        9,134,896      

Encap Energy Infrastructure TE Feeder, L.P.(2)

        4,351,782      

Goldfinch Capital Management, L.P.

        13,143,129      

Intervale Capital Fund, L.P.(1)(2)

        20,839,225      

Merit Energy Partners G, L.P.(1)

        7,248,440      

Midstream & Resources Follow-On Fund, L.P.(1)(2)

        17,083,755      

NGP Energy Technology Partners II, L.P.

        3,600,975      

NGP IX Offshore Fund, L.P.

        25,370,811      

NGP Midstream & Resources, L.P.(1)

        12,513,514      

Quantum Parallel Partners V, L.P.

        873,370      

 

See accompanying notes to consolidated financial statements.

 

20


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares      Fair
Value
     % of
Partners’
Capital
        
        
        

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies (continued)

        

United States (continued)

        

Energy (7.53% of Partners’ Capital) (continued)

        

Southport Energy Plus Partners, L.P.(2)

      $ 76,305,105      

TPF II-A, L.P.(1)

        19,142,064      

Velite Energy, L.P.(2)

        75,336,175      

Enhanced Fixed Income (15.33% of Partners’ Capital)

        

Alden Global Distressed Opportunities Fund, L.P.(2)

        64,666,798      

Ares Enhanced Credit Opportunities Fund, L.P.

        18,893,093      

BDCM Partners I, L.P.(3)

        53,064,450      

Bell Point Credit Opportunities Fund, L.P.(2)

        31,411,260      

Contrarian Capital Fund I, L.P.(2)

        84,828,323      

Courage Special Situations Fund, L.P.(2)

        14,624,681      

Credit Distressed Blue Line Fund, L.P.(3)

        45,773,561      

Fortelus Special Situations Fund, L.P.(2)

        55,597,991      

Halcyon European Structured Opportunities
Fund, L.P.
(3)

        609,099      

Harbinger Capital Partners Fund I, L.P.(3)

        65,399,269      

Harbinger Capital Partners Fund II, L.P.

        6,080,297      

Harbinger Capital Partners Special Situations
Fund, L.P.

        10,846,878      

Harbinger Class L Holdings (U.S.), LLC

        363,999      

Harbinger Class LS Holdings (U.S.) Trust

        10,833,443      

Harbinger Class PE Holdings (U.S.) Trust

        4,219,965      

Indaba Capital Partners, L.P.

        30,073,799      

Morgan Rio Capital Fund, L.P.(3)

        22,585,410      

Mudrick Distressed Opportunity Fund L.P.(3)

        25,649,950      

Owl Creek II, L.P.

        24,534,892      

Paulson Credit Opportunities, L.P.

        81,441,576      

Prospect Harbor Credit Partners, L.P.

        8,036,642      

Providence MBS Fund L.P.(2)

        53,696,346      

Q Funding III, L.P.(2)

        14,605,260      

Q4 Funding, L.P.(2)

        46,125,283      

Sorin Fund, L.P.(2)

        814,687      

International Equity (3.96% of Partners’ Capital)

        

Dabroes Investment Fund L.P.(2)

        38,876,017      

Penta Asia Domestic Partners, L.P.

        11,004,145      

Skopos Fund, LLC(2)

     223,783         41,882,594      

Steel Partners Japan Strategic Fund, L.P.

        1,900,111      

 

See accompanying notes to consolidated financial statements.

 

21


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares      Fair
Value
    % of
Partners’
Capital
       
       
       

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies (continued)

       

United States (continued)

       

International Equity (3.96% of Partners’ Capital) (continued)

       

TAEF Fund, LLC(2)

      $ 57,392,091     

Tiger Asia Fund, L.P.

        20,496,528     

Value Partners Hedge Fund LLC

        28,821,489     

Natural Resources (0.00% of Partners’ Capital)

       

Tocqueville Gold Partners, L.P.

        40,978     

Global Opportunistic (17.40% of Partners’ Capital)

       

All Weather @ 12%, LLC

        36,714,076     

Atlas Global LLC

        26,515,411     

Blue Trend L.P.

        35,030,652     

Bridgewater Pure Alpha Major Markets Il, LLC(2)

        37,525,080     

Corriente Partners, L.P.(2)

        27,488,971     

Corriente China Opportunity Partners, L.P.(2)

        6,946,105     

Corriente China Opportunity Partners II, L.P.(3)

        15,186,009     

Covepoint Emerging Markets Macro Fund, L.P.(2)

        93,274,496     

EDF-MI Onshore, L.P.(3)

        92,930,862     

European Divergence Fund, L.P.(2)

        11,566,626     

Global Undervalued Securities Fund (QP), L.P.

        51,972,908     

Hayman Capital Partners, L.P.(2)

        40,475,459     

Japan Macro Opportunity Partners, L.P.(3)

        15,885,358     

Passport II, L.P.(2)

        79,031,506     

Salem Global Opportunity Fund, L.P.(2)

        36,246,648     

Senator Global Opportunity Fund L.P.

        36,964,356     

Tiger Global, L.P.

        67,701,164     

Valiant Capital Partners, L.P.(2)

        132,002,693     

Viking Global Equities, L.P.

        36,018,972     

Private Equity (6.10% of Partners’ Capital)

       

Accel-KKR Capital Partners III, L.P.(2)

        9,051,454     

Advent Latin American Private Equity Fund IV-F, L.P.

        7,287,711     

Advent Latin American Private Equity Fund V-F, L.P.

        (8,014  

Audax Mezzanine Fund II, L.P.(1)

        4,906,776     

Audax Mezzanine Fund III, L.P.

        1,006,792     

BDCM Opportunity Fund II, L.P.(1)

        7,428,870     

Black River Commodity Multi-Strategy Fund, LLC

        1,304,339     

Bonanza Master Fund Ltd, Liquidating Trust(2)

     173         60,340     

Brazos Equity Fund II, L.P.

        1,689,532     

 

See accompanying notes to consolidated financial statements.

 

22


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares      Fair
Value
     % of
Partners’
Capital
        
        
        

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies (continued)

        

United States (continued)

        

Private Equity (6.10% of Partners’ Capital) (continued)

        

Brazos Equity Fund III, L.P.(1)

      $ 4,789,867      

Capital Royalty Partners, L.P.(1)

        1,304,266      

Carlyle Partners V, L.P.(1)

        9,144,561      

Catterton Growth Partners, L.P.(2)

        10,217,436      

Chrysalis Ventures III, L.P.

        1,837,607      

Contrarian Equity Fund, L.P.

        1,418,647      

Crosslink Crossover Fund IV, L.P.

        2,799,495      

Crosslink Crossover Fund V, L.P.

        9,652,080      

Crosslink Crossover Fund VI, L.P.(2)

        16,730,688      

Dace Ventures I, L.P.(2)

        1,904,203      

Encore Consumer Capital Fund, L.P.(1)

        3,437,874      

Fairhaven Capital Partners, L.P.

        3,735,880      

Garrison Opportunity Fund, LLC

        20,479,407      

Garrison Opportunity Fund II, LLC

        4,037,021      

GMO Emerging Illiquid Fund, L.P.

        4,919,727      

HealthCor Partners Fund, L.P.(2)

        3,859,959      

Highland Credit Strategies Liquidation Vehicle Onshore

        3,383,485      

Integral Capital Partners VIII, L.P.(1)(2)

        15,083,269      

L-R Global Partners, L.P.

        410,193      

MatlinPatterson Global Opportunities Partners III, L.P.(1)

        8,687,733      

Middle East North Africa Opportunities Fund, L.P.(1)(3)

     5,089         3,714,985      

Monomoy Capital Partners, L.P.(1)

        4,816,853      

Monomoy Capital Partners II, L.P.

        196,190      

Monsoon India Inflection Fund, L.P.

        547,673      

Monsoon India Inflection Fund 2, L.P.

        1,027,308      

Pine Brook Capital Partners, L.P.(1)

        9,584,395      

Pinto America Growth Fund, L.P.(1)

        1,593,498      

Private Equity Investment Fund IV, L.P.(1)(2)

        6,663,885      

Private Equity Investors Fund V, L.P.(1)(2)

        19,417,620      

Saints Capital VI, L.P.(2)

        14,805,111      

Sanderling Venture Partners VI Co-Investment Fund, L.P.

        1,745,692      

Sanderling Venture Partners VI, L.P.

        1,214,360      

Silver Lake Partners III, L.P.(1)

        5,550,238      

 

See accompanying notes to consolidated financial statements.

 

23


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares    Fair
Value
     % of
Partners’
Capital
 
        
        
        
        
        
        
        

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies (continued)

        

United States (continued)

        

Private Equity (6.10% of Partners’ Capital) (continued)

        

Sterling Capital Partners II, L.P.(1)

      $ 1,893,755      

Sterling Capital Partners III, L.P.

        6,456,887      

Sterling Group Partners II, L.P.

        2,136,520      

Sterling Group Partners III, L.P.

        1,146,203      

Strategic Value Global Opportunities Fund I-A, L.P

        5,550,332      

Tenaya Capital V, LP

        5,371,466      

The Column Group, L.P.

        6,672,341      

The Founders Fund III, L.P.

        4,196,707      

The Raptor Private Holdings, L.P.

        5,124,005      

Trivest Fund IV, L.P.(1)(2)

        10,747,528      

Tuckerbrook SB Global Distressed Fund I, L.P.(2)

        7,734,227      

VCFA Private Equity Partners IV, L.P.(1)

        2,492,458      

VCFA Venture Partners V, L.P.

        6,209,642      

Voyager Capital Fund III, L.P.

        2,145,342      

WestView Capital Partners II, L.P.(2)

        8,842,336      

Real Estate (3.06% of Partners’ Capital)

        

Aslan Realty Partners III, L.L.C.

        420,529      

Cypress Realty VI, L.P.

        6,660,672      

DaVinci Corporate Opportunity Partners, L.P.

        2,252,099      

Florida Real Estate Value Fund, L.P.(1)(2)

        5,967,705      

GTIS Brazil Real Estate Fund (Brazilian Real), L.P.(2)

        19,046,456      

Lone Star Real Estate Fund II (U.S.) L.P.

        240,534      

Monsoon Infrastructure & Realty Co-Invest, L.P.(2)

        13,038,594      

Northwood Real Estate Co-Investors L.P.(1)

        3,023,509      

Northwood Real Estate Partners L.P.(1)

        8,332,943      

Parmenter Realty Fund III, L.P.

        9,080,483      

Parmenter Realty Fund IV, L.P.

        229,007      

Pennybacker II, LP(2)

        132,680      

SBC Latin America Housing US Fund, LP(3)

        291,118      

Square Mile Partners III LP.(1)

        16,482,774      

TCW Special Mortgage Credits Fund II, L.P.

        64,368,278      

Transwestern Mezzanine Realty Partners II, L.L.C.

        359,281      

Transwestern Mezzanine Realty Partners III, L.L.C.(2)

        4,732,656      
     

 

 

    

Total United States

        3,616,509,475      
     

 

 

    

Total Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies

        4,222,397,155         83.53%   
     

 

 

    

 

See accompanying notes to consolidated financial statements.

 

24


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares      Fair
Value
     % of
Partners’
Capital
 
        
        
        
        

Passive Foreign Investment Companies

        

Bermuda Limited Liability Company

        

Private Equity (0.25% of Partners’ Capital)

        

El Tejar Limited

      $ 12,860,000      
     

 

 

    

Total Bermuda Limited Liability Company

        12,860,000      
     

 

 

    

Cayman Companies Limited by Shares, Exempted Companies and Limited Liability Companies

        

Arbitrage Strategies (2.15% of Partners’ Capital)

        

CRC Credit Fund Ltd.(2)

     130,662         49,452,640      

Overseas CAP Partners, Inc.(3)

     39,416         59,027,742      

International Equity (1.59% of Partners’ Capital)

        

EEA Europe Long Short Fund(3)

     231,835         23,897,562      

Quorum Fund Limited

     22,361         1,373,428      

The Russian Prosperity Fund

     1,056,068         55,232,335      

Natural Resources (0.16% of Partners’ Capital)

        

Ospraie Special Opportunities (Offshore), Ltd.

        7,980,138      
     

 

 

    

Total Cayman Companies Limited by Shares, Exempted Companies and Limited Liability Companies

        196,963,845      
     

 

 

    

Total Passive Foreign Investment Companies

        209,823,845         4.15%   
     

 

 

    

Private Corporations

        

United States

        

Real Estate (0.36% of Partners’ Capital)

        

Legacy Partners Realty Fund II, Inc.

        1,454,426      

Legacy Partners Realty Fund III, Inc.

        1,646,893      

Net Lease Private REIT V, Inc.

        1,543,670      

Net Lease Private REIT VI, Inc.(1)

        3,915,893      

Net Lease Private REIT VII, Inc.(1)(2)

        4,837,999      

Net Lease Private REIT VII-A, Inc.(1)(2)

        4,837,999      
     

 

 

    

Total United States

        18,236,880      
     

 

 

    

Total Private Corporations

        18,236,880         0.36%   
     

 

 

    

Total Investments in Investment Funds
(Cost $3,822,361,306)

        4,450,457,880         88.04%   
     

 

 

    

 

See accompanying notes to consolidated financial statements.

 

25


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares*      Fair
Value
     % of
Partners’
Capital
 
        
        
        

Investments in Securities

        

Investments in Registered Investment Companies

        

Exchange Traded Funds

        

United States

        

Energy (1.20% of Partners’ Capital)

        

Oil Service HOLDRs Trust(1)

     400,900       $ 60,936,800      

Natural Resources (3.42% of Partners’ Capital)

        

Market Vectors Coal ETF

     209,525         9,941,961      

Market Vectors Gold Miners ETF(1)

     1,204,162         65,735,204      

SPDR Gold

     663,956         96,924,297      

Traditional Fixed Income (2.59% of Partners’ Capital)

        

iShares Barclays 20+ Year Treasury Bond Fund(1)

     1,388,996         130,704,523      
     

 

 

    

Total United States

        364,242,785      
     

 

 

    

Total Exchange Traded Funds

        364,242,785         7.21%   
     

 

 

    

Open End Funds

        

United States

        

Domestic Equity (1.03% of Partners’ Capital)

        

GMO Quality Fund III

     2,436,304         52,185,639      

Traditional Fixed Income (0.10% of Partners’ Capital)

        

Wasatch Hoisington US Treasury Fund(1)

     385,370         5,345,080      

Natural Resources (1.12% of Partners’ Capital)

        

The Tocqueville Gold Fund

     691,373         56,498,989      

Real Estate (1.13% of Partners’ Capital)

        

Cohen & Steers International Realty Fund(1)

     1,890,283         21,171,173      

Doubleline Total Return Bond I(1)

     3,253,008         35,783,083      
     

 

 

    

Total United States

        170,983,964      
     

 

 

    

Total Open End Funds

        170,983,964         3.38%   
     

 

 

    

Money Market Fund

        

United States

        

J.P. Morgan 100% U.S. Treasury Securities Money Market Fund(1)

     242,747,926         242,747,926      
     

 

 

    

Total Money Market Fund

        242,747,926         4.80%   
     

 

 

    

Total Investments in Registered Investment Companies

        777,974,675         15.39%   
     

 

 

    

 

See accompanying notes to consolidated financial statements.

 

26


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares*      Fair
Value
     % of
Partners’
Capital
 
        
        
        

Investments in U.S. Government Debt Obligations

        

United States

        

U.S. Treasury Bond, 4.375%, 02/15/38(1)

     5,400,000       $ 5,435,435      

U.S. Treasury Bond, 4.375%, 11/15/39(1)

     5,400,000         5,402,533      

U.S. Treasury Bond, 4.375%, 05/15/40(1)

     5,400,000         5,396,652      

U.S. Treasury Bond, 4.50%, 02/15/36(1)

     5,300,000         5,477,221      

U.S. Treasury Bond, 4.50%, 05/15/38(1)

     5,300,000         5,440,779      

U.S. Treasury Bond, 4.50%, 08/15/39(1)

     5,300,000         5,419,250      

U.S. Treasury Bond, 4.625%, 02/15/40(1)

     5,200,000         5,421,811      

U.S. Treasury Bond, 4.75%, 02/15/37(1)

     5,000,000         5,349,220      

U.S. Treasury Bond Strip Principal,
4.25%, 05/15/39

     19,300,000         5,215,593      

U.S. Treasury Bond Strip Principal,
4.75%, 02/15/37

     17,100,000         5,226,666      

U.S. Treasury Note, 3.50%, 02/15/39(1)

     6,300,000         5,410,125      

U.S. Treasury Note, 4.25%, 05/15/39(1)

     5,500,000         5,395,159      
     

 

 

    

Total United States

        64,590,444      
     

 

 

    

Total Investments in U.S. Government Debt Obligations

        64,590,444         1.28%   
     

 

 

    

Call Options Purchased

        

United States

        

CMS Capital- 10 Year One Look Cap (OTC)
10 Year USD Swap Rate (Strike Rate 5.50%, Expiration 05/01/19)

     1,079,000,000         11,683,585      

CMS Capital- 10 Year One Look Cap (OTC)
10 Year USD Swap Rate (Strike Rate 5.62%, Expiration 05/02/19)

     714,285,714         7,450,556      

CMS Capital- 10 Year One Look Cap (OTC)
10 Year USD Swap Rate (Strike Rate 6.50%, Expiration 05/01/19)

     1,350,000,000         10,868,737      

CMS Capital- 10 Year One Look Cap (OTC)
10 Year USD Swap Rate (Strike Rate 6.62%, Expiration 05/02/19)

     877,192,983         6,865,307      
     

 

 

    

Total United States

        36,868,185      
     

 

 

    

Total Call Options Purchased

        36,868,185         0.73%   
     

 

 

    

 

See accompanying notes to consolidated financial statements.

 

27


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Schedule of Investments, continued

June 30, 2011

(Unaudited)

 

     Shares*      Fair
Value
     % of
Partners’
Capital
 
        

Investments in Warrants

        

United States

        

Bally Total Fitness Holdings Corp Warrants Exp. Sept. 2014, Strike Price $20.00 USD

     2       $ —        
     

 

 

    

Total United States

        —        
     

 

 

    

Total Warrants

        —           0.00%   
     

 

 

    

Total Investments in Securities (Cost $792,999,665)

        879,433,304         17.40%   
     

 

 

    

Total Investments (Cost $4,615,360,971)

      $ 5,329,891,184         105.44%   
     

 

 

    

The Master Fund’s total outstanding capital commitments to Investment Funds as of June 30, 2011, were $689,643,409. For certain Investment Funds for which the Master Fund has a capital commitment, the Master Fund may be allocated its pro-rata share of expenses prior to having to fund a capital call for such expenses.

All Investment Funds and securities are non-income producing unless noted otherwise.

Refer to Note 5, Investments in Portfolio Securities, for information regarding the liquidity of the Master Fund’s investments.

 

*

Shares, par value or notional amounts are listed for each investment as applicable for that investment type.

(1)

Income producing security

(2)

Affiliated investments

(3)

Affiliated investments for which ownership exceeds 25%

 

See accompanying notes to consolidated financial statements.

 

28


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Statement of Operations

Six Months Ended June 30, 2011

(Unaudited)

 

Investment income:

  

Dividend income (net of foreign tax withholding of $1,630)

   $ 7,879,658   

Interest income

     1,986,609   

Dividend income from affiliated investments

     983,087   

Interest income from affiliated investments

     713,772   
  

 

 

 

Total investment income

     11,563,126   
  

 

 

 

Expenses:

  

Investment Management Fees

     27,306,262   

Administration fees

     1,391,450   

Professional fees

     808,623   

Custodian fees

     240,971   

Directors fees

     237,250   

Offshore withholding tax expense

     2,826,863   

Other expenses

     1,815,779   
  

 

 

 

Total expenses

     34,627,198   
  

 

 

 

Net investment loss

     (23,064,072
  

 

 

 

Net realized and unrealized gain (loss) from investments, affiliated investments, foreign currency transactions and translations, options, options sold not yet purchased and redemptions in-kind:

  

Net realized gain from investments, foreign currency transactions and translations and options

     16,452,227   

Net realized loss from options sold not yet purchased

     (4,376,625

Net realized gain from redemptions in-kind

     2,316,467   

Net realized gain from affiliated investments

     27,933,968   

Change in unrealized appreciation/depreciation from investments, foreign currency transactions and translations, options and options sold not yet purchased

     31,860,980   
  

 

 

 

Net realized and unrealized gain from investments, affiliated investments, foreign currency transactions and translations, options, options sold not yet purchased and redemptions in-kind

     74,187,017   
  

 

 

 

Net increase in partners’ capital resulting from operations

   $ 51,122,945   
  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

29


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Statements of Changes in Partners’ Capital

Year Ended December 31, 2010 and

Six Months Ended June 30, 2011 (Unaudited)

 

Partners’ capital at December 31, 2009

   $ 5,212,610,935   

Contributions

     597,098,981   

Withdrawals

     (950,195,041

Net increase in partners’ capital resulting from operations:

  

Net investment loss

     (44,917,844

Net realized gain from investments, foreign currency transactions and options

     8,493,416   

Net realized gain from redemptions in-kind

     8,387,856   

Net realized gain from affiliated investments

     138,066,498   

Change in unrealized appreciation/depreciation from investments, foreign currency translations and options

     386,240,290   
  

 

 

 

Net increase in partners’ capital resulting from operations

     496,270,216   
  

 

 

 

Partners’ capital at December 31, 2010

     5,355,785,091   
  

 

 

 

Contributions

     277,913,252   

Withdrawals

     (630,105,334

Net increase in partners’ capital resulting from operations:

  

Net investment loss

     (23,064,072

Net realized gain from investments, foreign currency transactions and translations and options

     16,452,227   

Net realized loss from options sold not yet purchased

     (4,376,625

Net realized gain from redemptions in-kind

     2,316,467   

Net realized gain from affiliated investments

     27,933,968   

Change in unrealized appreciation/depreciation from investments, foreign currency transactions and translations, options and options sold not yet purchased

     31,860,980   
  

 

 

 

Net increase in partners’ capital resulting from operations

     51,122,945   
  

 

 

 

Partners’ capital at June 30, 2011

   $ 5,054,715,954   
  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

30


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Consolidated Statement of Cash Flows

Six Months Ended June 30, 2011

(Unaudited)

 

Cash flows from operating activities:

  

Net increase in partners’ capital resulting from operations

   $ 51,122,945   

Adjustments to reconcile net increase in partners’ capital resulting from operations to net cash provided by operating activities:

  

Purchases of investments

     (1,660,298,099

Call options covered

     (290,000

Proceeds from disposition of investments

     1,834,457,734   

Net realized (gain) from investments, foreign currency transactions and translations and options

     (16,452,227

Net realized loss from options sold not yet purchased

     4,376,625   

Net realized (gain) from redemptions in-kind

     (2,316,467

Net realized (gain) from affiliated investments

     (27,933,968

Change in unrealized appreciation/depreciation from investments, foreign currency transactions and translations, options and options sold not yet purchased

     (31,860,980

Decrease in advanced contributions to Investment Funds

     4,268,445   

Decrease in interest and dividends receivable

     451,134   

Decrease in receivable from investments sold

     179,584,896   

Increase in prepaids and other assets

     (218,865

Decrease in Investment Management Fees payable

     (268,900

Increase in offshore withholding tax payable

     1,988,389   

Decrease in administration fees payable

     (1,035

Decrease in payable to Adviser

     (102,433

Decrease in payable to the Offshore TEI Fund

     (71,400

Increase in payable to Directors

     105,697   

Decrease in accounts payable and accrued expenses

     (83,833
  

 

 

 

Net cash provided by operating activities

     336,457,658   
  

 

 

 

Cash flows from financing activities:

  

Contributions

     248,306,891   

Withdrawals

     (604,801,281
  

 

 

 

Net cash used in financing activities

     (356,494,390
  

 

 

 

Net decrease in cash and cash equivalents

     (20,036,732

Cash and cash equivalents at beginning of year

     34,065,233   
  

 

 

 

Cash and cash equivalents at end of year

   $ 14,028,501   
  

 

 

 

Supplemental schedule of cash activity:

  

Cash paid for offshore withholding taxes

   $ 838,474   

Supplemental schedule of noncash activity:

  

Redemptions in-kind (Cost $38,530,832)

   $ 40,847,299   

 

See accompanying notes to consolidated financial statements.

 

31


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements

June 30, 2011

(Unaudited)

 

(1) ORGANIZATION

The Endowment Master Fund, L.P. (the “Master Fund”) is a limited partnership organized under the laws of the state of Delaware. The Master Fund began operations in April 2003. The Master Fund operated as an unregistered investment vehicle until March 10, 2004, at which time it registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Master Fund is the master fund in a master-feeder structure in which there are currently nine feeder funds.

The Endowment Master Fund Holdings GP, LLC (the “Company”), is a wholly-owned limited liability company of the Master Fund. The Company functions as a special purpose entity, which owns a minority interest in AL Gulf Coast Terminals, LLC, an operating company. The financial statements of the Master Fund and the Company are consolidated and thus the consolidated financial statements present the combined investments of the Master Fund and the Company.

The Master Fund’s investment objective is to preserve capital and to generate consistent long-term appreciation and returns across a market cycle (which is estimated to be five to seven years). The Master Fund pursues its investment objective by investing its assets in a variety of investment vehicles including but not limited to limited partnerships, limited liability companies, offshore corporations and other foreign investment vehicles (collectively, the “Investment Funds”), registered investment companies (including exchange traded funds) and direct investments in marketable securities and derivative instruments. The Master Fund is primarily a “fund of funds” and is intended to afford investors the ability to invest in a multi-manager portfolio, exhibiting a variety of investment styles and philosophies, in an attempt to achieve positive risk-adjusted returns over an extended period of time. The Master Fund’s investments are managed by a select group of investment managers identified by Endowment Advisers, L.P. (the “Adviser”) to have investments that when grouped with other investments of the Master Fund result in a portfolio that is allocated more broadly across markets, asset classes, and risk profiles.

The Endowment Fund GP, L.P., a Delaware limited partnership, serves as the general partner of the Master Fund (the “General Partner”). To the fullest extent permitted by applicable law, the General Partner has irrevocably delegated to a board of directors (the “Board” and each member a “Director”) its rights and powers to monitor and oversee the business affairs of the Master Fund, including the complete and exclusive authority to oversee and establish policies regarding the management, conduct, and operation of the Master Fund’s business. A majority of the members of the Board are independent of the General Partner and its management. To the extent permitted by applicable law, the Board may delegate any of its rights, powers and authority to, among others, the officers of the Master Fund, the Adviser, or any committee of the Board.

The Board is authorized to engage an investment adviser and it has selected Endowment Advisers, L.P. (the “Adviser”), to manage the Master Fund’s portfolio and operations, pursuant to an investment management agreement (the “Investment Management Agreement”). The Adviser is a Delaware limited partnership that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended. Under the Investment Management Agreement, the Adviser is responsible for the establishment of an investment committee, which is responsible for developing, implementing, and supervising the Master Fund’s investment program subject to the ultimate supervision of the Board.

Under the Master Fund’s organizational documents, the Master Fund’s officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Master Fund. In the

 

32


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

normal course of business, the Master Fund enters into contracts with service providers, which also provide for indemnifications by the Master Fund. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve any future potential claims that may be made against the Master Fund. However, based on experience, the General Partner expects that risk of loss to be remote.

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PRACTICES

(a) BASIS OF ACCOUNTING

The accounting and reporting policies of the Master Fund conform with U.S. generally accepted accounting principles (“GAAP”).

The consolidated financial statements include the accounts of the Master Fund and its subsidiary, the Company. All significant intercompany accounts and transactions have been eliminated in consolidation.

(b) CASH EQUIVALENTS

The Master Fund considers all unpledged temporary cash investments with a maturity date at the time of purchase of three months or less to be cash equivalents.

(c) INVESTMENT SECURITIES TRANSACTIONS

The Master Fund records security transactions on a trade-date basis.

Investments that are held by the Master Fund, including those that have been sold but not yet purchased, are marked to fair value at the reporting date of the financial statements, and the corresponding change in unrealized appreciation/(depreciation) is included in the Consolidated Statement of Operations.

In general, distributions received from Investment Funds are accounted for as a reduction to cost and any proceeds received above the allocated cost basis results in a realized gain. Realized gains or losses on the disposition of investments are accounted for based on the first in first out (“FIFO”) method.

(d) VALUATION OF INVESTMENTS

The valuation of the Master Fund’s investments will be determined as of the close of business at the end of each fiscal period, generally monthly. The valuation of the Master Fund’s investments is calculated by Citi Fund Services Ohio, Inc., the Master Fund’s independent administrator (the “Independent Administrator”).

The Board has formed a valuation committee (the “Board Valuation Committee”) that is responsible for overseeing the Master Fund’s valuation policies, making recommendations to the Board on valuation-related matters, and overseeing implementation by the Adviser Valuation Committee (as defined below) of the Master Fund’s valuation policies that the Board of the Master Fund has approved for purposes of determining the value of securities held by the Master Fund, including the fair value of the Master Fund’s investments in Investment Funds.

The Board has also authorized the establishment of a valuation committee of the Adviser (the “Adviser Valuation Committee”). The Adviser Valuation Committee’s function, subject to the oversight of the Board

 

33


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

Valuation Committee and the Board, is generally to review the Investment Funds’ valuation methodologies, valuation determinations, and any information provided to the Adviser Valuation Committee by the Adviser or the Independent Administrator.

Investments held by the Master Fund are valued as follows:

 

   

INVESTMENT FUNDS—Investments in Investment Funds are carried at fair value, using the net asset value per share (the “NAV”) as a practical expedient, as provided to the Independent Administrator by the investment managers of such Investment Funds or the administrators of such Investment Funds. These Investment Funds value their underlying investments in accordance with policies established by such Investment Funds. Prior to investing in any Investment Fund, the Adviser Valuation Committee, as part of the due diligence process, conducts a review of the valuation methodologies employed by the Investment Fund to determine whether such methods are appropriate for the asset types. The Master Fund’s valuations utilize the available financial information supplied by each Investment Fund and are net of management and estimated performance incentive fees or allocations payable to the Investment Funds’ managers pursuant to the Investment Funds’ agreements. Generally, Investment Funds in which the Master Fund invests will use market value when available, and otherwise will use principles of fair value applied in good faith. The Adviser Valuation Committee will consider whether it is appropriate, in light of the relevant circumstances, to value interests at net asset value as reported by an Investment Fund for valuation purposes, or whether to adjust such reported value to reflect an adjusted fair value. Because of the inherent uncertainty of valuation, this fair value may differ from the value that would have been used had readily available markets for the investments in Investment Funds existed and such differences may be significant. The Master Fund’s investments in Investment Funds are subject to the terms and conditions of the respective operating agreements and offering memoranda of such Investment Funds.

 

   

SECURITIES LISTED ON A SECURITIES EXCHANGE—Securities listed 1) on one or more of the national securities exchanges or the OTC Bulletin Board are valued at the last reported sales price on the date of determination; and 2) on the Nasdaq Stock Market are valued at the Nasdaq Official Closing Price (“NOCP”), at the close of trading on the primary exchanges or markets where such securities are traded for the business day as of which such value is being determined. If the last reported sales price or the NOCP is not available, the securities are valued at the mean between the “bid” and “ask” prices at the close of trading on that date. Securities traded on a foreign securities exchange will generally be valued at their closing prices on the exchange where such securities are primarily traded and translated into U.S. dollars at the current exchange rate. If an event occurs between the close of the foreign exchange and the valuation date of the Master Fund’s net asset value that would materially affect the value of the security and the net asset value of the Master Fund, the value of such security and the net asset value of the Master Fund will be adjusted to reflect the change in the estimated value of the security.

 

   

OPTIONS—Options that are listed on a securities exchange or traded over-the-counter are valued at the mean between the closing “bid” and “ask” prices for such options on the date of determination.

 

   

SECURITIES NOT ACTIVELY TRADED—The value of securities, derivatives or synthetic securities that are not actively traded on an exchange shall be determined by obtaining quotes from brokers that normally deal in such securities or by an unaffiliated pricing service that may use actual trade data or procedures using market indices, matrices, yield curves, specific trading characteristics of certain groups of securities, pricing models or a combination of these procedures.

 

34


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

   

OTHER—Where no value is readily available from an Investment Fund or other security or where a value supplied by an Investment Fund is deemed not to be indicative of the Investment Fund’s value, the Adviser Valuation Committee and/or the Board Valuation Committee, in consultation with the Independent Administrator or the Adviser will determine, in good faith, the fair value of the Investment Fund or security.

 

   

FOREIGN CURRENCY TRANSACTIONS—The accounting records of the Master Fund are maintained in U.S. dollars. Investments of the Master Fund denominated in a foreign currency, if any, are translated into U.S. dollar amounts at current exchange rates on the date of valuation. Purchases and sales of investments and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts at the exchange rate on the respective dates of such transactions. The Master Fund does not isolate the realized or unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the value of investments.

(e) INVESTMENT INCOME

For investments in securities, dividend income is recorded on the ex-dividend date, net of withholding taxes. Interest income is recorded as earned on the accrual basis and includes amortization of premiums or accretion of discounts.

(f) FUND EXPENSES

Unless otherwise voluntarily or contractually assumed by the Adviser or another party, the Master Fund bears all expenses incurred in its business, including, but not limited to, the following: all costs and expenses related to investment transactions and positions for the Master Fund’s account; legal fees; accounting, auditing and tax preparation fees; recordkeeping and custodial fees; costs of computing the Master Fund’s net asset value; fees for data and software providers; research expenses; costs of insurance; registration expenses; offering costs; expenses of meetings of the partners; directors fees; all costs with respect to communications to partners; transfer taxes, offshore withholding taxes and taxes withheld on non-U.S. dividends; interest and commitment fees on loans and debit balances; and other types of expenses as may be approved from time to time by the Board. Offering costs are amortized over a twelve-month period or less from the date they are incurred.

(g) INCOME TAXES

The Master Fund is organized and operates as a limited partnership and is not subject to income taxes as a separate entity. Such taxes are the responsibility of the individual partners. Accordingly, no provision for income taxes has been made in the Master Fund’s financial statements. Investments in foreign securities may result in foreign taxes being withheld by the issuer of such securities. For U.S. offshore withholding tax, the Master Fund may serve as withholding agent for its offshore feeder funds.

The Master Fund has evaluated the tax positions taken or expected to be taken in the course of preparing the Master Fund’s tax returns to determine whether the tax positions will “more-likely-than-not” be sustained by the Master Fund upon challenge by the applicable tax authority. Tax positions not deemed to meet the more-likely than-not threshold and that would result in a tax benefit or expense to the Master Fund would be recorded as a tax benefit or expense in the current period. For the six months ended June 30, 2011, the Master Fund did not recognize any amounts for unrecognized tax benefit/expense. A reconciliation of unrecognized tax benefit/

 

35


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

expense is not provided herein, as the beginning and ending amounts of unrecognized tax benefit/expense are zero, with no interim additions, reductions or settlements. Tax positions taken in tax years which remain open under the statute of limitations (generally three years for federal income tax purposes) are subject to examination by tax authorities.

(h) USE OF ESTIMATES

The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions relating to the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences may be significant.

(i) DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES

The Master Fund may purchase or sell options as part of an asset overlay strategy to create investment exposure consistent with the Master Fund’s investment objectives. During the period, the Master Fund has invested in call and put option contracts to better manage risk related to certain strategies in the Master Fund’s portfolio. During the six months ended June 30, 2011, the Master Fund’s direct investments in derivatives consisted of the purchase and sale of call options. Investment Funds in which the Master Fund invests may purchase and sell derivative securities and other financial instruments.

The following is a summary of the fair value of derivative instruments held directly by the Master Fund as of June 30, 2011, and where such derivatives are recorded:

 

          Asset
Derivatives
     Liability
Derivatives
 

Primary Risk Exposure

  

Consolidated Statement of
Assets and Liabilities

   Total
Fair Value
     Total Fair
Value
 

Options Contracts

        

Interest Rate Exposure:

   Investments in Securities, at fair value    $ 36,868,185       $ —     

The following is a summary of the effect of derivative instruments on the Consolidated Statement of Operations for the six months ended June 30, 2011:

 

Primary Risk Exposure

  

Location of Gain (Loss) from

Derivatives Recognized in Income

   Realized Gain
(Loss) from
Derivatives
Recognized

in Income
     Change in
Unrealized
Appreciation/

Depreciation
from Derivatives
Recognized in
Income
 

Options Contracts

        

Equity and Commodity Exposure:

   Net realized and unrealized gain (loss) from investments, affiliated investments, foreign currency transactions and translations, options and redemptions in-kind    $ 18,682,724       $ —     

 

36


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

Primary Risk Exposure

  

Location of Gain (Loss) from

Derivatives Recognized in Income

   Realized Gain
(Loss) from
Derivatives
Recognized

in Income
    Change in
Unrealized
Appreciation/

Depreciation
from Derivatives
Recognized in
Income
 
   Net realized and unrealized gain (loss) from options sold, not yet purchased      (4,376,625     (69,354

Interest Rate Exposure:

   Net realized and unrealized gain (loss) from investments, affiliated investments, foreign currency transactions and translations, options and redemptions in-kind      —          1,876,175   

Volume of Derivative Activity

The monthly average fair value of options purchased was $41,283,966 for the six months ended June 30, 2011.

Options sold short activity for the six months ended June 30, 2011 was as follows:

 

The Endowment Master Fund, L.P.

  Number of Options Contracts(1)     Amount of Proceeds (Payments)  

Options outstanding at December 31, 2010

    10,000      $ 359,354   

Options sold short

    25,000        1,962,434   

Options expired

    —          —     

Options covered

    (35,000     (2,321,788
 

 

 

   

 

 

 

Options outstanding at June 30, 2011

    —        $ —     
 

 

 

   

 

 

 

 

(1)

Each contract equals 100 shares

(j) RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS” (“ASU 2011-04”), which includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU 2011-04 and its impact on the financial statements.

 

37


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

(3) FAIR VALUE MEASUREMENTS

The Master Fund defines fair value as 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.

The inputs used to determine the fair value of the Master Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1—quoted prices in active markets for identical assets.

 

   

Level 2—investments that can be fully redeemed at the net asset value in the ‘‘near term’’ or other significant observable inputs

 

   

Level 3—investments that cannot be fully redeemed at the net asset value in the ‘‘near term’’; these are investments that generally have one or more of the following characteristics: gated redemptions, suspended redemptions, or have lock-up periods greater than 30 days.

The inputs or methodology used to value investments are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary categorization, as of June 30, 2011, of the Master Fund’s investments based on the level of inputs utilized in determining the value of such investments:

 

     LEVEL 1      LEVEL 2      LEVEL 3      Total
Investments
 

Investments

           

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies

           

Arbitrage Strategies

     —           —         $ 594,222,196       $ 594,222,196   

Domestic Equity

     —           —           329,708,531         329,708,531   

Energy

     —         $ 13,143,129         424,771,709         437,914,838   

Enhanced Fixed Income

     —           —           788,972,688         788,972,688   

International Equity

     —           —           329,199,457         329,199,457   

Natural Resources

     —           —           25,087,547         25,087,547   

Global Opportunistic

     —           72,960,724         806,516,628         879,477,352   

Private Equity

     —           —           627,957,585         627,957,585   

Real Estate

     —           —           209,856,961         209,856,961   

Passive Foreign Investment Companies

           

Arbitrage Strategies

     —           —           108,480,382         108,480,382   

International Equity

     —           79,129,897         1,373,428         80,503,325   

Natural Resources

     —           —           7,980,138         7,980,138   

Private Equity

     —           —           12,860,000         12,860,000   

Private Corporations

           

Real Estate

     —           —           18,236,880         18,236,880   

Investments in Registered Investment Companies

           

Domestic Equity

   $ 52,185,639         —           —           52,185,639   

Energy

     60,936,800         —           —           60,936,800   

Money Market

     242,747,926         —           —           242,747,926   

Natural Resources

     229,100,451         —           —           229,100,451   

Real Estate

     56,954,256         —           —           56,954,256   

Traditional Fixed Income

     136,049,603         —           —           136,049,603   

 

38


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

     LEVEL 1      LEVEL 2      LEVEL 3      Total
Investments
 

Investments (continued)

           

Investments in U.S. Government Debt Obligations

           

Traditional Fixed Income

     —         $ 64,590,444         —         $ 64,590,444   

Call Options Purchased

     —           36,868,185         —           36,868,185   

Investments in Warrants

           

Opportunistic Equity

     —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 777,974,675       $ 266,692,379       $ 4,285,224,130       $ 5,329,891,184   
  

 

 

    

 

 

    

 

 

    

 

 

 

The categorization of investments amongst Levels 1 through 3 does not reflect the fact that many of the underlying investments held by the Investment Funds included in Level 3, if owned directly by the Master Fund, may be classified as Level 1 investments.

The Master Fund discloses significant transfers between levels based on valuations at the end of the reporting period. There were no significant transfers between Level 1, 2 or 3 as of June 30, 2011, based on levels assigned to Investment Funds on December 31, 2010.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

    Investments  
    Balance as of
December 31,
2010
     Transfers
In (Out)
In-Kind
     Gross
Purchases
     Gross
(Sales)**
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Balance as of
June 30,
2011
 

Investments *

                

Limited Partnerships, Exempted Limited Partnerships and Limited Liability Companies

                

Arbitrage Strategies

  $ 699,855,009       $ —         $ —         $ (112,645,671   $ 17,553,802      $ (10,540,944   $ 594,222,196   

Domestic Equity

    373,969,076         —           10,000,000         (58,672,541     (528,538     4,940,534        329,708,531   

Energy

    411,209,259         —           22,623,113         (10,549,207     3,465,083        (1,976,539     424,771,709   

Enhanced Fixed Income

    738,016,142         —           103,433,623         (80,884,884     9,157,238        19,250,569        788,972,688   

Global Opportunistic

    886,440,880         —           66,010,385         (124,890,096     4,502,324        (25,546,865     806,516,628   

Global Opportunities

    12,068,472         —           —           (12,068,472     (2,666,157     2,666,157        —     

International Equity

    355,184,810         —           50,000,000         (69,349,846     (8,110,967     1,475,460        329,199,457   

Natural Resources

    23,678,525         —           3,275,766         (1,523,480     1,114,650        (1,457,914     25,087,547   

Private Equity

    548,865,007         —           88,232,591         (44,886,864     11,242,806        24,504,045        627,957,585   

Real Estate

    214,740,302         —           26,831,338         (38,319,172     2,606,132        3,998,361        209,856,961   

 

39


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

     Investments (continued)  
     Balance as of
December 31,
2010
     Transfers
In (Out)
In-Kind
     Gross
Purchases
     Gross
(Sales)**
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Balance as of
June 30,

2011
 

Passive Foreign Investment Companies

                 

Arbitrage Strategies

   $ 116,184,882       $ —         $ —         $ (14,054,465   $ (341,612   $ 6,691,577      $ 108,480,382   

International Equity

     1,398,702         —           —           —          —          (25,274     1,373,428   

Natural Resources

     8,904,194         —           —           (1,478,654     233,469        321,129        7,980,138   

Private Equity

     12,860,000         —           —           —          —          —          12,860,000   

Private Corporations

                 

Real Estate

     19,829,510         —           —           (33,900     —          (1,558,730     18,236,880   
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

   $ 4,423,204,770       $ —         $ 370,406,816       $ (569,357,252   $ 38,228,230      $ 22,741,566      $ 4,285,224,130   
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Investment category names may not match the December 31, 2010 audited financial statements due to categorical changes from the Investment Committee. These changes are assumed to have been made on January 1, 2011.

**

Includes Return of Capital and Capital Gain Distributions.

The net realized gain (loss) and change in unrealized appreciation/(depreciation) in the table above are reflected in the accompanying Consolidated Statement of Operations. The change in unrealized appreciation/(depreciation) from Level 3 investments held at June 30, 2011, for the six months ended, is $24,159,504.

The Master Fund is permitted to invest in alternative investments that do not have a readily determinable fair value, and as such, has elected to use the NAV as calculated on the reporting entity’s measurement date as the fair value of the investment. The Master Fund measures the fair value of an investment that does not have a readily determinable fair value, based on the NAV reported by the Investment Fund as a practical expedient, without further adjustment, unless it is probable that the investment will be sold at a value significantly different than the NAV. If the practical expedient NAV is not as of the reporting entity’s measurement date, then the NAV is adjusted to reflect any significant events that would materially affect the value of the security and the NAV of the Master Fund as of the valuation date. A listing of the investments held by the Master Fund and their attributes as of June 30, 2011, that may qualify for this valuation approach are shown in the table below.

Certain Investment Funds in which the Master Fund invests have limitations on liquidity which may result in limitations on redemptions including, but not limited to, early redemption fees. Other than Investment Funds that are self-liquidating, such as Private Equity and some Energy, Natural Resources and Real Estate Funds, the Investment Funds in which the Master Fund invests have withdrawal rights ranging from monthly to annually after a maximum of a two year lock up period from the date of the initial investment.

 

40


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

Investment Category  

Investment

Strategy

  Fair Value
(in 000’s)
  Unfunded
Commitments
(in 000’s)
  Remaining
Life*
  Redemption
Frequency*
  Notice
Period
(in Days)*
    Redemption
Restrictions
and Terms*

Arbitrage Strategies(a)

  Investments in a variety of securities with the intent of profiting from relative changes in the price of a set of securities, currencies or commodities.   $702,702   N/A   N/A   Quarterly - Semi-Annually     30-90     

0-2 years;

up to 9% redemption fee

Domestic Equity(b)

  Investments in equity securities issued by U.S. companies.   329,709   N/A   N/A   Quarterly - Annually     45-120     

0-3 years;

up to 7% redemption fee

Energy(c)

  Investments in securities issued by companies in the energy sector.   437,915   128,159   up to 15 years   Monthly - Quarterly     30-90     

0-15 years;

up to 5% redemption fee

Enhanced Fixed Income(d)

  Investments in non-traditional fixed income securities.   788,973   N/A   N/A  

Monthly -

Rolling 3 years

    30-120     

0-3 years;

up to 6% redemption fee

International Equity(e)

  Investments in equity securities issued by foreign companies.   409,703   N/A   N/A   Weekly - Semi-Annually     7-90     

0-3 years;

up to 5% redemption fee

Natural Resources(f)

  Investments with exposure to non-energy natural resources.   33,068   17,676   up to 10 years   N/A     N/A      0-10 years;

Global Opportunistic(g)

  Investments in a variety of global markets across all security types.   879,477   N/A   N/A   Monthly - Annually     3-90     

0-4 years;

up to 5 % redemption fee

Private Equity(h)

  Investments in nonpublic companies.   640,817   413,721   up to 10 years   Semi-Annually - Rolling 3 years     60-90     

0-10 years;

up to 6% redemption fee

Real Estate(i)

  Investments in REIT’s, private partnerships, and various real estate related mortgage securities.   228,094   130,087   up to 10 years   N/A     N/A     

0-10 years;

up to 3% redemption fee

    $4,450,458   $689,643        

 

*

The information summarized in the table above represents the general terms for the specified asset class. Individual Investment Funds may have terms that are more or less restrictive than those terms indicated for the asset class as a whole. In addition, most Investment Funds have the flexibility, as provided for in their constituent documents, to modify and waive such terms. The Fund’s investments reflect their estimated fair value, which for marketable securities would generally be the last sales price on the primary exchange for such security and for Investment Funds, would generally be the net asset value as provided by the fund or its administrator.

(a)

This category includes Investment Funds that invest using two primary Styles (Event-Driven and Relative Value). Event-Driven strategies typically will include investments in common and preferred equities and various types of debt (often based on the probability that a particular event will occur). These may include distressed or Special Situations investments (securities of companies that are experiencing difficult business situations). Relative Value strategies may include long and short positions in common and preferred equity, convertible securities, and various forms of senior and junior (typically unsecured) debt. Investments under this style may also include index options, options on futures contracts, and other derivatives.

(b)

This category includes Investment Funds that invest primarily in publicly-traded equity securities issued by U.S. companies. These securities will typically trade on one of the major U.S. stock exchanges. Investment Funds in this category may include long/short funds, mutual funds and exchange-traded funds.

(c)

This category includes Investment Funds that invest primarily in publicly-traded securities issued by companies in the energy sector, private investments in energy-related assets or companies, and futures in

 

41


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

 

energy commodity markets. The Investment Funds include private funds which may hold long/ short equities, commodity trading advisors (“CTAs”) trading contracts on energy related commodities, mutual funds or exchange-traded funds, and private partnerships with private investments in their portfolios. The estimated remaining life of the private investments in this asset class is greater than six years.

(d)

This category includes Investment Funds that invest primarily in the following sectors: secured leveraged loans, high yield bonds, distressed debt, structured credit, and global debt (typically less efficient areas of the global fixed income markets than traditional fixed income strategies). Generally these sectors may be heavily weighted to certain industries such as telecom and technology with lower credit rating ranges (including leveraged buyouts), may include distressed debt strategies and may include restricted securities and securities that may not be registered for which a market may not be readily available.

(e)

This category includes Investment Funds that invest primarily in publicly-traded equity securities issued by foreign companies or securities issued on U.S. stock exchanges that represent ownership of a foreign corporation. Investment Funds in this category may include long/ short funds, mutual funds, and exchange-traded funds.

(f)

This category includes Investment Funds that invest primarily in assets with exposure to non-energy natural resources, including gold and other precious metals, industrial metals, and agricultural commodities. The Investment Funds may include private funds invested in long/ short equities; CTA’s trading contracts on agricultural commodities, mutual funds and exchange-traded funds, and private partnerships with private investments in their portfolios. The estimated remaining life of the private investments in this asset class is greater than six years.

(g)

This category includes Investment Funds that invest in global markets and across all security types including equities, fixed income, derivatives, commodities, currencies, futures, and exchange-traded funds. Investment Funds in this category are typically private funds and may include global long/short equity funds, global macro funds, and CTA’s.

(h)

This category includes private equity funds that invest primarily in non-publicly traded companies in need of capital. These Investment Funds may vary widely as to sector, size, stage, duration, and liquidity. Certain of these Investment Funds may also focus on the secondary market, buying interests in existing private equity funds, often at a discount. The majority of the investments in this asset class have an estimated remaining life of greater than six years.

(i)

This category includes Investment Funds that invest in registered investment companies or managers that invest in real estate trusts (commonly known as “REITs”) and private partnerships that make investments in income producing properties, raw land held for development or appreciation, and various types of mortgage loans and common or preferred stock whose operations involve real estate. The private investments in this asset class have an estimated remaining life of greater than six years.

(4) PARTNERS’ CAPITAL ACCOUNTS

(a) ISSUANCE OF INTERESTS

Upon receipt from an eligible investor of an initial or additional application for interests (the “Interests”), which will generally be accepted as of the first day of each month, the Master Fund will issue new Interests. The Interests have not been registered under the Securities Act, or the securities laws of any state. The Master Fund issues Interests only in private placement transactions in accordance with Regulation D or other applicable

 

42


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

exemptions under the Securities Act. No public market exists for the Interests, and none is expected to develop. The Master Fund is not required, and does not intend, to hold annual meetings of its partners. The Interests are subject to substantial restrictions on transferability and resale and may not be transferred or resold except as permitted under the Master Fund’s limited partnership agreement.

The Master Fund reserves the right to reject any applications for subscription of Interests. The $25,021,019 in contributions received in advance as of June 30, 2011, represents subscriptions for Master Fund Interests received prior to the July 2011 closing.

(b) ALLOCATION OF PROFITS AND LOSSES

For each fiscal period, generally monthly, net profits or net losses of the Master Fund are allocated among and credited to or debited against the capital accounts of all partners as of the last day of each fiscal period in accordance with the partners’ respective capital account ownership percentage for the fiscal period. Net profits or net losses are measured as the net change in the value of the partners’ capital of the Master Fund, including any change in unrealized appreciation or depreciation of investments and income, net of expenses, and realized gains or losses during a fiscal period. Net profits or net losses are allocated after giving effect for any initial or additional applications for Interests, which generally occur at the beginning of the month, or any repurchases of Interests.

(c) REPURCHASE OF INTERESTS

A partner will not be eligible to have the Master Fund repurchase all or any portion of an Interest at the partner’s discretion at any time. However, the Adviser expects that it will recommend to the Board that the Master Fund offer to repurchase Interests each calendar quarter, pursuant to written tenders by partners.

The Board retains the sole discretion to accept or reject the recommendation of the Adviser and to determine the amount of Interests, if any, that will be purchased in any tender offer that it does approve. In the event Interests are repurchased, there will be a substantial period of time between the date as of which partners must accept the Master Fund’s offer to repurchase their Interests and the date they can expect to receive payment for their Interests from the Master Fund.

(5) INVESTMENTS IN PORTFOLIO SECURITIES

(a) INVESTMENT ACTIVITY

As of June 30, 2011, the Master Fund held investments in Investment Funds and securities. The $53,929 in advanced contributions to Investment Funds as of June 30, 2011, represents funding of a portion of the July 2011 investments in such funds. The agreements related to investments in Investment Funds provide for compensation to the Investment Funds’ managers/general partners or advisers in the form of management fees of up to 2.5% annually of monthly average net assets. In addition, many Investment Funds also provide for performance incentive fees/allocations of up to 25% of an Investment Fund’s net profits, although it is possible that such ranges may be exceeded for certain investment managers. These management fees and incentive fees are in addition to the management fees charged by the Master Fund.

For the six months ended June 30, 2011, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were $658,854,006 and $928,471,063, respectively.

 

43


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

The cost of the Master Fund’s underlying investments for Federal income tax purposes is adjusted for items of taxable income allocated to the Master Fund from such investments. The allocated taxable income is generally reported to the Master Fund by its underlying investments on Schedules K-1, Forms 1099 or PFIC statements, or a combination thereof.

The underlying investments generally do not provide the Master Fund with tax reporting information until well after year end and as a result, the Master Fund is unable to calculate the year end tax cost of its investments until well after year end. The Master Fund’s book cost as of June 30, 2011, was $4,615,360,971 resulting in accumulated net unrealized appreciation of $714,530,213 consisting of $954,231,242 in gross unrealized appreciation and $239,701,029 in gross unrealized depreciation.

During the six months ended June 30, 2011, investments in BDCM Partners I, L.P., were received through a transfer in-kind in connection with the redemption of certain investments. The fair value of these investments transferred-in-kind, related costs and realized gains were $40,847,299, $38,530,832 and $2,316,467, respectively.

In general, most of the Investment Funds in which the Master Fund invests, other than Investment Funds investing primarily in private equity, energy and real estate, provide for periodic redemptions ranging from monthly to annually, after a notice period, with lock-up provisions usually for a period of up to two years from the date of investment. Investment Funds may, depending on the Investment Fund’s governing documents, have the ability to deny or delay a redemption request.

(b) INVESTMENT FUND LIQUIDITY

Certain Investment Funds in which the Master Fund invests have restrictions on liquidity which may result in limitations or restrictions on redemptions including, but not limited to, lock-ups, notice periods and early redemption fees. The Master Fund’s investments are grouped in three categories of liquidity, as determined by the Master Fund. To better manage the Master Fund’s liquidity, the Adviser has also structured the portfolio’s capital into the liquidity categories listed below. The categories and percent of investments in each are as follows at June 30, 2011:

 

Liquidity Categories

     Total Percentage
of Capital
Invested Allowed,
per Category
     Percentage of
Investments,
per Category
    

Category Definition

Category 1 Funds

       65.00      70.33    Securities or Investment Funds that have at least quarterly withdrawal rights after a maximum two-year lock-up period.

Category 2 Funds

       10.00      5.23    Investment Funds that have at least annual withdrawal rights after a maximum three-year lock-up period.

Category 3 Funds

       25.00      24.44    Investment Funds that do not meet the definition of Category 1 or 2 Funds. This may include investments for which redemptions can only occur as the Investment Funds’ assets or investments are liquidated.
    

 

 

    

 

 

    
       100.00      100.00   
    

 

 

    

 

 

    

 

44


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

The expiration or implementation of lock-up periods on Master Fund investments in an Investment Fund could result in such investments moving from one liquidity category to another.

(c) AFFILIATED INVESTMENT FUNDS

At June 30, 2011, the Master Fund’s investments in certain Investment Funds were deemed to be investments in affiliated issuers under the 1940 Act, primarily because the Master Fund owns 5% or more of the Investment Funds’ total net assets. The activity resulting from investments in these funds, including interest and dividend income as well as realized gains and losses, is identified in the Consolidated Statement of Operations as transactions with affiliated investments. A listing of these affiliated Investment Funds (including 2011 activity) is shown below:

 

                      For the Period
1/1/2011 through 6/30/2011
          For the Period
1/1/2011
through
6/30/2011
 
                                  Realized     Change in           Interest/  
    Shares     Shares     Fair Value     Cost of     Cost of     Gain (Loss) on     Appreciation/     Fair Value     Dividend  

Investment Funds

  12/31/2010     6/30/2011     12/31/2010     Purchases     Sales*     Investments     Depreciation     6/30/2011     Income  

Accel-KKR Capital Partners III, L.P.

      $ 8,121,397      $ 1,530,833      $ —        $ —        $ (600,776   $ 9,051,454        —     

Alden Global Distressed Opportunities Fund, L.P.

        64,136,641        —          —          —          530,157        64,666,798        —     

Artis Partners 2X (Institutional), L.P.

        26,733,872        10,000,000        —          —          (1,456,501     35,277,371        —     

BDCM Partners I, L.P.

        66,444,513        40,668,489        (57,434,111     3,225,456        160,103        53,064,450        —     

Bell Point Credit Opportunities Fund, L.P.

        31,256,708        —          —          —          154,552        31,411,260        —     

Benson Elliott Real Estate Partners III, L.P.**

        —          —          —          —          —          —          —     

Bonanza Master Fund Ltd, Liquidating Trust

    675        173        309,717        —          (174,447     (499,136     424,206        60,340        —     

Bridgewater Pure Alpha Major Markets II, LLC

        —          35,000,000        —          —          2,525,080        37,525,080        —     

Catterton Growth Partners, L.P.

        10,080,770        —          —          —          136,666        10,217,436        —     

CCM Small Cap Value Qualified Fund, L.P.

        42,767,059        —          (5,000,000     (7,396,482     2,561,136        32,931,713        —     

Chilton Global Natural Resources Partners, L.P.

        80,132,598        —          —          —          (3,739,640     76,392,958        —     

Contrarian Capital Fund I, L.P.

        81,220,551        —          —          —          3,607,772        84,828,323        —     

Corriente Partners, L.P.

        49,192,405        —          (10,000,000     (4,436,971     (7,266,463     27,488,971        —     

Corriente China Opportunity Partners, L.P.

        7,371,044        —          —          —          (424,939     6,946,105        —     

Corriente China Opportunity Partners II, L.P.

        14,802,701        —          —          —          383,308        15,186,009        —     

Courage Special Situations Fund, L.P.

        14,251,226        —          —          —          373,455        14,624,681        —     

Covepoint Emerging Markets Macro Fund, L.P.

        74,775,801        —          —          —          18,498,695        93,274,496        —     

CRC Credit Fund Ltd.

    134,165        130,662        49,198,662        —          (4,054,465     (1,536,104     5,844,547        49,452,640        —     

Credit Distressed Blue Line Fund, L.P.

        44,340,299        —          —          —          1,433,262        45,773,561        —     

Crosslink Crossover Fund VI, L.P.

        —          11,061,848        —          —          5,668,840        16,730,688        —     

CX Partners Fund Limited

        6,987,076        2,378,461        —          —          (542,934     8,822,603      $ 18,975   

 

45


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

                      For the Period
1/1/2011 through 6/30/2011
          For the Period
1/1/2011
through
6/30/2011
 
                                  Realized     Change in           Interest/  
    Shares     Shares     Fair Value     Cost of     Cost of     Gain (Loss) on     Appreciation/     Fair
Value
    Dividend  

Investment Funds

  12/31/2010     6/30/2011     12/31/2010     Purchases     Sales*     Investments     Depreciation     6/30/2011     Income  

Dabroes Investment Fund L.P.

        41,277,682        —          —          —          (2,401,665     38,876,017        —     

Dace Ventures I, L.P.

        1,760,000        140,497        —          —          3,706        1,904,203        —     

EDF-MI Onshore, L.P.

        119,792,674        7,168,168        —          —          (34,029,980     92,930,862        —     

EEA Europe Long Short Fund

    234,522        231,835        27,929,175        —          —          —          (4,031,613     23,897,562        —     

Empire Capital Partners Enchanced, L.P.

        33,071,813        —          (15,000,000     5,287,605        (328,076     23,031,342        —     

EnCap Energy Infrastructure TE Feeder, L.P.

        2,701,937        951,655        —          —          698,190        4,351,782        —     

European Divergence Fund, L.P.

        19,234,529        —          —          —          (7,667,903     11,566,626        —     

Florida Real Estate Value Fund, LP

        1,906,561        4,173,660        —          —          (112,516     5,967,705        —     

Fortelus Special Situations Fund, L.P.

        55,349,131        —          —          —          248,860        55,597,991        —     

Forum European Realty Income III, L.P.

        5,904,899        4,334,852        —          —          322,953        10,562,704        —     

GTIS Brazil Real Estate Fund (Brazilian Real), L.P.

        14,600,985        2,776,042        —          —          1,669,429        19,046,456        —     

Halcyon European Structured Opportunities Fund, L.P.

        1,458,935        —          (1,358,191     (594,874     1,103,229        609,099        —     

Harbinger Capital Partners Fund I, L.P.

        80,555,334        —          (15,000,000     6,352,316        (6,508,381     65,399,269        —     

Hayman Capital Partners, L.P.

        38,821,181        —          —          —          1,654,278        40,475,459        —     

HealthCor, L.P. ***

        62,913,044        —          (11,737,807     3,575,115        (1,297,792     53,452,560        —     

HealthCor Partners Fund, L.P.

        3,100,674        980,243        (376,706     234,226        (78,478     3,859,959        —     

Hillcrest Fund, L.P.

        6,621,863        4,596,899        (584,702     53,317        (38,016     10,649,361        —     

India Capital Fund Ltd.

    450,725        450,725        27,805,387        —          —          —          (3,273,102     24,532,285        —     

Integral Capital Partners VIII, L.P.

        18,096,818        —          (3,031,336     821,003        (803,216     15,083,269        11,620   

Intervale Capital Fund, L.P.

        13,930,952        795,956        —          —          6,112,317        20,839,225        —     

Investcorp Silverback Arbitrage Fund, LLC

        16,247,702        —          —          —          607,275        16,854,977        —     

Ithan Creek Partners, L.P.

        72,880,452        —          —          —          83,209        72,963,661        —     

Japan Macro Opportunity Partners, L.P.

        24,477,703        —          —          —          (8,592,345     15,885,358        —     

Kenmont Onshore Fund, L.P.

        2,363,211        —          (652,587     (113,636     139,349        1,736,337        —     

LC Fund IV, L.P.

        11,660,081        2,671,817        (854,764     597,318        1,262,628        15,337,080        149,070   

Magnetar SPV, LLC (Series L)

        17,318,435        —          —          (32,854     542,956        17,828,537        —     

Middle East North Africa Opportunities Fund, L.P.

    5,089        5,089        4,167,073        —          —          —          (452,088     3,714,985        219,331   

Midstream & Resources Follow-On Fund L.P.

        13,300,300        3,528,556        —          —          254,899        17,083,755        —     

Monsoon Infrastructure & Realty Co-Invest, L.P.

        9,964,681        3,750,000        (1,162,500     1,162,500        (676,087     13,038,594        —     

Morgan Rio Capital Fund, L.P. ***

        21,706,647        —          —          —          878,763        22,585,410        —     

Mudrick Distressed Opportunity Fund L.P.

        25,294,837        —          —          —          355,113        25,649,950        —     

Net Lease Private REIT VII, Inc

        4,837,999        —          —          —          —          4,837,999        263,903   

Net Lease Private REIT VII-A, Inc

        4,837,999        —          —          —          —          4,837,999        263,903   

New Horizon Capital III, L.P.

        13,946,737        3,361,304        —          —          1,941,418        19,249,459        73,192   

Orbis Real Estate Fund I

        3,270,399        140,868        —          —          (126,946     3,284,321        18,679   

Overseas CAP Partners, Inc.

    45,265        39,416        66,986,220        —          (10,000,000     1,194,492        847,030        59,027,742        —     

 

46


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

                      For the Period
1/1/2011 through 6/30/2011
          For the Period
1/1/2011
through
6/30/2011
 
                                  Realized     Change in           Interest/  
    Shares     Shares     Fair Value     Cost of     Cost of     Gain (Loss) on     Appreciation/     Fair Value     Dividend  

Investment Funds

  12/31/2010     6/30/2011     12/31/2010     Purchases     Sales*     Investments     Depreciation     6/30/2011     Income  

Passport II, L.P.

        81,842,227        —          —          —          (2,810,721     79,031,506        —     

Paulson Partners Enhanced, L.P.

        53,268,103        —          —          —          3,238,932        56,507,035        —     

Pennybacker II L.P.

        —          149,347        —          —          (16,667     132,680        —     

Phoenix Asia Real Estate Investments II, L.P.

        14,855,941        1,200,000        (2,851,828     1,332,735        295,391        14,832,239        515,995   

PIPE Equity Partners, L.L.C.

        32,526,884        —          (581,635     (318,733     (1,876,539     29,749,977        —     

PIPE Select Fund, L.L.C.

        71,810,149        —          (7,196,235     1,144,912        (1,778,253     63,980,573        —     

Private Equity Investment Fund IV, L.P.

        6,423,557        125,014        (469,743     333,054        252,003        6,663,885        11,996   

Private Equity Investors Fund V, L.P.

        11,605,224        7,004,552        (1,396,897     2,356        2,202,385        19,417,620        69,956   

Providence MBS Fund L.P.

        25,487,951        20,000,000        —          —          8,208,395        53,696,346        —     

PSAM WorldArb Partners, L.P.

        44,330,544        —          (10,000,000     1,684,178        (159,806     35,854,916        —     

Q Funding III, L.P.

        16,315,829        —          (2,588,081     423,962        453,550        14,605,260        —     

Q4 Funding, L.P.

        46,036,956        —          (701,977     5,977        784,327        46,125,283        —     

Saints Capital VI, L.P.

        10,563,281        2,419,851        (536,695     256,170        2,102,504        14,805,111        —     

Salem Global Opportunity Fund, L.P.

        38,413,590        —          —          —          (2,166,942     36,246,648        —     

SBC Latin America Housing US Fund L.P.

        —          350,000        —          —          (58,882     291,118        —     

Skopos Fund, LLC

    252,374        223,783        38,641,297        —          —          —          3,241,297        41,882,594        —     

Sorin Fund, L.P.

        1,174,867        —          (614,216     73,825        180,211        814,687        —     

Southport Energy Plus Partners, L.P.

        69,094,370        10,000,000        —          —          (2,789,265     76,305,105        —     

Sovereign Capital Limited Partnership III

        2,065,837        1,282,648        —          —          (154,968     3,193,517        —     

TAEF Fund, LLC

        52,979,946        —          —          —          4,412,145        57,392,091        —     

Tiger Consumer Partners, L.P.

        43,750,691        —          —          —          2,233,411        45,984,102        —     

Transwestern Mezzanine Realty Partners III, L.L.C.

        4,313,581        585,686        (58,569     —          (108,042     4,732,656        73,254   

Trivest Fund IV, L.P.

        12,186,714        2,966,134        (581,969     —          (3,823,351     10,747,528        6,985   

Trustbridge Partners II, L.P.

        29,406,632        —          —          —          1,524,944        30,931,576        —     

Trustbridge Partners III, L.P.

        20,121,563        6,378,064        (1,310,892     —          4,854,834        30,043,569        —     

Tuckerbrook SB Global Distressed Fund I, L.P.

        7,321,520        —          —          —          412,707        7,734,227        —     

Valiant Capital Partners, L.P.

        123,035,124        1,142,217        —          —          7,825,352        132,002,693        —     

Velite Energy, L.P.

        71,531,566        —          —          —          3,804,609        75,336,175        —     

Waterstone Market Neutral Fund, L.P.

        76,244,887        —          (20,000,000     7,090,816        (4,967,575     58,368,128        —     

WestView Capital Partners II, L.P.

        6,714,866        224,924        —          —          1,902,546        8,842,336        —     

Whitebox Multi-Strategy Fund, L.P.

        105,754,583        —          (26,204,296     8,011,425        (3,829,565     83,732,147        —     
     

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
      $ 2,680,035,370      $ 193,838,585      $ (211,514,649 )    $ 27,933,968      $ (33,109 )    $ 2,690,260,165      $ 1,696,859   
     

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Sales include return of capital.

 

47


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

**

Affiliated investment based on capital commitment. No contributions have been made as of June 30, 2011.

***

Voting rights have been waived for these investments.

(6) FINANCIAL INSTRUMENTS WITH OF-BALANCE SHEET RISK

In the normal course of business, the Investment Funds in which the Master Fund invests trade various derivative securities and other financial instruments, and enter into various investment activities with off-balance sheet risk both as an investor and as a principal. The Master Fund’s risk of loss in these Investment Funds is limited to the value of the investment in, or commitment to, such Investment Funds. In addition, the Master Fund may from time to time invest directly in derivative securities or other financial instruments to gain greater or lesser exposure to a particular asset class.

(7) DUE FROM BROKERS

The Master Fund conducts business with brokers for its investment activities. The clearing and depository operations for the investment activities are performed pursuant to agreements with the brokers. The Master Fund is subject to credit risk to the extent any broker with whom the Master Fund conducts business is unable to deliver cash balances or securities, or clear security transactions on the Master Fund’s behalf. The Master Fund monitors the financial condition of the brokers with which the Master Fund conducts business and believes the likelihood of loss under the aforementioned circumstances is remote.

(8) ADMINISTRATION AGREEMENT

In consideration for administrative, accounting, and recordkeeping services, the Master Fund will pay the Independent Administrator a monthly administration fee based on the month end partners’ capital of the Master Fund. The Master Fund is charged, on an annual basis, 6 basis points on partners’ capital of up to $2 billion, 5 basis points on partners’ capital between the amounts of $2 billion and $5 billion, 2 basis points on partners’ capital between the amounts of $5 billion and $15 billion, and 1.25 basis points for amounts over $15 billion. The administration fee is payable monthly in arrears. The Independent Administrator will also provide the Master Fund with legal, compliance, transfer agency, and other investor related services at an additional cost.

The administration fees will be paid out of the Master Fund’s assets, which will decrease the net profits or increase the net losses of the partners in the Master Fund. As of June 30, 2011, the Master Fund had $5,054,715,954 in partners’ capital. The total administration fee incurred for the six months ended June 30, 2011, was $1,391,450.

(9) RELATED PARTY TRANSACTIONS

(a) INVESTMENT MANAGEMENT FEE

In consideration of the advisory and other services provided by the Adviser to the Master Fund pursuant to the Investment Management Agreement, the Master Fund will pay the Adviser an investment management fee (the “Investment Management Fee”), equal to 1.00% on an annualized basis of the Master Fund’s partners’ capital calculated based on the Master Fund’s partners’ capital at the end of each month, payable quarterly in arrears. The Investment Management Fee will decrease the net profits or increase the net losses of the Master Fund that are credited to or debited against the capital accounts of its partners. For the six months ended June 30, 2011, $27,306,262 was incurred for Investment Management Fees.

 

48


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

(b) PLACEMENT AGENTS

The Master Fund may engage one or more placement agents (each, a “Placement Agent”) to solicit investments in the Master Fund. Salient Capital, L.P., an affiliate of the Adviser, is a broker-dealer who has been engaged by the Master Fund to serve as a Placement Agent. A Placement Agent may engage one or more sub-placement agents. The Adviser or its affiliates may pay a fee out of their own resources to Placement Agents and sub-placement agents. As of June 30, 2011, the two largest nonaffiliated sub-placement agents service approximately 85% of the feeder funds assets which are invested in the Master Fund. To the extent that substantial numbers of investors have a relationship with a particular sub-placement agent, such sub-placement agent may have the ability to influence investor behavior, which could affect the Master Fund.

(10) INDEBTEDNESS OF THE FUND

As a fundamental policy, the Master Fund may borrow up to, but not more than, 25% of the partners’ capital of the Master Fund (at the time such borrowings were made and after taking into account the investment and/or deployment of such proceeds) for the purpose of making investments, funding redemptions and for other working capital and general Master Fund purposes. For purposes of the Master Fund’s investment restrictions and certain investment limitations under the 1940 Act, including for example, the Master Fund’s leverage limitations, the Master Fund will not “look through” Investment Funds in which the Master Fund invests. Investment Funds may also use leverage, whether through borrowings, futures, or other derivative products and are not subject to the Master Fund’s investment restrictions. However, such borrowings by Investment Funds are without recourse to the Master Fund and the Master Fund’s risk of loss is limited to its investment in such Investment Funds, other than for some Investment Funds in which the Master Fund has made a capital commitment, for which the risk of loss is limited to the Master Fund’s total capital commitment. For some Investment Funds in which the Master Fund has made a capital commitment that will be funded over a period of time, such as private equity, private energy and real estate funds, the Master Fund, in certain instances, may commit to fund more than its initial capital commitment. The rights of any lenders to the Master Fund to receive payments of interest or repayments of principal will be senior to those of the partners, and the terms of any borrowings may contain provisions that limit certain activities of the Master Fund.

The Master Fund maintains a line of credit agreement (the “Agreement”) with Deutsche Bank Aktiengesellschaft which provides a $500,000,000 credit facility, with available borrowing capacity subject to collateral allocation ratios as defined in the Agreement. Borrowings under the Agreement are secured by the Master Fund’s investments. The Agreement provides for a commitment fee of 1.00% plus interest accruing on any borrowed amounts at the three-month London Interbank Offered Rate (LIBOR) plus a spread of 1.10% per annum, payable quarterly in arrears. There were no borrowings during the six months ended June 30, 2011. The current credit facility agreement expires on September 28, 2016.

 

49


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

(11) FINANCIAL HIGHLIGHTS

 

    Six months ended
June 30, 2011
(Unaudited)
    Year ended
December 31,
2010
    Year ended
December 31,
2009
    Year ended,
December 31,
2008
    Year ended
December 31,
2007
    Year ended
December 31,
2006
 

Net investment loss to average partners’ capital1

    (0.87)     (0.84)%        (0.95)%        (1.19)%        (0.63)%        (0.61)%   

Expenses to average partners’ capital1, 2

    1.30     1.19%        1.20%        1.54%       1.37%        1.24%   

Portfolio turnover

    12.53     26.71%        27.40%        29.19%       4.19%        15.31%   

Total return3

    0.95     9.52%        14.96%        (23.46)%        17.41%        12.37%   

Partners’ capital, end of period (in 000’s)

  $ 5,054,716      $ 5,355,785      $ 5,212,611      $ 4,663,185     $ 3,269,969      $ 1,011,295   

An investor’s return (and operating ratios) may vary from those reflected based on the timing of capital transactions.

 

1

Ratios are calculated by dividing the indicated amount by average partners’ capital measured at the end of each month during the period. These ratios have been annualized for periods less than twelve months.

2

Expense ratios do not include expenses of acquired funds that are paid indirectly by the Master Fund as a result of its ownership in the underlying funds. Expenses include U.S. offshore withholding tax, which is only allocable to investors investing through the offshore feeder funds.

3

Calculated as geometrically linked monthly returns for each month in the period. Total returns are not annualized for periods less than twelve months.

(12) SUBSEQUENT EVENTS

The Master Fund accepts initial or additional applications for Interests generally as of the first day of the month. Investor subscriptions for Interests totaled approximately $33 million and $26 million for July and August 2011, respectively.

Based on the partners’ capital of the Master Fund, the Adviser recommended to the Board that a tender offer in an amount of up to $544,000,000 be made for the quarter ending September 30, 2011 to those partners who elect to tender their Interests prior to the expiration of the tender offer period. The Board approved such recommendation and partners in the Master Fund were notified of a tender offer with an August 29, 2011 expiration date.

On July 21, 2011, the Board approved a modification of the Master Fund’s liquidity requirements, with an effective date after October 19, 2011. The modification is intended to provide investors with more transparency on the level of liquidity maintained in the portfolio. The modified policy is that the Master Fund, as of any calendar quarter-end, may not have (i) less than 10% of its capital invested in cash and securities with T+3 liquidity, which are included in Category One Assets (hereafter defined), or more than 25% of its capital invested in Category Three Assets (hereafter defined), with all remaining capital invested in Category One Assets or Category Two Assets (hereafter defined). The modified liquidity definitions are as follows:

“Category One Assets” are defined as cash, money market funds, and exchange-traded securities, including but not limited to equities, bonds, notes, mutual funds, ETFs, options (including OTC), and derivatives. Category

 

50


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Notes to Consolidated Financial Statements, continued

June 30, 2011

(Unaudited)

 

One Assets also include Investment Funds that have at least quarterly withdrawal rights and not more than a one-year lock-up remaining. Investment Funds with investor-level gates, fund-level gates, redemption fees and/or penalties, sidepockets and/or special purpose vehicles housing less liquid investments may be included in this category.

“Category Two Assets” are defined as Investment Funds that allow for periodic withdrawals at the time of investment but do not meet the qualifications for Category One Assets due to frequency of redemptions allowed or extended lock-up periods remaining. Category Two Assets also may have investor-level gates, fund-level gates, redemption fees and/or penalties, sidepockets and/or special purpose vehicles housing less liquid investments. Sidepockets and/or special purpose vehicles (and any similar interests or investments, including certain types of distributions in-kind) remaining upon redemption from an Investment Fund categorized as Category One Assets or Category Two Assets (collectively, “Residual Interests”) shall also each be conclusively deemed to be a Category Two Asset unless the Adviser reasonably concludes that the majority of such Residual Interest will not become liquid within three years, in which case the Adviser will categorize such Residual Interest as Category Three Assets.

“Category Three Assets” are defined as Investment Funds that are self-liquidating (e.g. private equity funds), or that otherwise fail to meet the definitions of Category One Assets or Category Two Assets. Category Three Assets include Investment Funds that only make distributions as the underlying portfolio’s assets or investments are liquidated (i.e., the investor in such Investment Funds does not have the right to request withdrawals on any specified periodic basis). Category Three Assets may include, without limitation, private equity funds, real estate funds, or natural resources or energy funds that only make distributions when an investment is monetized or generates cash flow through distributions, dividends, etc. This category will be calculated as the lesser of: (a) the amount of called and invested capital or (b) the fair value of the interests in such Investment Funds on the financial statements of the Master Fund. Any standard and customary audit hold-backs which remain after redeeming from an Investment Fund included on Category One Assets or Category Two Assets will be classified as Category One Assets. Any other holdings which remain (e.g., “sidepockets” and/or other Residual Interests) will be classified as Category Two Assets if the Adviser reasonably concludes that the majority of such holdings will become liquid within three years; otherwise, such holdings will be classified as Category Three Assets.

Management of the Master Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of June 30, 2011.

 

51


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Supplemental Information

June 30, 2011

(Unaudited)

 

Directors and Officers

The Master Fund’s operations are managed under the direction and oversight of the Board. Each Director serves for an indefinite term or until he or she reaches mandatory retirement, if any, as established by the Board. The Board appoints the officers of the Master Fund who are responsible for the Master Fund’s day-to-day business decisions based on policies set by the Board. The officers serve at the pleasure of the Board.

Compensation for Directors

The Master Fund, The Endowment Institutional Fund, L.P., The Endowment Institutional TEI Fund W, L.P., The Endowment Registered Fund, L.P. and The Endowment TEI Fund, L.P. together pay each of the Directors who is not an “interested person” of the Adviser, as defined in the 1940 Act (the “Independent Directors”) an annual retainer of $42,000, which is paid quarterly, a fee of $5,000 per Board meeting, a fee of $2,500 for any special Board meeting, a fee of $1,250 per interim Board meeting, a fee of $1,250 per each committee meeting to each committee member, and an annual fee of $10,000 for the audit committee chairman, and $7,500 for each other committee chair, each of which is paid quarterly, and an annual fee of $10,000, paid quarterly, to the lead Independent Director. There are currently six Independent Directors. In the interest of retaining Independent Directors of the highest quality, the Board intends to periodically review such compensation and may modify it as the Board deems appropriate.

Allocation of Investments

The following chart indicates the allocation of investments among the asset classes in the Master Fund as of June 30, 2011.

 

Asset Class1

   Fair Value      %  

Arbitrage Strategies

   $ 702,702,578         13.19   

Domestic Equity

     381,894,170         7.17   

Energy

     498,851,638         9.36   

Enhanced Fixed Income

     788,972,688         14.80   

Global Opportunistic

     879,477,352         16.50   

International Equity

     409,702,782         7.69   

Natural Resources

     262,168,136         4.92   

Private Equity

     640,817,585         12.02   

Real Estate

     285,048,097         5.35   

Traditional Fixed Income

     200,640,047         3.76   

Call Options Purchased

     36,868,185         0.69   

Money Market

     242,747,926         4.55   
  

 

 

    

 

 

 

Total Investments

   $ 5,329,891,184         100.00   
  

 

 

    

 

 

 

 

1

The complete list of investments included in the following asset class categories is included in the consolidated schedule of investments of the Master Fund.

 

52


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Supplemental Information, continued

June 30, 2011

(Unaudited)

 

Form N-Q Filings

The Master Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Master Fund’s Form N-Q is available on the Securities and Exchange Commission website at http://www.sec.gov. The Master Fund’s Form N-Q may be reviewed and copied at the Securities and Exchange Commission Public Reference Room in Washington, DC and information regarding operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Proxy Voting Policies

A description of the policies and procedures that the Master Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-725-9456; and (ii) on the Securities and Exchange Commission website at http://www.sec.gov.

Information regarding how the Master 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 1-800-725-9456; and (ii) on the Securities and Exchange Commission website at http://www.sec.gov.

Additional Information

The Master Fund’s private placement memorandum (the “PPM”) includes additional information about Directors of the Master Fund. The PPM is available, without charge, upon request by calling 1-800-725-9456.

Board Consideration of the Investment Management Agreement

At an in-person meeting of the Board held on January 18, 2011, the Board, including the Directors who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), considered and approved the continuation of the Investment Management Agreement (the “Advisory Agreement”) between the Master Fund and the Adviser. In preparation for review of this agreement, the Board requested the Adviser to provide detailed information which the Board determined to be reasonably necessary to evaluate the agreement. On January 10, 2011, the Independent Directors met in-person among themselves to review and discuss aspects of the materials, initially with, and later without, representatives of the Adviser being present. At the request of the Independent Directors, on January 10, 2011 and again during the January 18, 2011 meeting, representatives of the Adviser made extensive presentations regarding the materials and responded to questions from the Independent Directors relating to, among other things, portfolio management, the Adviser’s staffing and training program, Master Fund and Adviser compliance programs, Master Fund performance including benchmarks and comparisons to other funds, Master Fund fee levels, and the Adviser’s profitability and any economies of scale. Further, the Board, including the Independent Directors, took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board meetings, as well as the information specifically prepared in connection with the renewal process. The Independent Directors were assisted at all times by independent counsel.

Following the Board’s review, the Board concluded that the Advisory Agreement continues to enable the Fund’s partners to obtain high quality services at a cost that is appropriate, reasonable, and in the interests of investors. The Board’s decision to renew the Advisory Agreement was not based on any single factor, but rather

 

53


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Supplemental Information, continued

June 30, 2011

(Unaudited)

 

was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. Upon consideration of these and other factors, the Board determined:

The nature, extent and quality of the advisory services provided. With respect to the Advisory Agreement, the Board considered: the background and experience of key investment personnel and the Adviser’s ability to retain them; the Adviser’s focus on analysis of complex asset categories; the Adviser’s disciplined investment approach and commitment to investment principles; the Adviser’s significant investment in and commitment to personnel, including additional hiring and extensive training; the Adviser’s significant compliance and tax reporting efforts, and oversight of sales; and, the Adviser’s oversight of and interaction with service providers. The Board concluded that the nature, extent and quality of the management and advisory service provided were appropriate and thus supported a decision to renew the Advisory Agreement. The Board also concluded that the Adviser would be able to provide during the coming year the same quality of investment management and related services as provided in the past, that these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape and investor needs.

The investment performance of the Funds. The Board evaluated the comparative information provided by the Adviser regarding the Fund’s investment performance, information on the performance of other investment funds and various indices, including the relevance of various indices. The Board also considered the various performance reports received throughout the year. The Board concluded that the Fund’s investment performance for the period met conveyed expectations regarding performance in a context of highly volatile equity markets and was in keeping with long-term investment expectations. On the basis of the Directors’ assessment, the Directors concluded that the Adviser was capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s investment objective, policies and strategies and fully competitive with comparable funds.

The cost of advisory service provided and the level of profitability. In analyzing the cost of services and profitability of the Adviser, the Board considered the revenues earned and expenses incurred by the Adviser. The Board took into account the significant investment by and cost to the Adviser in additional personnel and service infrastructure to support the Fund and its investors. On the basis of the Board’s review of the fees to be charged by the Adviser for investment advisory and related services, the unique nature of the Fund’s investment program, the Adviser’s financial information, and the costs associated with managing the Fund, the Board concluded that the level of investment management fees and the profitability is appropriate in light of the services provided, the management fees and overall expense ratios of comparable investment companies, and the anticipated profitability of the relationship between the Fund and the Adviser.

The extent to which economies of scale would be realized as the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund investors. While noting that the management fees will not decrease as the level of Fund assets increase, the Board concluded that the management fees reflect the Fund’s complex operations, the current economic environment for the Adviser, including its continued investment relating to support and monitoring of the Fund, investment decision-making, and the competitive nature of the investment company market as relevant to the Fund. The Board noted that as the Fund grew the need for investor support and in particular infrastructure and tax reporting grew. The Board noted cost reductions in certain service provider agreements. The Board noted that it will have the opportunity to periodically re-examine whether the Fund has achieved economies of scale, as well as the appropriateness of management fees payable to the Adviser, in the future.

 

54


THE ENDOWMENT MASTER FUND, L.P.

(A Limited Partnership)

Supplemental Information, continued

June 30, 2011

(Unaudited)

 

Benefits (such as soft dollars) to the Adviser from its relationship with the Fund. The Board concluded that other benefits derived by the Adviser from its relationship with the Fund, to the extent such benefits are identifiable or determinable, are reasonable and fair, result from the provision of appropriate services to the Fund and investors therein, and are consistent with industry practice and the best interests of the Fund and its partners. In this regard, the Board noted that the Adviser does not realize “soft dollar” benefits from its relationship with the Fund.

Other considerations. The Board determined that the Adviser has made a continuing and substantial commitment both to the recruitment and retention of high quality personnel, monitoring and investment decision-making and provision of investor service, and maintained and expanded the financial, compliance and operational resources reasonably necessary to manage the Fund in a professional manner that is consistent with the best interests of the Fund and its partners. The Directors also concluded that the Adviser continues to make a significant entrepreneurial commitment to the management and success of the Fund. The Board, in reaching its determination to renew the Advisory Agreements, noted its awareness that partners in the Funds have a range of investment choices available to them, including choices among funds offered by the Adviser’s competitors, and that the Funds’ partners, with the opportunity to review and weigh the disclosure provided by the Funds, have chosen to invest in the Funds managed by the Adviser.

 

55


Independent Directors

Jonathan P. Carroll

Dr. Bernard Harris

Richard C. Johnson

G. Edward Powell

Scott E. Schwinger

Karin B. Bonding

Interested Directors and Officers

John A. Blaisdell, Director and Co-Principal Executive Officer

Andrew B. Linbeck, Director and Co-Principal Executive Officer

A. Haag Sherman, Director and Co-Principal Executive Officer

John E. Price, Treasurer and Principal Financial Officer

Adam L. Thomas, Secretary

Paul A. Bachtold, Chief Compliance Officer

Investment Adviser

Endowment Advisers, L.P.

Houston, TX

Fund Administrator and Transfer Agent

Citi Fund Services Ohio, Inc.

Columbus, OH

Custodian

J.P. Morgan Chase Bank, N.A.

Greenwich, CT

Independent Registered Public Accounting Firm

KPMG LLP

Columbus, OH

Legal Counsel

K&L Gates LLP

Boston, MA


LOGO


Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.


Item 6. Investments.

(a) Consolidated Schedule of Investments as of the close of the reporting period is included in the report to the 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.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Period

   (a)
Total Number
of Shares
(or Unites)
Purchased
     (b)
Average Price
Paid per
Share
(or Unit)
     (c)
Total Number
of Shares
(or Units)
Purchases as
Part of
Publicly
Announced
Plans or
Programs
     (d)
Maximum Number
(or Approximate
Dollar Value) of
Shares (or Units)
that May Yet Be
Purchased Under
the Plans or
Programs
 

January 1, 2011 through January 31, 2011

   $ —           N/A         N/A         N/A   

February 1, 2011 through February 28, 2011

   $ —           N/A         N/A         N/A   

March 1, 2011 through March 31, 2011

   $ —           N/A         N/A         N/A   

April 1, 2011 through April 30, 2011

   $ —           N/A         N/A         N/A   

May 1, 2011 through May 31, 2011

   $ —           N/A         N/A         N/A   

June 1, 2011 through June 30, 2011

   $ —           N/A         N/A         N/A   
  

 

 

          

Total

   $ —              
  

 

 

          

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is (i) accumulated and communicated to the investment company’s management, including its certifying officers, to allow timely decisions regarding required disclosure; and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the 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.

Item 12. Exhibits.

 

(a)(1)   Not applicable.
(a)(2)   Certifications pursuant to Rule 30a-2(a) are attached hereto.
(a)(3)   Not applicable.
(b)   Certifications pursuant to Rule 30a-2(b) are furnished herewith.


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) The Endowment Institutional TEI Fund W, L.P.

 

By (Signature and Title)    /s/    JOHN A. BLAISDELL        
  John A. Blaisdell
  Co-Principal Executive Officer

Date: August 25, 2011

 

By (Signature and Title)    /s/    ANDREW B. LINBECK        
  Andrew B. Linbeck
  Co-Principal Executive Officer

Date: August 25, 2011

 

By (Signature and Title)    /s/    HAAG SHERMAN        
  A. Haag Sherman
  Co-Principal Executive Officer

Date: August 25, 2011

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/    JOHN A. BLAISDELL        
  John A. Blaisdell
  Co-Principal Executive Officer

Date: August 25, 2011

 

By (Signature and Title)    /s/    ANDREW B. LINEBECK        
  Andrew B. Linbeck
  Co-Principal Executive Officer

Date: August 25, 2011


By (Signature and Title)    /s/    A. HAAG SHERMAN        
  A. Haag Sherman
  Co-Principal Executive Officer

Date: August 25, 2011

 

By (Signature and Title)    /s/    JOHN E. PRICE        
  John E. Price
  Principal Financial Officer

Date: August 25, 2011

EX-99.CERT 2 dex99cert.htm CERTIFICATION PURSUANT TO SECTION 302 Certification Pursuant to Section 302

CERTIFICATIONS

I, John A. Blaisdell, certify that:

 

1. I have reviewed this report on Form N-CSR of The Endowment Institutional TEI Fund W, L.P. (the “registrant”);

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in partners’ capital, and cash flows of the registrant as of, and for, the period presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

August 25, 2011     /s/ John A. Blaisdell
Date    

John A. Blaisdell

Co-Principal Executive Officer


CERTIFICATIONS

I, Andrew B. Linbeck, certify that:

 

1. I have reviewed this report on Form N-CSR of The Endowment Institutional TEI Fund W, L.P. (the “registrant”);

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in partners’ capital, and cash flows of the registrant as of, and for, the period presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

August 25, 2011     /s/ Andrew B. Linbeck
Date    

Andrew B. Linbeck

Co-Principal Executive Officer


CERTIFICATIONS

I, A. Haag Sherman, certify that:

 

1. I have reviewed this report on Form N-CSR of The Endowment Institutional TEI Fund W, L.P. (the “registrant”);

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in partners’ capital, and cash flows of the registrant as of, and for, the period presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

August 25, 2011     /s/ A. Haag Sherman
Date    

A. Haag Sherman

Co-Principal Executive Officer


CERTIFICATIONS

I, John E. Price, certify that:

 

1. I have reviewed this report on Form N-CSR of The Endowment Institutional TEI Fund W, L.P. (the “registrant”);

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in partners’ capital, and cash flows of the registrant as of, and for, the period presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

August 25, 2011     /s/ John E. Price
Date    

John E. Price

Principal Financial Officer

EX-99.906.CERT 3 dex99906cert.htm CERTIFICATION PURSUANT TO SECTION 906 Certification Pursuant to Section 906

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2011 of the Endowment Institutional TEI Fund W, L.P. (the “registrant”).

I, John A. Blaisdell, the Co-Principal Executive Officer of the registrant, certify that, to the best of my knowledge:

 

1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 ( 15 U.S.C. 78m(a) or 78o(d)); and

 

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the registrant.

 

August 25, 2011
Date

 

/s/ John A. Blaisdell
John A. Blaisdell
Co-Principal Executive Officer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the registrant and will be retained by the registrant and furnished to the Securities and Exchange Commission or its staff upon request.


This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2011 of the Endowment Institutional TEI Fund W, L.P. (the “registrant”).

I, Andrew B. Linbeck, the Co-Principal Executive Officer of the registrant, certify that, to the best of my knowledge:

 

1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 ( 15 U.S.C. 78m(a) or 78o(d)); and

 

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the registrant.

 

August 25, 2011
Date

 

/s/ Andrew B. Linbeck
Andrew B. Linbeck
Co-Principal Executive Officer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the registrant and will be retained by the registrant and furnished to the Securities and Exchange Commission or its staff upon request.


This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2011 of the Endowment Institutional TEI Fund W, L.P. (the “registrant”).

I, A. Haag Sherman, the Co-Principal Executive Officer of the registrant, certify that, to the best of my knowledge:

 

1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 ( 15 U.S.C. 78m(a) or 78o(d)); and

 

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the registrant.

 

August 25, 2011
Date

 

/s/ Haag Sherman
A. Haag Sherman
Co-Principal Executive Officer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the registrant and will be retained by the registrant and furnished to the Securities and Exchange Commission or its staff upon request.


This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2011 of the Endowment Institutional TEI Fund W, L.P. (the “registrant”).

I, John E. Price, the Principal Financial Officer of the registrant, certify that, to the best of my knowledge:

 

1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 ( 15 U.S.C. 78m(a) or 78o(d)); and

 

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the registrant.

 

August 25, 2011
Date

 

/s/ John E. Price
John E. Price
Principal Financial Officer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the registrant and will be retained by the registrant and furnished to the Securities and Exchange Commission or its staff upon request.

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