UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act file number 811-22413

 

Gottex Multi-Asset Endowment Fund - I

(Exact name of registrant as specified in charter)

 

28 State Street, 40^th Floor

Boston, MA 02109

(Address of principal executive offices) (Zip code)

 

William J. Landes

28 State Street, 40^th Floor

Boston, MA 02109

(Name and address of agent for service)

 

registrant's telephone number, including area code: (617) 532-0200

 

Date of fiscal year end: March 31

 

Date of reporting period: March 31, 2013

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

ITEM 1. REPORTS TO STOCKHOLDERS.

 

The Report to Shareholders is attached herewith.

 

 

 

Gottex Multi-Asset Endowment Fund - I

(a Delaware Statutory Trust)

Financial Statements

 

For the Year Ended March 31, 2013

 

 

Gottex Multi-Asset Endowment Fund - I

(a Delaware Statutory Trust)

 

For the Year Ended March 31, 2013

 

Table of Contents

 

 

* For a description of the Master Fund (as defined in Note 1), into which the Fund invests substantially all of its assets, please see the attached financial statements of the Master Fund, which should be read in conjunction with the financial statements of the Fund.

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders and Board of Trustees of Gottex Multi-Asset Endowment Fund – I:

 

We have audited the accompanying statement of assets, liabilities and shareholders’ equity of Gottex Multi-Asset Endowment Fund – I (the "Fund"), as of March 31, 2013, and the related statements of operations, changes in shareholders’ equity, cash flows and the financial highlights for the year then ended and the statement of changes in shareholders’ equity and the financial highlights for the period from January 1, 2012 (commencement of operations) to March 31, 2012. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

 

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

 

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Gottex Multi-Asset Endowment Fund – I as of March 31, 2013, and the results of its operations, changes in shareholders’ equity, its cash flows and the financial highlights for the year then ended and the changes in its shareholders’ equity and financial highlights for the period from January 1, 2012 (commencement of operations) to March 31, 2012, in conformity with accounting principles generally accepted in the United States of America.

 

 

DELOITTE & TOUCHE LLP

 

 

May 30, 2013

 

 

 

 

See notes to financial statements and attached financial statements of Gottex Multi-Asset Endowment Master Fund.

 

 

 

 

See notes to financial statements and attached financial statements of Gottex Multi-Asset Endowment Fund.

 

 

 

 

See notes to financial statements and attached financial statements of Gottex Multi-Asset Endowment Master Fund.

 

 

 

 

See notes to financial statements and attached financial statements of Gottex Multi-Asset Endowment Master Fund.

 

 

 

 

 

See notes to financial statements and attached financial statements of Gottex Multi-Asset Endowment Master Fund.

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013

 

The Gottex Multi-Asset Endowment Fund –  I (the “Fund”), a Delaware statutory trust registered under the Investment Company Act of 1940 as a diversified, closed-end management investment company, was organized on May 3, 2010 and commenced operations on January 1, 2012.  The Fund and Master Fund (as defined below) are managed by Gottex Fund Management, Ltd. (the “Adviser”), a Delaware corporation registered with the Securities and Exchange Commission (the “SEC”) under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The Board of Trustees of the Fund (the “Board”) has overall responsibility for the management and supervision of the operations of the Fund. The Board has delegated responsibility for management of the Fund’s day-to-day operations to the Adviser. The Fund is organized as a feeder fund in a master/feeder structure and invests substantially all of its investable assets in the Gottex Multi-Asset Endowment Master Fund (the “Master Fund”). The Fund’s financial statements should be read in conjunction with those of the Master Fund, a copy which are attached to these financial statements. The Fund and the Master Fund's investment objectives are to seek maximum total return, primarily through seeking capital appreciation and/or income, consistent with an acceptable level of risk (as determined by the Adviser).  The Master Fund (and the Fund through its investment in the Master Fund) pursues this objective by employing a multi-asset, multi-strategy, "endowment style" investment program under which it will seek to construct a broadly-diversified portfolio that attempts to capture longer-term appreciation, notwithstanding possible losses and/or volatile investment performance in the short-term, through the identification of investment opportunities across a broad range of alternative and traditional assets in multiple asset categories (the "Asset Classes").  The Master Fund will invest in the Asset Classes either: (i) indirectly, through investments in private investment funds, exchange-traded funds or other pooled investment vehicles (collectively, "Portfolio Funds") (which may include vehicles commonly known as "hedge funds") that invest, in whole or in part, in such Asset Classes (or that seek economic exposure to the performance of the Asset Classes); or (ii) directly, as managed by one or more sub-advisers selected by the Adviser ("Sub-Advisers"). Each portion of the Master Fund's investable assets managed by a Sub-Adviser is referred to as a "Portfolio Sleeve" and collectively as "Portfolio Sleeves."

 

The percentage of the Master Fund’s shares owned by the Fund at March 31, 2013 was 13.16%.

 

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (the “U.S. GAAP”) and are expressed in United States dollars. The following is a summary of significant accounting and reporting policies used in preparing the financial statements.

 

The Fund invests substantially all of its assets in the Master Fund.  The net asset value of the Fund is generally based on the net asset value of its interest in the Master Fund (as well as the value of any cash or other similar short-term asset or receivable held by the Fund and/or liability owed by the Fund). The Fund’s interest in the Master Fund is valued at an amount equal to the Fund’s shareholder’s equity account in the Master Fund as of March 31, 2013, which approximates fair value. Because the Fund invests substantially all of its assets in the Master Fund, the financial statements of the Master Fund are attached which include the accounting policies and disclosures, including the Master Fund’s securities valuation policies and disclosures related to the leveling of securities.

 

The Fund records its proportionate share of the Master Fund’s income, expenses and realized and unrealized gains and losses.

 

Interest income on any cash or cash equivalents held by the Fund will be recognized on an accrual basis. Expenses that are specifically attributed to the Fund are charged to the Fund and recorded on an accrual basis. Because the Fund bears its proportionate share of the management fees of the Master Fund, the Fund pays no direct management fee to the Investment Manager.

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

The Fund’s policy is to comply with the requirements of Subchapter M of the Internal Revenue Code that are applicable to regulated investment companies (“RICs”) and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Fund.

 

Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations.

 

The Income Tax Statement requires management of the Fund to analyze tax positions taken in the Fund’s 2010-2012 open tax returns or expected to be taken in the 2013 tax return, as defined by Internal Revenue Service statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. During the year ended March 31, 2013, the Fund did not have a liability for any unrecognized tax benefits. The Fund has no examination in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law on December 22, 2010. The Act makes changes to a number of the federal income and excise tax provisions impacting RICs, including simplification provisions on asset diversification and qualifying income tests, provisions aimed at preserving the character of the distributions made by the RIC and coordination of the income and excise tax distribution requirements, and provisions for allowing unlimited years carryforward for capital losses.

 

The character of distributions made during the year from net investment income or net realized gain may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain/(loss) items for financial statement and tax purposes. Where appropriate, reclassifications between net asset accounts are made for such differences that are permanent in nature.

 

Additionally, U.S. GAAP requires certain components of net assets relating to permanent differences be reclassified between financial and tax reporting.  Permanent differences between book and tax basis are attributable to certain non-deductible expenses for tax purposes, including certain offering, organizational, and registration expenses.  These reclassifications have no effect on net assets or net asset value per share.  For the year ended March 31, 2013, the following amounts were reclassified:

 

 

At March 31, 2013, the federal tax cost of investment securities and unrealized appreciation (depreciation) as of year end were as follows:

 

 

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

 

The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.

 

As of March 31, 2013, the components of accumulate earnings on a tax basis were as follows:

 

 

The tax character of distributions paid during the year ended March 31, 2013 was as follows:

 

 

Post-October capital losses and Qualified late-year losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended March 31, 2013, the Fund deferred $4,819 of Qualified late-year losses until April 1, 2013 for tax purposes.

 

Cash includes amounts held in interest bearing money market accounts.  Such amounts, at times, may exceed federally insured limits.  The Fund has not experienced any losses in such accounts and does not believe it is exposed to any significant credit risk on such accounts.

 

The preparation of financial statements in conformity with U.S. GAAP requires the Fund’s management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

In December 2011, the International Accounting Standards Board and the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2011-11 requires entities to: disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the implications of ASU 2011-11 and its impact on financial statements disclosures.

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

The Fund and Master Fund have each entered into an investment advisory agreement with the Adviser.  In consideration of services provided by the Adviser, the Master Fund pays the Adviser a monthly management fee computed at the annual rate of 1.00% of the Master Fund’s net asset value.  The Fund indirectly incurs the Adviser and Sub-Adviser fees as a shareholder in the Master Fund. For the year ended March 31, 2013, the total management fee allocated from the Master Fund was $34,253 and the total sub-advisory fees allocated from the Master Fund were $5,168, both of which are included in the total expenses allocated from the Master Fund.

 

The Master Fund will also pay the Adviser a performance-based incentive fee (the “Incentive Fee”) after the end of each twelve-month period ending on the Master Fund’s fiscal year-end, which is subject to a hurdle as described in the notes to the Master Fund’s financial statements included elsewhere in this report.

 

Currently, the Adviser has agreed to voluntarily waive any Incentive Fee that may accrue to the Adviser from the Master Fund.

 

The Adviser and the Fund have entered into an expense limitation and reimbursement agreement under which the Adviser has agreed to pay or absorb the ordinary operating expenses of the Fund (which includes organizational and offering expenses, as well as the portion of the Master Fund’s fees and expenses borne by the Fund, but excludes any Incentive Fees, the Sub-Advisory Fees, acquired fund fees and expenses, interest, brokerage commissions and extraordinary expenses of the Fund and Master Fund, as applicable, and any other expenses not incurred in the ordinary course of the Fund’s and Master Fund’s business) to the extent necessary to limit the ordinary operating expenses of the Fund to 2.25% per annum of the Fund's average monthly net asset value (the "Expense Limitation").  In consideration of the Adviser's agreement to limit the Fund's expenses, the Fund will carry forward the amount of expenses paid or absorbed in excess of the Expense Limitation for a period not to exceed two years from the end of the fiscal year in which they were incurred and will reimburse the Adviser such amounts, but only to the extent it does not cause the Fund's ordinary operating expenses to exceed the Expense Limitation in effect at the time of reimbursement.

 

During the year ended March 31, 2013, the Adviser reimbursed the Fund $313,288 for amounts in excess of the Expense Limitation. At March 31, 2013, $104,536 is subject to recoupment by the Adviser through March 31, 2014 and $313,288 is subject to recoupment by the Adviser through March 31, 2015.

 

Since the organization of the Fund, organizational expenses of $45,335 have been reimbursed by the Adviser and are subject to recoupment until March 31, 2014.  Offering costs of $162,603 have been amortized to expense over twelve months on a straight-line basis since January 1, 2012, commencement of operations, and are subject to recoupment pursuant to the Expense Limitation Agreement discussed above.

 

Foreside Fund Services, LLC (“Foreside”) serves as principal underwriter and distributor of the Fund’s Shares.  Foreside receives a quarterly distribution fee from the Fund at an annualized rate of up to 0. 75% (0.1875% on a quarterly basis) of the Fund’s average net asset value during the quarter. For the year ended March 31, 2013, the total distribution fee was $25,589.

 

At March 31, 2013, Shareholders who are affiliated with the Adviser owned $1,305,069 (28.15% of Shareholders’ Equity) of the Fund.  

 

The Board has approved modifying the investment management fee structure of the Master Fund subject to the modifications being approved by shareholders. The modifications include: (a) elimination of the Incentive Fee; and (b) an increase in the asset-based fee Management Fee from 1.0% to 1.5% (together, the “Modified Fee”). Further, in connection with, and subject to, implementation of the Modified Fee, the Board of the Fund has approved an amended expense limitation agreement for the Fund that modifies its expense cap from 2.25% to 2.50%, which could have the effect of increasing the Fund’s expense ratio by the amount of the cap increase.

 

A shareholder meeting to consider approval of the Modified Fee is expected to be held later on in 2013. Prior to that time, a proxy statement describing the Modified Fee and the reasons for its approval by the Trustees of the Fund will be filed with the SEC and distributed to shareholders.

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

UMB Bank, N.A. provides custodial services for the Fund. J.D. Clark & Company, a division of UMB Fund Services, Inc. serves as administrator and accounting agent to the Fund and provides certain accounting, record keeping and investor related services. The Fund pays a monthly fee to the custodian and administrator based upon average net assets, subject to certain minimums. For the year ended March 31, 2013, the total accounting and administration fees were $40,321.

 

An investment in the Fund involves significant risks that should be carefully considered prior to investment and should only be considered by persons financially able to maintain their investment and who can afford a loss of a substantial part or all of such investment.  The value of the Master Fund's investments can be reduced as a result of unsuccessful allocations among Asset Classes, including the poor performance of one or more Asset Classes, the Adviser's or a Portfolio Manager's employment of unsuccessful investment strategies, the Adviser's poor selection of Portfolio Managers or Portfolio Funds, poor economic growth, pronounced market volatility, and political and legal developments.  Further, the Master Fund's use of leverage, short sales or derivative transactions can result in significant losses to the value of the Master Fund’s investments. Shareholders should refer to the Fund’s prospectus and corresponding statement of additional information for a more complete list of risk factors.  No guarantee or representation is made that the investment objective will be met.

 

The Fund sells Shares at their offering price, which is equal to the "net asset value" per Share. The net asset value of the Fund will be computed as of the close of business on the following days: (i) the last day of each fiscal year (March 31); (ii) the last day of each taxable year (December 31); (iii) the day preceding the date as of which any Shares are purchased; or (iv) any day as of which the Fund repurchases any Shares. The Fund's net asset value is the value of the Fund's assets less its liabilities, and its net asset value per Share equals that net asset value divided by the number of then issued and outstanding Shares.

 

Shares will be offered in a continuous offering for purchase monthly, as of the first day of each month (each day, a “Closing Day”), at the Fund’s then-current net asset value per Share (determined as of the close of the preceding month). In addition, Fund’s Shares are subject to a sales load of up to 2% of the amount invested. The minimum initial investment in a Fund by a shareholder is $50,000. Subsequent investments must be at least $10,000. However, the minimum investment requirements may be reduced or waived for investments by personnel of the Adviser and its affiliates, and members of their immediate families, and as may be determined by the Board. Because the Fund is a closed-end fund, no shareholder will have the right to require the Fund to redeem its shares. No public market exists for the shares, and none is expected to develop. Consequently, investors will not be able to liquidate their investment other than as a result of repurchases of shares by the Fund or in the event of a mandatory redemption. For the period ended March 31, 2012 and year ended March 31, 2013, transactions in shares were as follows:

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

The Board may, from time to time at its sole discretion, cause the Fund to repurchase Shares from shareholders pursuant to written tenders by shareholders at such times and on such terms and conditions as established by the Board. In determining whether the Fund should offer to repurchase Shares, the Board will consider, among other things, the recommendation of the Adviser. In an effort to provide some liquidity for investors, the Adviser expects to recommend that the Fund makes offers to repurchase up to 8% of its Shares as of the end of each calendar month at the then-current net asset value. The Board, in its discretion, must determine whether to approve each such offer (and for what amount).  There can be no assurance that the Fund will make such repurchase offers, nor that shareholders tendering Shares for repurchase in any offer will have all of their tendered Shares repurchased by the Fund.

 

In the normal course of business, the Fund enters into contracts that provide general indemnifications.  The Fund’s maximum exposure under these agreements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

 

*****

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

BOARD OF TRUSTEES

(Unaudited)

 

The identity of the Board members (each a “Trustee”) and brief biographical information, as of March 31, 2013, is set forth below.   The business address of each Trustee is care of Gottex Fund Management, Ltd., 28 State Street, 40^th Floor, Boston, MA 02109.  The Fund’s statement of additional information includes information about the Trustees and may be obtained without charge by calling the Fund at (617) 532-0200.

 

* "Interested person" of the Fund, as defined by the 1940 Act. Dr. Landes is an interested person because of his affiliation with the Adviser and its affiliates.

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

FUND MANAGEMENT

(Unaudited)

 

Set forth below is the name, date of birth, position with the Fund, length of term of office, and the principal occupation for the last five years, as of March 31, 2013, of each of the persons currently serving as Executive Officers. The business address of each Officer is care of Gottex Fund Management, Ltd., 28 State Street, 40^th Floor, Boston, MA 02109.  

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

OTHER INFORMATION

(Unaudited)

 

Proxy Voting

A description of the policies and procedures the Master Fund uses to determine how to vote proxies relating to the portfolio securities is available without charge, upon request, by calling (800) 504-9070 or on the SEC’s website at http://www.sec.gov. A copy of the Master Fund’s voting record for the most recent 12-month period ended June 30 is available at the SEC’s website at http://www.sec.gov.

 

Availability of Quarterly Portfolio Schedules

The Fund files complete schedule of portfolio holdings, which includes securities held by the Master Fund, with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330; and the Fund makes the information on Form N-Q available upon request without charge.

 

Tax Information Unaudited

For the year ended March 31, 2013, 5.43% of the dividends paid from net investment income, including short-term capital gains from the Fund, is designated as qualified income.

 

For the year ended March 31, 2013, 2.87% of the dividends paid from net investment income, including short-term capital gains from the Fund, is designated as dividends received deduction available to corporate shareholders.

 

 

GOTTEX MULTI-ASSET ENDOWMENT FUND –  I

 

(a Delaware Statutory Trust)

 

OTHER INFORMATION

(Unaudited)(continued)

 

CLIENT PRIVACY NOTICE

 

To ensure our clients' and investors' privacy, Gottex has developed a policy that is designed to protect confidentiality, while allowing our clients' and investors' needs to be served ("Privacy Policy"). Please read this Privacy Policy carefully. It gives you important information about how Gottex handles your personal information.  As a matter of policy, Gottex does not disclose any personal information about individuals who are current or former investors or clients to anyone, except as permitted by law.

 

Personal Information We May Collect

 

In the course of providing products and services, Gottex may obtain nonpublic personal information, which may come from sources such as account applications and other forms, from other written, electronic or verbal correspondence, from transactions, and/or from information captured on Gottex's internet website. The nonpublic personal information we collect may include, but is not limited to, your name, address, telephone number, e-mail address, social security number, and date of birth. We may use this information in connection with certain aspects of our business.

 

Sharing Information with Third Parties

 

Gottex may share nonpublic personal information with our affiliates.  We may disclose this information to non-affiliated third-party service providers that perform services for us ("Service Providers"), pursuant to an agreement that requires the Service Provider to adhere to Gottex's Privacy Policy.

 

Security of Personal Information

 

Gottex strictly protects the personal information you provide against unauthorized access, disclosure, alteration, destruction, loss or misuse. Your personal information is protected by physical, electronic, and procedural safeguards. These safeguards include limiting access to your personal information to those Gottex employees and Service Providers that use that information in connection with providing products or services to you. In addition to this Privacy Policy, Gottex has also implemented procedures that are designed to safeguard your personal information.

 

Changes in Our Privacy Policy

 

Gottex periodically reviews its Privacy Policy. We reserve the right to amend it. If we amend this Privacy Policy, we will continue our commitment to maintaining the security and privacy of your personal information.

 

Former Customers

 

If your customer relationship with Gottex ends, we will not destroy your personal information. We will continue to treat your personal information in accordance with this Privacy Policy and applicable laws.

 

 

 

 

 

Gottex Multi-Asset Endowment Master Fund

(a Delaware Statutory Trust)

Financial Statements

 

For the Year Ended March 31, 2013

 

 

Gottex Multi-Asset Endowment Master Fund

(a Delaware Statutory Trust)

 

For the Year Ended March 31, 2013

 

Table of Contents

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders and Board of Trustees of Gottex Multi-Asset Endowment Master Fund:

 

We have audited the accompanying statement of assets, liabilities and shareholders’ equity of Gottex Multi-Asset Endowment Master Fund (the "Master Fund"), including the schedule of investments, as of March 31, 2013, and the related statements of operations, changes in shareholders’ equity, cash flows and the financial highlights for the year then ended and the statement of changes in shareholders’ equity and the financial highlights for the period from January 1, 2012 (commencement of operations) to March 31, 2012. These financial statements and financial highlights are the responsibility of the Master Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

 

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2013, by correspondence with the custodians, brokers, and underlying fund managers. We believe that our audits provide a reasonable basis for our opinion.

 

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Gottex Multi-Asset Endowment Master Fund as of March 31, 2013, and the results of its operations, changes in shareholders’ equity, its cash flows and the financial highlights for the year then ended and the changes in its shareholders’ equity and financial highlights for the period from January 1, 2012 (commencement of operations) to March 31, 2012, in conformity with accounting principles generally accepted in the United States of America.

 

 

 

DELOITTE & TOUCHE LLP

 

 

May 30, 2013

 

 

 

See notes to financial statements.

 

 

 

See notes to financial statements.

 

 

 

See notes to financial statements.

 

 

 

All percentages are based on Shareholders' Equity.

 

 

ADR - American Depositary Receipt

ETF - Exchange Traded Fund

ETN - Exchange Traded Note

PLC - Public Limited Company

REIT - Real Estate Investment Trust

 

INVESTMENT OBJECTIVE AS A PERCENTAGE OF INVESTMENTS

Investment types as a percentage of total investments are as follows:

 

See notes to financial statements.

 

 

 

See notes to financial statements.

 

 

 

 

See notes to financial statements.

 

 

 

 

See notes to financial statements.

 

 

 

See notes to financial statements.

 

 

 

 

See notes to financial statements.

 

 

 

 

See notes to financial statements.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013

 

The Gottex Multi-Asset Endowment Master Fund (the “Master Fund”) was organized on May 3, 2010 as a Delaware statutory trust that is registered under the Investment Company Act of 1940 as a diversified, closed-end management investment company. The Master Fund is managed by Gottex Fund Management, Ltd. (the “Adviser”), a Delaware corporation registered under the Investment Advisers Act of 1940, as amended. The Master Fund's investment objective is to seek maximum total return, primarily through seeking capital appreciation and/or income, consistent with an acceptable level of risk (as determined by the Adviser). The Master Fund pursues this objective by employing a multi-asset, multi-strategy, "endowment style" investment program under which it will seek to construct a broadly-diversified portfolio that attempts to capture longer-term appreciation, notwithstanding possible losses and/or volatile investment performance in the short-term, through the identification of investment opportunities across a broad range of alternative and traditional assets in multiple asset categories (the "Asset Classes"). The Master Fund will invest in the Asset Classes either: (i) indirectly, through investments in private investment funds, exchange-traded funds or other pooled investment vehicles (collectively, "Portfolio Funds") (which may include vehicles commonly known as "hedge funds") that invest, in whole or in part, in such Asset Classes (or that seek economic exposure to the performance of the Asset Classes); or (ii) directly, as managed by one or more sub-advisers selected by the Adviser ("Sub-Advisers"). Each portion of the Master Fund's investable assets managed by a Sub-Adviser is referred to as a "Portfolio Sleeve" and collectively as "Portfolio Sleeves."

 

The Master Fund is a master investment portfolio in a master-feeder structure. Gottex Multi-Asset Endowment Fund – I (“Feeder I”) and Gottex Multi-Asset Endowment Fund – II (“Feeder II”, collectively with Feeder I “the Feeder Funds”) invest substantially all of their assets, in the shares of beneficial interest (“Shares”) of the Master Fund and are members of the Master Fund (“Members”). As of March 31, 2013, Feeder I owns 13.16% and Feeder II owns 86.84% of the Master Fund’s shares.

 

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (the “U.S. GAAP”) and are expressed in United States dollars. The following is a summary of significant accounting and reporting policies used in preparing the financial statements.

 

As permitted under U.S. GAAP, the Master Fund’s investments in the Portfolio Funds are valued, as a practical expedient, utilizing the net asset valuations (“NAVs”) provided by the Portfolio Funds, without adjustment, when the net asset valuations of the investments are calculated (or adjusted by the Master Fund if necessary) in a manner consistent with U.S. GAAP for investment companies in accordance with procedures established by the Board of Trustees (the “Board”).  Investments in Portfolio Funds are subject to the terms of the Portfolio Funds’ offering documents.  Valuations of the securities held by the Portfolio Funds may be subject to estimates and NAVs are net of management and performance incentive fees or allocations payable by the Portfolio Funds. The Master Fund applies the practical expedient to its investments in Portfolio Funds on an investment-by-investment basis, and consistently with the Master Fund’s entire position in a particular investment, unless it is probable that the Master Fund will sell a portion of an investment at an amount different from the net asset valuation. In cases where the practical expedient is not available, or if the Adviser determines it is probable that the Master Fund will sell an investment at an amount different from the net asset valuation, a fair value determination is made under procedures established by and under the general supervision of the Board. Because of the inherent uncertainty in valuation, the estimated values used for Portfolio Funds may differ from the values that would have been used had a ready market for the securities existed, and the differences could be material.

 

Investments in Portfolio Funds are included in Level 2 or 3 of the fair value hierarchy (see below for fair value hierarchy definition and leveling table). In determining the level, the Master Fund considers the length of time until the investment is redeemable, including notice and lock-up periods or any other restriction on the disposition of the investment. If the Master Fund has the ability to redeem its investment at the reported net asset value as of the valuation date, the investment is generally included in Level 2 of the fair value hierarchy. If the Master Fund does not know when it will have the ability to redeem the investment or it does not have the ability to redeem its investment in three months as of the valuation date, the investment is included in Level 3 of the fair value hierarchy.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

Domestic exchange-traded equity securities and ETFs (other than options and other than those that trade on NASDAQ) held directly by the Master Fund, are valued at their last sale prices as reported on such exchanges or, in the absence of any reported sale on a particular day, at their composite bid prices as reported by such exchanges.  Listed options and futures contracts shall be valued: (i) at their last sales prices as reported by the exchange with the highest reported daily volume for such options or futures contracts; or (ii) in the absence of any sales on a particular day, at their bid prices as reported by the exchange with the highest volume on the last day a trade was reported. Securities traded on NASDAQ are valued: (i) at the NASDAQ Official Closing Price (the "NOCP"); (ii) if no NOCP is available, at the last sale price on NASDAQ prior to the calculation of the Master Fund's net asset value; (iii) if no sale is shown on NASDAQ, at the bid price; or (iv) if no sale is shown and no bid price is available for a period of seven business days, the price will be deemed "stale" and the value will be determined under the Board’s supervision at fair value.  Securities traded on a foreign securities exchange are valued at their last sale prices, subject to the occurrence of significant events, on the exchange where the securities are primarily traded, or in the absence of a reported sale on a particular day, at their bid prices as reported by that exchange. Short-term investments include highly liquid investments with a remaining maturity of 60 days or less. They are valued by the Adviser at amortized cost, which the Board has determined to approximate fair value.

 

Other securities for which market quotations are not readily available are valued at bid prices as obtained from one or more dealers making markets for those securities.  If market quotations are not readily available, securities and other assets will be valued at fair value as determined in good faith by the Adviser with the supervision of the Board.

 

All assets and liabilities initially expressed in foreign currencies will be converted into U.S. dollars using foreign exchange rates provided by a pricing service.  Trading in foreign securities generally is completed, and the values of such securities are determined, before the close of securities markets in the U.S.  Foreign exchange rates also are determined before such close.  On occasion, the values of securities and exchange rates may be affected by significant events occurring between the time as of which determination of such values or exchange rates are made and the time as of which the net asset value is determined.  When such significant events materially affect the values of securities held by the Master Fund or its liabilities, these securities and liabilities may be valued at fair value as determined in good faith by, or under the supervision of, the Board.

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. The Master Fund follows the provision for fair value measurements which establishes a fair value hierarchy that prioritizes and ranks the inputs in valuation techniques to measure fair value.

 

The Master Fund classifies its assets and liabilities that are reported at fair value into three levels based on the lowest level of input that is significant to the fair value measurement. Estimated values may differ from the values that would have been used if a ready market existed.

 

The three-tier hierarchy distinguishes between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Master Fund’s investments. The inputs are summarized in the three broad levels listed below:

 

 

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

 

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value on a recurring basis:

 

 

*Transfers out of Level 3 to Level 2 in the fair value hierarchy generally occur when lock-up periods on investments in Portfolio Funds are lifted.

 

The Master Fund discloses transfers between levels based on valuations at the end of the reporting period. There were no transfers between Levels 1 and 2 as of March 31, 2013, based on levels assigned to Investments on March 31, 2012.

 

The amount of the net change in unrealized appreciation/depreciation for the year ended March 31, 2013 relating to investments in Level 3 assets still held at March 31, 2013 is $277,421, which is included as a component of net change in unrealized appreciation on investments in the accompanying Statement of Operations.

 

The Master Fund had no unfunded commitments at March 31, 2013.

 

Interest income is recorded when earned. Dividend income is recorded on the ex-dividend date, except that certain dividends from private equity investments are recorded, as soon as the information is available to the Master Fund. Realized gains and losses on the sale of investments in securities and Portfolio Funds redemptions are determined on the identified cost basis.

 

The Master Fund may allocate a portion of its assets to the Macro Market Asset Allocation Overlay managed by the Adviser. Investments in the Macro Market Asset Allocation Overlay may include long and short positions in exchange-traded funds, index and enhanced-index funds, futures, forward contracts, options (including options on futures), swaps, contracts for differences, over-the-counter derivatives, structured notes and other hybrid securities or financial instruments, or traditional equity and debt investments. Trading in these instruments is designed to provide increase or reduced exposures to markets, currencies, interest rates, physical commodities, industry or market sectors and/or global economic or financial conditions. Investments in the Macro Market Asset Allocation Overlay have market risks and may result in losses in excess of the amount invested in such strategy.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For the Year Ended March 31, 2013 (continued)

 

The Master Fund may purchase and sell futures contracts to enhance the risk/return profile through adding opportunities for realizing short-term returns and providing enhanced portfolio diversification. Investments in futures contracts require the Master Fund to “mark to market” open positions on a daily basis, in order to reflect the change in the market value of the contract at the close of each day’s trading. Accordingly, variation margin is paid or received to reflect daily unrealized gains or losses. When the contracts are closed, the Master Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. Investments in futures contracts require initial margin deposits which consist of cash or eligible securities. Investments in futures contracts can be highly speculative and can substantially increase the adverse impact of investment risks to which the Master Fund may be subject.

 

The Master Fund may purchase call and put options on specific securities, and may write and sell covered or uncovered call and put options for hedging purposes and non-hedging purposes to pursue the Master Fund's investment objectives. A put option gives the purchaser of the option the right to sell, and obligates the writer to buy, the underlying security at a stated exercise price at any time prior to the expiration of the option. Similarly, a call option gives the purchaser of the option the right to buy, and obligates the writer to sell, the underlying security at a stated exercise price at any time prior to the expiration of the option. A covered call option is a call option with respect to which a portfolio owns the underlying security. The sale of such an option exposes a portfolio during the term of the option to possible loss of opportunity to realize appreciation in the market price of the underlying security or to possible continued holding of a security that might otherwise have been sold to protect against depreciation in the market price of the security. A covered put option is a put option with respect to which cash or liquid securities have been placed in a segregated account on a portfolio's books to fulfill the obligation undertaken. The sale of such an option exposes a portfolio during the term of the option to a decline in price of the underlying security while depriving the portfolio of the opportunity to invest the segregated assets. Options transactions may be effected on securities exchanges or in the over-the-counter market. When options are purchased over-the-counter, the Master Fund bears the risk that the counterparty that wrote the option will be unable or unwilling to perform its obligations under the option contract. Such options may also be illiquid and, in such cases, the Master Fund may have difficulty closing out its position. Over-the-counter options purchased and sold by the Portfolio Funds also may include options on baskets of specific securities.

 

Relevant authoritative accounting guidance establishes disclosure requirements for derivative instruments and hedging activities. It requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

 

It also requires enhanced disclosures regarding the Master Fund’s credit derivatives holdings, including credit default swaps, credit spread options, and hybrid financial instruments containing embedded credit derivatives.

 

All open derivative positions at year-end for the Master Fund are disclosed in the Schedule of Investments.

 

The following table sets forth the fair value of the Master Fund’s derivative contracts by primary risk exposure as of March 31, 2013:

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For The Year Ended March 31, 2013 (continued)

 

The following tables set forth by primary risk exposure the Master Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) by type of derivative contract for the year ended March 31, 2013:

 

 

 

 

During the year ended March 31, 2013 the Master Fund had an average of 10 short and 15 long outstanding futures contracts.

 

During the year ended March 31, 2013 the Master Fund had average written and purchased options outstanding of 0 contracts and 0 contracts, respectively.

 

The Master Fund bears all expenses incurred in the business of the Master Fund, including, but not limited to, the following: all costs and expenses related to portfolio transactions and positions for the Master Fund’s account; legal fees; accounting, auditing, and tax preparation fees; custodial fees; fees for data and software providers; costs of insurance; registration expenses; trustees’ fees; and expenses of meetings of the Board.

 

The Master Fund's policy is to comply with the requirements of Subchapter M of the Internal Revenue Code that are applicable to regulated investment companies (“RICs”) and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Master Fund.

 

Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Master Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more likely- than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For The Year Ended March 31, 2013 (continued)

 

The Income Tax Statement requires management of the Master Fund to analyze tax positions taken in the Master Fund’s open 2010-2012 tax returns or expected to be taken in the 2013 tax return, as defined by Internal Revenue Service statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. During the year ended March 31, 2013, the Master Fund did not have a liability for any unrecognized tax benefits. The Master Fund has no examination in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Regulated Investment Company Modernization Act of 2010 (the "Act") was signed into law on December 22, 2010. The Act makes changes to a number of the federal income and excise tax provisions impacting RICs, including simplification provisions on asset diversification and qualifying income tests, provisions aimed atpreserving the character of the distributions made by the RIC and coordination of the income and excise tax distribution requirements, and provisions for allowing unlimited years carryforward for capital losses.

 

The character of distributions made during the year from net investment income or net realized gain may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain/(loss) items for financial statement and tax purposes. Where appropriate, reclassifications between net asset accounts are made for such differences that are permanent in nature.

 

Additionally, U.S. GAAP requires certain components of net assets relating to permanent differences be reclassified between financial and tax reporting.  Permanent differences between book and tax basis are attributable to certain non-deductible expenses for tax purposes, including certain offering, organizational, and registration expenses.  These reclassifications have no effect on net assets or net asset value per share.  For the year ended March 31, 2013, the following amounts were reclassified:

 

 

At March 31, 2013, the federal tax cost of investment securities and unrealized appreciation (depreciation) as of year end were as follows:

 

 

The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.

 

As of March 31, 3013, the components of accumulated earnings on a tax basis were as follows:

 

 

The tax character of distributions paid during the year ended March 31, 2013 was as follows:

 

 

Cash, if any, includes amounts held in interest bearing money market accounts.  Such amounts, at times, may exceed federally insured limits.  The Master Fund has not experienced any losses in such accounts and does not believe it is exposed to any significant credit risk on such accounts.

 

As of March 31, 2013, the Master Fund had cash investments of $500,029 held in brokerage account. No restrictions or collateral apply to the brokerage account.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For The Year Ended March 31, 2013 (continued)

 

The preparation of financial statements in conformity with U.S. GAAP requires the Master Fund’s management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

In December 2011, the International Accounting Standards Board and the FASB issued ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of IFRS. ASU 2011-11 requires entities to: disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the implications of ASU 2011-11 and its impact on financial statements disclosures.

 

For the year ended March 31, 2013, cost of purchases and proceeds from sales, redemptions or other dispositions of Master Fund’s investments, other than short-term investments, amounted to $40,964,446 and $42,861,446, respectively.

 

The Master Fund sells Shares at their offering price, which is equal to the “net asset value” per Share. The net asset value of the Master Fund will be computed as of the close of business on the following days: (i) the last day of each fiscal year (March 31); (ii) the last day of each taxable year (December 31); (iii) the day preceding the date as of which any Shares are purchased; or (iv) any day as of which the Master Fund repurchases any Shares. The Master Fund’s net asset value is the value of the Master Fund’s assets less its liabilities, and its net asset value per Share equals that net asset value divided by the number of then issued and outstanding Shares.

 

The Master Fund has entered into an investment advisory agreement with the Adviser.  In consideration of services provided by the Adviser, the Master Fund pays the Adviser a monthly management fee computed at the annual rate of 1.00% of the Master Fund’s net asset value.   For the year ended March 31, 2013, the total management fee was $342,579.

 

In addition to the Management Fee, each Portfolio Sleeve of the Master Fund is subject to a sub-advisory fee, payable by the Master Fund to the applicable Sub-Adviser with respect to the assets of the Master Fund that are allocated to that Portfolio Sleeve. The Adviser, in its sole discretion, determines the particular portion of assets to be allocated for management by each Sub-Adviser.  Additional Sub-Advisers may be retained from time to time, subject to the approval of the Board and shareholders of the Master Fund.  The fees payable to the current Sub-Advisers as an annual percentage of the Master Fund’s net assets managed by the Sub-Adviser are as follows:

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For The Year Ended March 31, 2013 (continued)

 

As of March 31, 2013, Kennedy and SG have been allocated a portion of the Master Fund’s portfolio. For the year ended March 31, 2013, the total sub-advisor fee was $51,125.

 

The Master Fund will also pay the Adviser a performance-based incentive fee (the “Incentive Fee”) after the end of each period ending on the Master Fund’s fiscal year-end (the “Fiscal Period”).  If there are intra-year share repurchases they will be treated as the Fiscal Period and only that portion of the incentive fee that is proportional to the Master Fund’s assets paid in respect of such share repurchases will be paid to the Adviser for such Fiscal Period. The Incentive Fee with respect to a Fiscal Period is an amount equal to 5.0% of the aggregate amount by which the Master Fund's net profits for such period exceeds the Hurdle (as defined below) plus any Fee Catch-Up (as defined below). For the year ended March 31, 2013, there was no incentive fee paid by the Master Fund. The hurdle (the “Hurdle”) for a Fiscal Period is an amount equal to an annualized rate of 5.0% multiplied by the Master Fund's Prior High NAV (which is the greater of: the net asset value of the Master Fund as of the first day of such Fiscal Period, or the Prior High NAV for the prior Fiscal Period, adjusted for issuances and repurchases of shares, and dividends and distributions paid to shareholders) as of the beginning of such Fiscal Period.  The Hurdle will be reset for each Fiscal Period, and will not compound.

 

The fee catch-up (the "Fee Catch-Up") with respect to a Fiscal Period allows the Adviser to receive, from the portion of the net profits of the Master Fund that exceed the Hurdle, an incentive fee on the Hurdle equal to 5% of the amount of the Hurdle for such Fiscal Period.

 

The Board has approved modifying the investment management fee structure of the Master Fund subject to the modifications being approved by shareholders. The modifications include: (a) elimination of the Incentive Fee; and (b) an increase in the asset-based fee Management Fee from 1.0% to 1.5% (together, the “Modified Fee”).

 

A shareholder meeting to consider approval of the Modified Fee is expected to be held later on in 2013. Prior to that time, a proxy statement describing the Modified Fee and the reasons for its approval by the Trustees of the Fund will be filed with the SEC and distributed to shareholders.

 

Currently, the Adviser has agreed to voluntarily waive any Incentive Fee that may accrue to the Adviser from the Master Fund.

 

Since the organization of the Master Fund, organizational expenses of $78,792 have been reimbursed by the Adviser and are subject to recoupment based on the Expense Limitation Agreement as reimbursement is assessed and done at the Feeder Fund Level only.  Offering costs of $40,172 have been amortized to expense over twelve months on a straight-line basis starting January 1, 2012, commencement of operations, and are subject to recoupment pursuant to the Expense Limitation Agreement.

 

Foreside Fund Services, LLC (“Foreside”) serves as principal underwriter. The Master Fund is not subject to an ongoing distribution fee.

 

UMB Bank, N.A. provides custodial services for the Master Fund. J.D. Clark & Company, a division of UMB Fund Services, Inc. serves as administrator and accounting agent to the Master Fund and provides certain accounting, record keeping and investor related services. The Master Fund pays a monthly fee to the custodian and administrator based upon average net assets, subject to certain minimums. For the year ended March 31, 2013, the total accounting and administration fees were $74,598.

 

An investment in the Master Fund involves significant risks including leverage risk, interest rate risk, liquidity risk and economic conditions risk, that should be carefully considered prior to investment and should only be considered by persons financially able to maintain their investment and who can afford a loss of a substantial part or all of such investment.  The value of the Master Fund's investments can be reduced as a result of unsuccessful allocations among Asset Classes, including the poor performance of one or more Asset Classes, the Adviser's or a Portfolio Manager's employment of unsuccessful investment strategies, the Adviser's poor selection of Portfolio Managers or Portfolio Funds, poor economic growth, pronounced market volatility, and political and legal developments.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

NOTES TO FINANCIAL STATEMENTS

 

For The Year Ended March 31, 2013 (continued)

 

 

Further, the Master Fund's use of leverage, short sales or derivative transactions can result in significant losses to the Portfolio.  No guarantee or representation is made that the investment objective will be met.

 

Shares will be offered in a continuous offering for purchase monthly, as of the first day of each month (each day, a “Closing Day”), at the Master Fund’s then-current net asset value per Share (determined as of the close of the preceding month). Because the Master Fund is a closed-end fund, no shareholder will have the right to require the Fund to redeem its shares. No public market exists for the shares, and none is expected to develop. Consequently, investors will not be able to liquidate their investment other than as a result of repurchases of shares by the Master Fund or in the event of a mandatory redemption. For the period ended March 31, 2012 and year ended March 31, 2013 transactions in shares were as follows: 

 

The Board may, from time to time at its sole discretion, cause the Master Fund to repurchase Shares from shareholders pursuant to written tenders by shareholders at such times and on such terms and conditions as established by the Board. In determining whether the Master Fund should offer to repurchase Shares, the Board will consider, among other things, the recommendation of the Adviser. In an effort to provide some liquidity for investors, the Adviser expects to recommend that the Master Fund makes offers to repurchase up to 8% of its Shares as of the end of each calendar month at the then-current net asset value. The Board, in its discretion, must determine whether to approve each such offer (and for what amount).  There can be no assurance that the Master Fund will make such repurchase offers, nor that shareholders tendering Shares for repurchase in any offer will have all of their tendered Shares repurchased by the Master Fund.

 

The Master Fund maintains a credit facility (the “Facility”) with a maximum borrowing amount of $5,000,000 which is secured by certain interests in the Master Fund’s marketable securities. The interest rate charged on borrowings is the 1-month London Interbank Offer Rate plus a spread of 250 basis points, adjusted daily. Collateral for the new facility is held by UMB Bank N.A. as custodian. Interest and fees incurred for the year ended March 31, 2013 are disclosed in the accompanying Statement of Operations. At March 31, 2013, the Master Fund had $0 payable on the unused portion of the Facility and did not hold an interest payable balance on the borrowings. The average interest rate, the average daily balance, and the maximum balance outstanding for borrowings under the Facility for the year ended March 31, 2013 was 2.71%, $95,238, and $2,000,000, respectively.

 

In the normal course of business, the Master Fund enters into contracts that provide general indemnifications.  The Master Fund’s maximum exposure under these agreements is dependent on future claims that may be made against the Master Fund, and therefore cannot be established; however, based on the Adviser’s experience, the risk of loss from such claims is considered remote.

 

***

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

BOARD OF TRUSTEES

(Unaudited)

 

The identity of the Board members (each a “Trustee”) and brief biographical information, as of March 31, 2013, is set forth below.   The business address of each Trustee is care of Gottex Fund Management, Ltd., 28 State Street, 40^th Floor, Boston, MA 02109.  The Master Fund’s statement of additional information includes information about the Trustees and may be obtained without charge by calling the Master Fund at (617) 532-0200.

 

* "Interested person" of the Master Fund, as defined by the 1940 Act. Dr. Landes is an interested person because of his affiliation with the Adviser and its affiliates.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

MASTER FUND MANAGEMENT

(Unaudited)

 

Set forth below is the name, date of birth, position with the Master Fund, length of term of office, and the principal occupation for the last five years, as of March 31, 2013, of each of the persons currently serving as Executive Officers. The business address of each Officer is care of Gottex Fund Management, Ltd., 28 State Street, 40^th Floor, Boston, MA 02109.

 

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

OTHER INFORMATION

(Unaudited)

 

Proxy Voting

A description of the policies and procedures the Master Fund uses to determine how to vote proxies relating to the portfolio securities is available, without charge, upon request, by calling (800) 504-9070 or on the SEC’s website at http://www.sec.gov. A copy of the Master Fund’s voting record for the most recent 12-month period ended June 30 is available at the SEC’s website at http://www.sec.gov.

 

Availability of Quarterly Portfolio Schedules

The Master Fund files complete schedule of portfolio holdings with the SEC 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 SEC’s website at http://www.sec.gov. The Master Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330; and the Master Fund makes the information on Form N-Q available upon request without charge.

 

Tax Information Unaudited

For the year ended March 31, 2013, 10.36% of the dividends paid from net investment income, including short-term capital gains from the Master Fund, is designated as qualified income.

 

For the year ended March 31, 2013, 5.48% of the dividends paid from net investment income, including short-term capital gains from the Master Fund, is designated as dividends received deduction available to corporate shareholders.

 

 

GOTTEX MULTI-ASSET ENDOWMENT MASTER FUND

 

(a Delaware Statutory Trust)

 

OTHER INFORMATION

(Unaudited)(continued)

 

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To ensure our clients' and investors' privacy, Gottex has developed a policy that is designed to protect confidentiality, while allowing our clients' and investors' needs to be served ("Privacy Policy"). Please read this Privacy Policy carefully. It gives you important information about how Gottex handles your personal information.  As a matter of policy, Gottex does not disclose any personal information about individuals who are current or former investors or clients to anyone, except as permitted by law.

 

Personal Information We May Collect

 

In the course of providing products and services, Gottex may obtain nonpublic personal information, which may come from sources such as account applications and other forms, from other written, electronic or verbal correspondence, from transactions, and/or from information captured on Gottex's internet website. The nonpublic personal information we collect may include, but is not limited to, your name, address, telephone number, e-mail address, social security number, and date of birth. We may use this information in connection with certain aspects of our business.

 

Sharing Information with Third Parties

 

Gottex may share nonpublic personal information with our affiliates.  We may disclose this information to non-affiliated third-party service providers that perform services for us ("Service Providers"), pursuant to an agreement that requires the Service Provider to adhere to Gottex's Privacy Policy.

 

Security of Personal Information

 

Gottex strictly protects the personal information you provide against unauthorized access, disclosure, alteration, destruction, loss or misuse. Your personal information is protected by physical, electronic, and procedural safeguards. These safeguards include limiting access to your personal information to those Gottex employees and Service Providers that use that information in connection with providing products or services to you. In addition to this Privacy Policy, Gottex has also implemented procedures that are designed to safeguard your personal information.

 

Changes in Our Privacy Policy

 

Gottex periodically reviews its Privacy Policy. We reserve the right to amend it. If we amend this Privacy Policy, we will continue our commitment to maintaining the security and privacy of your personal information.

 

Former Customers

 

If your customer relationship with Gottex ends, we will not destroy your personal information. We will continue to treat your personal information in accordance with this Privacy Policy and applicable laws.

 

 

 

ITEM 2. CODE OF ETHICS.

 

(a) The Registrant has adopted a code of ethics (the “Code of Ethics”) that applies to the Registrant’s principal executive officer and principal financial officer.

 

(b) No information needs to be disclosed pursuant to this paragraph.

 

(c) The Registrant has made no amendments to its Code of Ethics during the period covered by the report to members presented in Item 1 hereto.

 

(d) The Registrant has not granted a waiver or an implicit waiver from a provision of its Code of Ethics during the period covered by the report to members presented in Item 1 hereto.

 

(e) Not applicable.

 

(f)

(1) Code of Ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(2) Not applicable.

(3) Not applicable.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

 

As of the end of the period covered by the report, the registrant's board of trustees has determined that Mr. Jonas B. Siegel is qualified to serve as the audit committee financial expert serving on its audit committee and that he is "independent," as defined by Item 3 of Form N-CSR.

 

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

 

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $15,000 for 2012 and $17,500 for 2013.

 

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2012 and $2,000 for 2013. The fees listed in item 4 (b) are related to out-of-pocket expenses in relation to the annual audit of the registrant.

 

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $7,500 for 2012 and $7,875 for 2013.

 

All Other Fees

(d) The aggregate fees billed in the last fiscal year for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2012 and $0 for 2013.

 

 (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

 

The Registrant's Audit Committee must pre-approve the audit and non-audit services of the Auditors prior to the Auditor's engagement.

 

 (e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) 100%

 

(c) 100%

 

(d) 0%

 

 

(f) Not applicable.

 

(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2012 and $0 for 2013.

 

(h) The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. No such services were provided.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

Not applicable.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

 

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

 

 

The Proxy Voting Policies are attached herewith.

 

 

This Proxy Voting Policy and Procedures Manual (the “Manual”) has been approved by Gottex Fund Management Sarl and Gottex Fund Management, Ltd. and its affiliates (referred to together as “Gottex” or each an “Adviser” and collectively, the “Advisers”) to comply with the requirements of Rule 206(4)-6 and Rule 204-2 (the “Rules”) issued under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). Among other things, the Rules require Gottex to “adopt policies and procedures reasonably designed to ensure that the adviser votes proxies in the best interest of clients, to disclose to clients information about those policies and procedures, and to disclose to clients how they may obtain information on how the adviser has voted their proxies.”

 

 

The Advisers are investment advisers to several funds (the “Master Funds” or each a “Master Fund”) that operate as fund of hedge funds, investing, either directly or indirectly, in a group of private funds or other unregistered pooled investment vehicles or accounts (the “Underlying Funds”) managed by investment advisers. These Underlying Funds do not typically convey traditional voting rights to the holders and the occurrence of corporate governance or other notices for this type of investment is substantially less than that encountered in connection with registered equity securities.

 

Proxy voting is a right of each Master Fund and reasonable care and diligence must be undertaken to ensure that such rights are properly and timely exercised. Gottex reviews and recommends to the custodian, proxy proposals on behalf of each Master Fund, relating to each Master Fund’s investments in the Underlying Funds (and any other Master Fund investments), in a manner that seeks to serve the best interests of each Master Fund, taking into account the following factors:

 

 

 

 

 

 

 

In addition, Gottex seeks to resolve any potential conflicts of interest by applying the policy and procedures detailed in this Manual.

 

 

All proxies and related materials should be received by, or forwarded to, the Chief Compliance Officer. The Chief Compliance Officer will:

 

 

 

 

 

 

    

 

 

 

 

 

 

 

 

The Master Fund’s Portfolio Manager, on behalf of Gottex, will vote proxies in the best interests of each Master Fund. Situations may arise in which more than one Master Fund invests in the same Underlying Fund. The two Master Funds may have different investment objectives, investment styles, or Portfolio Managers; as a result Gottex may cast different votes on behalf of the different Master Funds. Generally, Gottex will vote in favor of routine corporate housekeeping proposals and vote against proposals that make it more difficult to replace members of the Underlying Fund’s board of directors.

 

 

Rule 206(4)-6 under the Advisers Act requires that the proxy voting procedures adopted and implemented by a registered investment adviser include procedures that address material conflicts of interest that may arise between the investment adviser and its clients. To address such material conflicts of interest, Gottex has adopted policies to safeguard the integrity of Gottex’s investment process and decision, including proxy voting, and to maintain the integrity and independence of the investment process and decisions.

 

 

The Portfolio Manager, along with the Chief Compliance Officer, is responsible for identifying potential material conflicts of interests. When a potential material conflict of interest has been identified, it is the responsibility of the Portfolio Manager in consultation with the Chief Compliance Officer and General Counsel to determine whether an actual material conflict of interest exists.

 

In the event an actual material conflict of interest exists, the final voting decision will be made by the General Counsel. The resolution of all potential and actual material conflict issues will be thoroughly documented by the Chief Compliance Officers and retained in Gottex’s records as defined in Section VI.

 

 

A Master Fund’s investment clients (the “Clients”) may contact the Chief Compliance Officer, via e-mail or telephone, in order to obtain information on how Gottex voted such Master Fund proxies, or to request a copy of this Manual. To request information about a voted proxy or to request a Manual, please send a letter to:

 

Gottex Fund Management

Attention: Chief Compliance Officer

Proxy Voting Information

28 State Street, 40^th Floor

Boston, MA 02109

 

If a Client requests this information, the Chief Compliance Officer will prepare a written response to the Client that lists, with respect to each voted proxy about which the Client has inquired:

 

 

 

 

To comply with the client disclosure requirements of the Rules, Gottex has drafted the disclosure document attached as Exhibit A. This disclosure document briefly describes Gottex’s Proxy Voting Policy and Procedures, notifies clients that Gottex will provide a copy of the Manual upon request, and tells Clients how they may obtain information on how Gottex voted their proxies.

 

 

 

The Chief Compliance Officer will maintain files relating to Gottex’s proxy voting policy and procedures in an easily accessible place. Records will be maintained and preserved for five years from the end of the fiscal year during which the last entry was made on a record, with records for the first two years kept in the offices of Gottex. Records of the following will be included in the files:

 

 

 

 

 

 

 

 

The Chief Compliance Officer is responsible for monitoring compliance with the policy and procedures set forth in this Manual, including the maintenance of the appropriate records. The Chief Compliance Officer is also responsible for reviewing the policy and procedures and making recommendations regarding any appropriate changes to the Manual.

 

Exhibit A

 

Gottex Proxy Voting Policy and Procedures Disclosure Document

 

In compliance with SEC regulations, Gottex has adopted Proxy Voting Policy and Procedures that we believe are reasonably designed to ensure that we vote proxies in the best interests of our clients.

 

The Gottex Proxy Voting Policy and Procedures Manual sets forth our proxy voting process in more detail. A copy of this manual is available upon request. Moreover, if you would like a detailed description of a proxy we voted, you may ask us for information about the proxy vote. To request a copy of our Proxy Voting Policy and Procedures Manual or information about a voted proxy, please send a letter to:

 

 

 

 

Gottex Fund Management

Attention: Chief Compliance Officer

Proxy Voting Information

28 State Street, 40^th Floor

Boston, MA 02109

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

(a)(1) Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members

 

The following table provides biographical information about the personnel of Gottex Fund Management Ltd. (the “Advisor”), who are primarily responsible for Gottex Multi-Asset Endowment Fund - I (the “Fund”) day-to-day portfolio management as of June 7, 2013:

 

 

(a)(2) Other Accounts Managed by Portfolio Manager and Potential Conflicts of Interest

 

The following table provides information about portfolios and accounts, other than the Fund, for which the Portfolio Manager is primarily responsible for the day-to-day portfolio management as of March 31, 2013:

 

 

 

Potential Conflicts of Interest

 

The investment activities of the Adviser, Portfolio Managers and their affiliates for their own accounts and for other accounts they manage (collectively, "Other Accounts") may give rise to conflicts of interest that may disadvantage the Funds. Each Fund has no interest in these other activities of the Adviser and its affiliates. As a result of the foregoing, the persons that manage the Fund's investments and their associated investment firms and their affiliates: (i) will be engaged in substantial activities other than on behalf of the Adviser and the Fund, (ii) may have differing economic interests in respect of such activities, and (iii) may have conflicts of interest in allocating their time and activity between each Fund and Other Accounts. Such persons will devote only so much of their time to the management of the Fund's investments as in their judgment is necessary and appropriate.

 

There may be circumstances under which the Adviser, Portfolio Managers or their associated firms will cause one or more of their Other Accounts to commit a different percentage of their respective assets to an investment opportunity than to which they will commit the Fund's assets. There also may be circumstances under which they will consider participation by their Other Accounts in investment opportunities in which the Fund would not intend to invest, or vice versa. The Adviser and Portfolio Managers will not purchase securities or other property from, or sell securities or other property to, the Fund, except that certain broker dealers affiliated with Portfolio Managers may act as broker for the Fund in effecting securities transactions, subject to adherence to applicable Securities and Exchange Commission (the "SEC") rules.

 

(a)(3) Compensation Structure of Portfolio Manager

 

Portfolio Manager Compensation

Dr. Landes' compensation consists of periodic draws and the income from the profits of the Adviser, derived by him as Senior Managing Director and Senior Investment Partner. The level of the Adviser's profitability in turn is dependent on the advisory fees and performance fees and allocations received from the Funds and other advisory clients.

 

(a)(4) Disclosure of Securities Ownership

 

Securities Ownership of the Funds' Portfolio Manager

The following table sets forth the dollar range of equity securities beneficially owned by the Portfolio Manager in the Fund as of March 31, 2013:

 

(b) Not applicable.

 

 

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

Not applicable.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

 

Not applicable.

 

ITEM 11. CONTROLS AND PROCEDURES.

 

(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

ITEM 12. EXHIBITS.

 

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

 

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

(a)(3) Not applicable.

 

(b) Officer certifications as required by Rule 30a-2(b) under the 1940 Act also accompany this filing as an exhibit.

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

 

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.

 

 

 

 

 

* Print the name and title of each signing officer under his or her signature.