0001580642-16-009325.txt : 20160610 0001580642-16-009325.hdr.sgml : 20160610 20160610102219 ACCESSION NUMBER: 0001580642-16-009325 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20160331 FILED AS OF DATE: 20160610 DATE AS OF CHANGE: 20160610 EFFECTIVENESS DATE: 20160610 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Altegris KKR Commitments Master Fund CENTRAL INDEX KEY: 0001606789 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-22963 FILM NUMBER: 161707641 BUSINESS ADDRESS: STREET 1: 1200 PROSPECT STREET, SUITE 400 CITY: LA JOLLA STATE: CA ZIP: 92037 BUSINESS PHONE: (888) 524-9441 MAIL ADDRESS: STREET 1: 1200 PROSPECT STREET, SUITE 400 CITY: LA JOLLA STATE: CA ZIP: 92037 FORMER COMPANY: FORMER CONFORMED NAME: Altegris KKR Private Equity Master Fund DATE OF NAME CHANGE: 20140429 N-CSR 1 altegriskkrmasterncsr.htm N-CSR Blu Giant, LLC

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 811-22963

 

Altegris KKR Commitments Master Fund

(Exact name of registrant as specified in charter)

 

1200 Prospect Street, Suite 400 La Jolla, CA 92037

(Address of principal executive offices) (Zip code)

 

David P. Mathews, Senior Vice President & General Counsel , Altegris Advisors, L.L.C.

1200 Prospect Street, Suite 400 La Jolla, CA 92037

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2619

 

Date of fiscal year end: 3/31

 

Date of reporting period: 3/31/16

 

Item 1. Reports to Stockholders.

 

(COVER PAGE)

 

 

Altegris KKR Commitments Master Fund
March 31, 2016

 

Table of Contents   
    
Consolidated Portfolio of Investments  1
Consolidated Statement of Assets and Liabilities  2
Consolidated Statement of Operations  3
Consolidated Statements of Changes in Net Assets  4
Consolidated Statement of Cash Flows  5
Consolidated Financial Highlights  6
Consolidated Notes to Financial Statements  7
Report of Independent Registered Public Accounting Firm  14
Approval of Advisory Agreement  15
Privacy Notice  19
Supplemental Information (Unaudited)  21
 

 

Altegris KKR Commitments Master Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS
March 31, 2016

 

              Unrealized    
              Gain/(Loss)   Initial
           % of Net  from   Acquisition
Investments  Cost   Fair Value (a)   Assets  Investments   Date
PRIVATE EQUITY - 87.3%                     
KKR 2006 Fund (Allstar) L.P. (b) *  $1,756,396   $1,674,810   1.66%  $(81,586)  12/31/2015
KKR 2006 Fund (GDG) L.P. (b) *   1,947,684    2,646,881   2.63%   699,197   12/31/2015
KKR 2006 Fund (Overseas) L.P.   13,139,685    13,806,966   13.71%   667,281   12/31/2015
KKR 2006 Fund (Samson) L.P. *   389,909    428,000   0.42%   38,091   12/31/2015
KKR 2006 Fund L.P.   19,176,290    15,873,791   15.76%   (3,302,499)  12/31/2015
KKR Blue Co-Invest L.P. *   1,902,706    1,938,870   1.93%   36,164   3/1/2016
KKR European Fund III, L.P. *   23,058,552    28,241,163   28.04%   5,182,611   12/31/2015
KKR European Fund IV, L.P. *   515,099    573,839   0.57%   58,740   1/1/2016
KKR North American Fund XI (Brazil A) L.P. *   181,493       0.00%   (181,493)  10/29/2015
KKR North American Fund XI (Buckeye) L.P. *   512,206    216,162   0.21%   (296,044)  10/29/2015
KKR North American Fund XI (Indigo) L.P. (b) *   138,177    142,175   0.14%   3,998   12/31/2015
KKR North American Fund XI (Sage) L.P. (b) *   519,017    498,434   0.49%   (20,583)  12/31/2015
KKR North American Fund XI (Wave) L.P. (b) *   1,043,197    1,302,374   1.29%   259,177   12/31/2015
KKR North American Fund XI L.P. *   17,604,416    19,169,396   19.03%   1,564,980   10/29/2015
Salient Solutions LLC *   1,057,149    1,395,436   1.39%   338,287   2/1/2016
TOTAL PRIVATE EQUITY  $82,941,976   $87,908,297   87.29%  $4,966,321    
                      
TOTAL INVESTMENTS - 87.3% (Cost - $82,941,976)       $87,908,297            
OTHER ASSETS LESS LIABILITIES - 12.7%        12,801,524            
NET ASSETS - 100.0%       $100,709,821            

 

*Non-income producing.

 

(a)Securities are restricted to resale.

 

(b)These investments is a holding of AKCF LLC - Series A.

 

See accompanying notes to the financial statements.

1

 

Altegris KKR Commitments Master Fund
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
March 31, 2016

 

ASSETS     
Investment securities:     
Investments at cost  $82,941,976 
Investments at fair value  $87,908,297 
Cash   15,884,157 
Receivable for Fund shares sold   467,825 
Receivable for deffered offering costs   155,343 
Prepaid Directors fees   7,162 
Prepaid expenses and other assets   45,271 
TOTAL ASSETS   104,468,055 
      
LIABILITIES     
Subscriptions received in advance   3,527,622 
Payable due to Adviser   208,488 
Related parties payable   9,523 
Accrued expenses and other liabilities   12,601 
TOTAL LIABILITIES   3,758,234 
NET ASSETS  $100,709,821 
      
Composition of Net Assets:     
Paid in capital  $95,360,298 
Accumulated net investment gain   143,559 
Accumulated undistributed net realized gain on investment   239,643 
Net unrealized appreciation of investments   4,966,321 
NET ASSETS  $100,709,821 
      
Shares of beneficial interest outstanding [$0 par value]   3,790,416 
(15,000,000 Shares authorized)     
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share  $26.57 

 

See accompanying consolidated notes to financial statements.

2

 

Altegris KKR Commitments Master Fund
CONSOLIDATED STATEMENT OF OPERATIONS
For the Period Ended March 31, 2016 (1)

 

INVESTMENT INCOME     
Dividends  $830,227 
TOTAL INVESTMENT INCOME   830,227 
      
EXPENSES     
Organization expenses   542,595 
Advisor fees   518,901 
Professional fees   57,165 
Administrative services fees   25,159 
Accounting services fees   17,392 
Custodian fees   10,489 
Printing and postage expenses   10,336 
Trustees fees and expenses   10,314 
Transfer agent fees   3,790 
Other expenses   25,767 
TOTAL EXPENSES   1,221,908 
Less: Expenses reimbursed by the Adviser   (468,049)
Less: Advisor Fees waived   (60,715)
      
NET EXPENSES   693,144 
      
NET INVESTMENT INCOME   137,083 
      
NET REALIZED AND UNREALIZED GAIN (LOSS) ON OPERATIONS     
Capital Gain Distributions from underlying investments   239,643 
Net change in unrealized appreciation (depreciation) on investments   4,966,321 
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS   5,205,964 
      
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS  $5,343,047 

 

(1)The Fund commenced operations on July 31, 2015.

 

See accompanying consolidated notes to financial statements.

3

 

Altegris KKR Commitments Master Fund
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   For the 
   Period Ended 
   March 31, 2016 (1) 
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS     
Net investment income  $137,083 
Capital Gain Distributions from underlying investments   239,643 
Net change in unrealized appreciation on investments   4,966,321 
Net increase in net assets resulting from operations   5,343,047 
      
SHARES OF BENEFICIAL INTEREST     
Proceeds from shares sold:   95,266,774 
      
NET INCREASE IN MEMBERS CAPITAL   100,609,821 
      
NET ASSETS     
Beginning of Period   100,000 
End of Period *  $100,709,821 
* Includes accumulated net investment income (loss) of:  $143,559 
      
SHARE ACTIVITY     
Shares Sold   3,790,416 
Net increase in shares outstanding   3,790,416 

 

(1)The Fund commenced operations on July 31, 2015.

 

See accompanying consolidated notes to financial statements.

4

 

Altegris KKR Commitments Master Fund
CONSOLIDATED STATEMENT OF CASH FLOWS
For the Period Ended March 31, 2016 (1)

 

CASH FLOWS FROM OPERATING ACTIVITIES     
Net Increase in net assets resulting from operations  $5,343,047 
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities:     
Return of capital distributions   901,129 
Net change in unrealized appreciation (depreciation)   (4,966,321)
Purchase of investments   (83,843,105)
Increase in receivable for Fund shares sold   (467,825)
Increase in prepaid and other assets   (207,776)
Increase in investment management fee payable   208,488 
Increase in accrued expenses and other liabilities   12,601 
Increase in affiliated fees   9,523 
Net Cash Used in Operating Activities   (83,010,239)
      
CASH FLOWS FROM FINANCING ACTIVITIES     
Proceeds from Units issued, including subscriptions received in advance   98,794,396 
Payment of Units redeemed, net of payable for Units redeemed    
Net Cash Provided in Financing Activities   98,794,396 
      
NET INCREASE IN CASH   15,784,157 
CASH - BEGINNING OF PERIOD   100,000 
CASH - END OF PERIOD  $15,884,157 

 

(1)The Fund commenced operations on July 31, 2015.

 

See accompanying consolidated notes to financial statements.

5

 

Altegris KKR Commitments Master Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

Per Unit Data and Ratios for a Share of Beneficial Interest Outstanding Throughout the Period

 

   Period Ended 
   March 31, 2016 (1) 
Net asset value, beginning of period  $25.00 
Gain (Loss) from investment operations:     
Net investment gain (loss) (2)   0.05 
Net realized and unrealized gain (loss) on investments   1.52 
Total from investment operations   1.57 
Net asset value, end of period  $26.57 
Total return (3,4)   6.28%
Net assets, at end of period (000s)  $100,710 
Ratios/Supplemental Data:     
Ratio of gross expenses to average net assets (5,7)   2.42%
Ratio of net expenses to average net assets (6,7)   1.61%
Ratio of net investment income to average net assets (7)   0.32%
Portfolio Turnover Rate (4)   0%

 

 
(1)The Fund commenced operations on July 31, 2015.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(3)Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

 

(4)Not annualized.

 

(5)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Advisor.

 

(6)The Advisor voluntary waived $60,715 in Advisory fees. Without this Waiver the Net expenses would have been 1.75%.

 

(7)Annualized for periods less than one full year.

 

See accompanying consolidated notes to financial statements.

6

 

Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS
March 31, 2016
 
1.ORGANIZATION

 

Altegris KKR Commitments Master Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the ’’1940 Act’’), as a non-diversified, closed-end management investment company. The Fund was organized as a Delaware statutory trust on April 22, 2014 and did not have any operations from that date until November 14, 2014, other than those relating to organizational matters and registration of its shares under applicable securities law. The Fund commenced operations on July 31, 2015.

 

Altegris Advisors, L.L.C., (the ’‘Adviser’’) serves as the Fund’s investment adviser.

 

The Fund will engage in a continuous offering, up to a maximum of 15 million shares of beneficial interest, and will operate as an closed-end fund that will offer to make quarterly repurchases of shares at the Fund’s net asset value (’‘NAV’’). The Fund’s initial offering price is $25.00 per share. The Adviser initially capitalized the Fund on November 14, 2014 at $25.00 per share.

 

The Fund’s investment objective is to seek long-term capital appreciation. The Fund intends to allocate at least 80% of its assets to private equity investments of any type, sponsored or advised by Kohlberg Kravis Roberts & Co. L.P. or an affiliate (collectively, “KKR”), including primary offerings and secondary acquisitions of interests in alternative investment funds that pursue private equity strategies (“Investment Funds”) and co-investment opportunities in operating companies (“Co-Investment Opportunities”) presented by such KKR Investment Funds or by KKR. However, the Fund may at any time determine to allocate its assets to investments not sponsored, issued by, or otherwise linked to, KKR or its affiliates and to strategies and asset classes not representative of private equity.

 

Consolidation of a Subsidiary – The consolidated financial statements of the Fund include AKCF LLC (“AKCF”), a limited liability company of which the Fund invest through. AKCF is a wholly-owned subsidiary, therefore all inter-company accounts and transactions have been eliminated.

 

A summary of the Fund’s investment in AKCF is as follows:

 

   Inception Date of  AKCF Net Assets at  % of Total Net Assets at
   AKCF  March 31, 2016  March 31, 2016
AKCF  09/18/15  $6,264,674  6.2%

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. The policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements requires 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 income and expenses for the year then ended. Actual results could differ from those estimates. The Fund follows the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

 

Securities Valuation –The Fund has adopted valuation procedures pursuant to which it will fair value its interests in Investment Funds and Co-Investment Opportunities. These valuation procedures, which have been approved by the Board of Trustees of the Fund, provide that the valuations determined by the Investment Managers will be reviewed by the Adviser. Such valuation provided by the Investment Manager may be unaudited during the year. The Fund will generally rely on such valuations, which are provided on a quarterly basis, even in instances where an Investment Manager may have a conflict of

7

 
Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
 

interest in valuing the securities. Furthermore, the underlying Investment Funds will typically provide the Adviser with only estimated net asset values or other valuation information on a quarterly basis, and such data will be subject to revision through the end of each Investment Fund’s annual audit. While such information is provided on a quarterly basis, the Fund will provide valuations, and will issue Shares, on a monthly basis.

 

The Adviser is responsible for developing the Fund’s written valuation processes and procedures, conducting periodic reviews of the valuation policies and evaluating the overall fairness and consistent application of the valuation policies. A valuation committee comprised of the Fund’s personnel meets monthly, or as needed, to determine the valuation of the Fund’s investments.

 

The Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of March 31, 2016 for the Fund’s assets and liabilities measured at fair value:

 

               Investments     
Assets *  Level 1   Level 2   Level 3   Valued at NAV   Total 
Investments                         
Private Equity  $   $   $   $87,908,297   $87,908,297 

 

*Refer to the Portfolio of Investments for industry classification.

 

The Fund did not hold any Level 3 securities during the current period.

 

It is the Fund’s policy to recognize transfers into or out of Level 1 and Level 2 at the end of the reporting period.

 

In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).” Investment companies are permitted to measure the fair value of certain privately offered investments using the NAV per share of the investment. Measuring the fair value of an investment this way is called using the NAV practical expedient. Prior to the amendments in ASU No. 2015-07, investments valued using the NAV practical expedient were required to be categorized within the fair value hierarchy. The amendments in ASU No. 2015-07 remove the requirement to categorize within the fair value hierarchy investments measured using the NAV practical expedient. The ASU also removes certain disclosure requirements for investments that qualify, but do not utilize, the NAV practical expedient. The Fund is permitted to invest in alternative investments that do not have a readily

8

 
Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
 

determinable fair value and, as such, has elected to use the NAV as calculated on the reporting entity’s measurement date as the fair value of the investment. The Fund elected to early adopt and retroactively apply ASU 2015-07.

 

Adjustments to the NAV provided by the Adviser would be considered if the practical expedient NAV was not as of the Fund’s measurement date; it was probable that the alternative investment would be sold at a value materially different than the reported expedient NAV; or it was determined by the Fund’s valuation procedures that the private equity is not being reported at fair value.

 

A listing of the private equity held by the Fund and their attributes, as of March 31, 2016, that qualify for these valuations are shown in the table below:

 

                    Notice  Redemption
Investment         Unfunded   Remaining  Redemption  Period (In  restrictions
Category    Investment Strategy    Fair Value     Commitments     Life    Frequency *    Days)    Terms **
                        
Private Equity -Buyout  Investments in nonpublic companies; the acquisition of the company uses some percentage of debt.  $86,512,861   $46,447,073   N/A  None  N/A  Liquidity in form of distributions from Investment, before Funds.
                          
Private Equity -Growth Equity  Investments in nonpublic companies; the acquisition of the company that create value through profitable revenue.  $1,395,436       N/A  None  N/A  Liquidity in form of distributions from Investment, before Funds.
                          
*The information summarized in the table above represent the general terms for the specified asset class. Individual investment Funds may have terms that are more or less restrictive than those terms indicated for the asset class as a whole. In addition, most Investment Funds have the flexibility, as provided for in their constituent documents, to modify and waive such terms.

 

**Distributions from Investment Funds occur at irregular intervals, and the exact timing of distributions from Investment Funds cannot be determined. It is estimated that distributions will occur over the life of the Investment Funds.

 

Security Transactions and Related Income – Security transactions are accounted for on trade date basis. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.

 

Dividends and Distributions to Shareholders – Dividends from net investment income are declared and distributed annually. Distributable net realized capital gains are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are recorded on ex-dividend date and determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification.

9

 
Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
 

Federal Income Taxes – It is the Fund’s policy to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision has been recorded.

 

The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions expected to be taken on returns filed for open tax year ended September 30, 2015 or expected to be taken in the Fund’s September 30, 2016 tax return. The Fund identifies its major tax jurisdictions as U.S. Federal and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

AKCF is a domestic limited liability company that has elected to be treated as a corporation and will be separately subject to U.S. federal and state income taxes. As of the date of this reporting period, there is no tax liability and therefore no provision for income taxes is required. Management of AKCF has concluded that there are no significant uncertain tax positions for current open tax years that would require recognition in the financial statements. Management is also not aware of any tax positions for which it is reasonably possible that the total amounts of uncertain unrecognized tax benefits will significantly change in the next twelve months.

 

Cash – Cash includes cash held or deposited in bank accounts. The Fund deposits cash with high quality financial institutions. These deposits are guaranteed by the Federal Deposit Insurance Company up to an insurance limit.

 

Offering and Organizational Costs Organizational costs are charged to expense as incurred. Offering costs incurred by the Fund are treated as deferred charges until operations commence and thereafter will be amortized into expense over a 12 month period using the straight line method.

 

The Fund has incurred $231,909 in organizational costs and had $466,030 in deferred offering costs of which $155,343 of the deferred offering costs remain payable for the period ended March 31, 2016. As of March 31, 2016, all cost incurred by the Fund in connection with its offering are payable by the Adviser. Such expenses paid by the Adviser are subject to reimbursement for the next three years.

 

Indemnification – The Fund indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

 

3.INVESTMENT TRANSACTIONS AND ASSOCIATED RISKS

 

For the period ended March 31, 2016, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments amounted to $83,843,105 and $0, respectively.

 

General Economic and Market Conditions. The value of the Fund’s total net assets should be expected to fluctuate. To the extent that the Fund’s portfolio is concentrated in securities of a single issuer or issuers in a single sector, the risk of any investment decision is increased. An Investment Fund’s use of leverage is likely to cause the Fund’s average net assets to appreciate or depreciate at a greater rate than if leverage were not used.

 

Private Equity Investments. Private equity is a common term for investments that are typically made in private or public companies through privately negotiated transactions, and generally involve equity-related finance intended to bring about some kind of change in an operating company (e.g., providing growth capital, recapitalizing a company or financing an acquisition). Private equity funds, often organized as limited partnerships, are the most common vehicles for making private equity investments, although the Fund may also co-invest directly in an operating company in conjunction with an Investment Fund. The investments held by private equity funds and Co-Investment Opportunities made by the Fund involve the same types of risks associated with an investment in any operating company. However, securities of private equity funds,

10

 
Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
 

as well as the underlying companies these funds invest in, tend to be more illiquid, and highly speculative. Private equity has generally been dependent on the availability of debt or equity financing to fund the acquisitions of their investments. Depending on market conditions, however, the availability of such financing may be reduced dramatically, limiting the ability of private equity funds to obtain the required financing or reducing their expected rate of return.

 

Illiquidity of Investment Fund Interests. There is no regular market for interest in Investment Funds, which typically must be sold in privately negotiated transactions. Any such sales would likely require the consent of the applicable Investment Fund and could occur at a discount to the stated net asset value. If the Advisers determine to cause the Fund to sell its interests in an Investment Fund, the Fund may be unable to sell such interests quickly, if at all, and could therefore be obligated to continue to hold such interests for an extended period of time.

 

4.INVESTMENT ADVISORY AGREEMENT, TRANSACTIONS WITH AFFILIATES AND OTHER FEES

 

The Fund pays the Adviser, a monthly fee of 0.10% (1.20% on an annualized basis) of the Fund’s month-end net asset value (the “Management Fee”). The Management Fee is an expense paid out of the Fund’s net assets and is computed based on the value of the net assets of the Fund as of the close of business on the last business day of each month (including any assets in respect of Shares that will be repurchased as of the end of the month). The Management Fee is in addition to the asset-based fees and incentive fees paid by the Investment Funds to the Investment Managers and indirectly paid by investors in the Fund. The Adviser pays the Sub-Adviser a monthly fee of 0.030833% (0.37% on an annualized basis) of the month-end net asset value of the Fund’s private equity investments. Pursuant to the agreement, the Fund accrued $518,901 in management of which $60,715 was voluntary waived for the period ended March 31, 2016.

 

The Adviser has contractually entered into an “Expense Limitation and Reimbursement Agreement” with the Fund for a two-year term beginning on the Initial Closing Date and ending on the two year anniversary thereof (the “Limitation Period”) to limit the amount of “Specified Expenses” (as described herein) borne by the Fund during the Limitation Period to an amount not to exceed 0.55% per annum of the Fund’s net assets (the “Expense Cap”). “Specified Expenses” is defined to include all expenses incurred in the business of the Fund, provided that the following expenses are excluded from the definition of Specified Expenses: (i) the Management Fee and underlying Investment Fund expenses (including contribution requirements for investments, expenses and management fees); (ii) interest expense and any other expenses incurred in connection with the Fund’s credit facility; (iii) expenses incurred in connection with secondary offerings and Co-Investment Opportunities and other investment-related expenses of the Fund; (iv) taxes; and (v) extraordinary expenses. The Adviser may extend the Limitation Period for the Fund on an annual basis. To the extent that Specified Expenses for any month exceed the Expense Cap, the Adviser will reimburse the Fund for expenses to the extent necessary to eliminate such excess. To the extent that the Adviser bears Specified Expenses, it is permitted to receive reimbursement for any expense amounts previously paid or borne by the Adviser, for a period not to exceed three years from the date on which such expenses were paid or borne by the Adviser, even if such reimbursement occurs after the termination of the Limitation Period, provided that the Specified Expenses have fallen to a level below the Expense Cap and the reimbursement amount does not raise the level of Specified Expenses in the month the reimbursement is being made to a level that exceeds the Expense Cap. For the period ended March 31, 2016, the Adviser reimbursed expenses in the amount of $468,049 and is subject to recapture until March 31, 2019.

 

The Fund is offering on a continuous basis up to 15 million shares of beneficial interest. Altegris Investments, L.L.C. acts as the distributor of the Shares (the “Distributor”).

 

Gemini Fund Services, LLC (“GFS”)

GFS, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to the servicing agreement with GFS, the Fund pays GFS customary fees for providing administration, fund accounting and transfer agency services to the Fund. Certain officers of the Fund are also officers of GFS, and are not paid any fees directly by the Fund for serving in such capacities.

 

Northern Lights Compliance Services, LLC (“NLCS”)

NLCS, an affiliate of GFS provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Fund.

11

 
Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
 

Blu Giant, LLC (“Blu Giant”), an affiliate of GFS, provides EDGAR conversion and filing services as well as print management services for the Fund on an ad-hoc basis.

 

5.REPURCHASES OF SHARES

 

No Shareholder has the right to require the Fund to redeem his, her or its Shares. The Fund may from time to time offer to repurchase Shares pursuant to written tenders by Shareholders. Share repurchases will not commence for at least two full calendar years following commencement of Fund operations. Beginning in the third year, the Adviser will recommend to the Board (subject to its discretion) that the Fund offer to repurchase Shares from Shareholders on a quarterly basis (commencing at close of the next fiscal quarter following the second anniversary of the Fund’s launch of operations), in an amount not to exceed 5% of the Fund’s net asset value.

 

Upon commencement of the Share repurchase program in the third year of Fund operations, any repurchase of Shares from a Shareholder which were held for less than one year (on a first-in, first-out basis) will be subject to an “Early Repurchase Fee” equal to 2% of the net asset value of any Shares repurchased by the Fund that were held for less than one year. If an Early Repurchase Fee is charged to a Shareholder, the amount of such fee will be retained by the Fund.

 

6.TAX COMPONENTS OF CAPITAL

 

The Fund’s tax year end is September 30, 2015, as such, the information in this section is as of the Fund’s tax year end.

 

The Fund did not have distributions for the tax year ended September 30, 2015.

 

As of September 30, 2015, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

Undistributed   Undistributed   Capital Loss   Other   Post October Loss   Unrealized   Total 
Ordinary   Long-Term   Carry   Book/Tax   and   Appreciation/   Accumulated 
Income   Gains   Forwards   Differences   Late Year Loss   (Depreciation)   Earnings/(Deficits) 
$   $   $   $(14,015)  $(7,635)  $   $(21,650)
                                 

The difference between book basis and tax basis accumulated ordinary income/(loss) and other book/tax differences are primarily attributable to the unamortized portion of organization expenses for tax purposes.

 

Late year losses incurred after December 31 within the tax year end are deemed to arise on the first business day of the following tax year. The Fund incurred and elected to defer such late year losses of $7,635.

 

Permanent book and tax differences, primarily attributable to non-deductible expenses, resulted in reclassification for the tax year ended September 30, 2015 as follows:

 

    Undistributed Net   Accumulated 
    Investment Income   Net Realized 
Paid In Capital     (Loss)     Gains (Loss) 
$(6,476)  $6,476   $ 
             

These reclassifications had no effects on net assets.

12

 
Altegris KKR Commitments Master Fund
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
 

The cost of investments for federal income tax purposes is adjusted for items of taxable income allocated to the Fund from the Investment Funds. The allocated taxable income is reported to the Fund by the Investment Funds on Schedule K-1. The Fund has not yet received all such Schedule K-1s for the year ended December 31, 2015 (the underlying Investment Funds’ year-end); therefore, the tax basis of investments for 2015 will not be finalized by the Fund until after the fiscal year end.

 

7.SUBSEQUENT EVENTS

 

Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment or disclosure in the financial statements other than the following. The Fund intends to reclassify all of its outstanding common shares to Class I shares and merge the assets of Altegris KKR Commitments Fund into a secondary class, Class A. When approved by the Board, the Fund shall provide notice to the Fund’s shareholders and other appropriate parties regarding this Plan of reorganization.

13

 

(DELOITTE LOGO)

 

  Deloitte & Touche LLP
  695 Town Center Drive
  Suite 1200
  Costa Mesa, CA 92626
  USA
  Tel: +1 714 436 7100
  Fax: +1 714 436 7200
  www.deloitte.com

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees and Shareholders of Altegris KKR Commitments Master Fund:

 

We have audited the accompanying consolidated statement of assets and liabilities of Altegris KKR Commitments Master Fund (the “Fund”), including the consolidated portfolio of investments, as of March 31, 2016, and the related consolidated statements of operations, changes in net assets, cash flows and financial highlights for the period July 31, 2015 (commencement of operations) to March 31, 2016. 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 audit.

 

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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 audit 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. Our procedures included confirmation of securities and investments owned as of March 31, 2016, by correspondence with the custodian and underlying investment fund managers and advisers. We believe that our audit provides 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 Altegris KKR Commitments Master Fund as of March 31, 2016, the results of its operations, changes in net assets, cash flows, and financial highlights for the period July 31, 2015 (commencement of operations) to March 31, 2016, in conformity with accounting principles generally accepted in the United States of America.

 

(-s- DELOITTE & LLP LOGO)

 

May 27, 2016

 

  Member of
Deloitte Touche Tohmatsu Limited 

14

 
Altegris KKR Commitments Master Fund
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMNTS
March 31, 2016
 

Approval of Investment Advisory Agreement

 

At a meeting held on September 12, 2014 (the “Meeting”), the Board of Trustees (the “Board”) of Altegris KKR Commitments Master Fund (formerly, Altegris KKR Private Equity Master Fund)(the “Master Fund”), including each of the trustees that are not “interested persons” of the Master Fund (the “Independent Trustees”), as such term is defined under Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), considered the approval of an investment advisory agreement (the “Advisory Agreement”) between Altegris Advisors, LLC (“Altegris” or the “Adviser”) and the Master Fund.

 

In connection with the Board’s consideration of the Advisory Agreement, the Board received written materials in advance of the Meeting, which included information regarding: (a) a description of the Adviser’s investment management personnel; (b) an overview of the Adviser’s operations and financial condition; (c) a comparison of the Fund’s proposed advisory fee and estimated overall expenses with those of comparable closed end investment funds registered under the 1940 Act; (d) the anticipated level of profitability from the Adviser’s fund-related operations; (e) the compliance policies and procedures of the Adviser, including policies and procedures for personal securities transactions; and (f) information regarding the historical performance of other 1940 Act registered funds managed by the Adviser.

 

Matters considered by the Board in connection with its approval of the Advisory Agreement included, among others, the following:

 

Nature, Extent and Quality of Services. The Board reviewed materials provided by Altegris related to the proposed Advisory Agreement with the Master Fund, including the proposed Advisory Agreement, a description of the manner in which investment decisions are to be made and executed, a review of the financial condition of Altegris, an overview of the personnel that would perform services for the Master Fund, a certification from Altegris that it had adopted a Code of Ethics containing provisions reasonably necessary to prevent Access Persons, as that term is defined in Rule 17j-1 under the 1940 Act, from engaging in conduct prohibited by Rule 17j-1(b), Altegris’ Form ADV, and other compliance policies and procedures pertaining to Altegris. In reaching their conclusions, the Trustees considered that Altegris’ personnel have experience managing other registered investment companies that utilize multiple types of alternative strategies, as well as other forms of pooled investment vehicles and unregistered funds, and have experience in managing and overseeing the effective operation of sub-advisers and other service providers. The Board further considered that Altegris will delegate certain investment research responsibilities to a sub-adviser, and reviewed Altegris procedures for monitoring and evaluating the Fund’s portfolio construction and performance. The Board also noted that Altegris had assessed the key risks associated with the Master Fund’s principal investment strategies and underlying investments, and were satisfied that Altegris was taking adequate measures to mitigate such risks. The Board then concluded that Altegris had sufficient quality and depth of personnel, resources, management experience and compliance policies and procedures to perform its duties under the proposed Advisory Agreement and that the nature, overall quality and extent of the management services to be provided by Altegris to the Master Fund were satisfactory.

 

Performance. The Board considered that the Master Fund is newly formed and as such does not have a record of prior performance to submit at the Meeting. The Board noted that Altegris has investment management experience for various other alternative investment portfolios and noted that Altegris’ other mutual funds offer varied, sophisticated investment strategies and generally allocate certain research and trading functions to one or more sub-advisers. The Board reviewed the investment objective and performance of Altegris’ other mutual funds for one year, three year and since inception periods ended June 30, 2014. The Board considered that, generally, the performance of the mutual funds advised by Altegris was positive and comparable to the benchmark returns for each such fund. The Board concluded that, based on the performance of Altegris’ other investment portfolios, that Altegris’ performance with respect to the Master Fund was expected to be satisfactory and Altegris was expected to obtain an acceptable level of investment returns for shareholders.

15

 
Altegris KKR Commitments Master Fund
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMNTS (continued)
March 31, 2016
 

Fees and Expenses. As to the costs of the services to be provided and profits to be realized by Altegris, the Board considered a comparison of the Master Fund’s proposed advisory fee and estimated overall expenses to those of certain peer funds with similar investment objectives and strategies (“Peer Group”), noting that the number of peer funds directly comparable to the Master Fund was limited. The Board considered that Altegris proposed to charge an advisory fee of 1.20% of the Master Fund’s average net assets. The Board considered that the proposed advisory fee is within the range or equal to the advisory fees reflected in the Peer Group. The Board also noted that the Master Fund’s overall estimated expenses were expected to be lower than the range of the Peer Group, taking into account that the net expenses reported by the Peer Group were inclusive of the estimated acquired fund fees and expenses attributable to the underlying private investment funds held by the funds in the Peer Group. The Board also considered that Altegris has agreed to reimburse the Master Fund in order to limit certain of the Master Fund’s annual operating expenses, exclusive of the advisory fee, investment-related expenses and extraordinary expenses, to 0.55% of the Master Fund’s average daily net assets. The Board concluded that the proposed contractual advisory fee to be paid to Altegris was fair and reasonable and that the overall expense ratio was acceptable in light of these factors. The Trustees further noted that, based on (i) the extensive discussions conducted earlier during the Meeting regarding the proposed roles of Altegris as the discretionary investment adviser and Stepstone as a non-discretionary sub-adviser; and (ii) its determination detailed below that the fees of Stepstone are reasonable with respect to the services to be provided, the split of the total advisory fee between Altegris and Stepstone was reasonable in light of the services provided by each.

 

Profitability. The Board considered Altegris’ anticipated profitability and whether these profits are reasonable in light of the services proposed to be provided to the Master Fund and the Master Fund’s projected growth. The Board reviewed an estimated profitability analysis prepared by Altegris and concluded that, based on the Master Fund’s expected asset levels during its first two years of operations and the estimated costs of managing the Master Fund, they were satisfied that Altegris’ anticipated level of profitability from its relationship with the Master Fund would not be excessive during the Master Fund’s start-up phase.

 

Economies of Scale. The Board considered whether Altegris would realize economies of scale with respect to its management of the Master Fund. The Trustees considered the estimated profitability analysis included in the Board Materials, and considered that while expenses of managing the Master Fund as a percentage of assets under management are expected to decrease as the Master Fund’s assets grow, based on the initial asset levels of the Master Fund of a minimum of $25 million at inception and projected asset levels during the initial term of the Advisory Agreement, economies of scale was not a relevant consideration at this time. The Trustees noted that Altegris would revisit whether economies of scale exist in the future once the Master Fund has achieved sufficient scale.

 

Conclusion. The Chairman of the Board reported that the Board, having requested and received such information from Altegris as it believed reasonably necessary to evaluate the terms of the proposed Advisory Agreement, and assisted by the advice of independent counsel, and having been advised by independent counsel that the Independent Trustees had appropriately considered and weighed all relevant factors, determined that approval of the Advisory Agreement for an initial two-year term is in the best interests of the Master Fund and its future shareholders. In considering the proposed Advisory Agreement, the Board did not identify any one factor as all important and each Trustee may have individually given weight to separate factors.

 

Approval of Sub-Advisory Agreement

 

At the Meeting, the Board also considered the proposed subadvisory agreement (the “Subadvisory Agreement”) among Altegris, Stepstone Group, LP (“Stepstone” or the “Sub-Adviser”) and the Master Fund.

 

In connection with the Board’s consideration of the Subadvisory Agreement, the Board received written materials in advance of the Meeting, which included information regarding: (a) a description of the Sub-Adviser’s investment management personnel; (b) an overview of the Sub-Adviser’s operations and financial condition; (c) the anticipated level of profitability from the Sub-Adviser’s fund-related operations; (d) the compliance policies and

16

 
Altegris KKR Commitments Master Fund
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMNTS (continued)
March 31, 2016
 

procedures of the Sub-Adviser and (e) information regarding the performance of mandates and separately managed accounts advised by the Sub-Adviser that are conceptually similar to the Master Fund’s proposed portfolio construction.

 

Matters considered by the Board in connection with its approval of the Sub-Advisory Agreement included, among others, the following:

 

Nature, Extent and Quality of Services. The Board reviewed materials provided by Stepstone related to the proposed Subadvisory Agreement to be entered into with Altegris and the Master Fund, including the proposed Subadvisory Agreement, Stepstone’s Form ADV, a description of the manner in which investment decisions are made and executed, a review of the professional personnel that would perform services for the Master Fund, including the team of individuals that primarily monitor and execute the investment process, and a certification from Stepstone that it had adopted a Code of Ethics containing provisions reasonably necessary to prevent Access Persons, as that term is defined in Rule 17j-1 under the 1940 Act, from engaging in conduct prohibited by Rule 17j-1(b) and that it had adopted procedures reasonably necessary to prevent Access Persons from violating such Codes of Ethics. In reaching their conclusions, the Trustees considered the experience and qualifications of Stepstone’s portfolio management team, the structure of the investment processes utilized by Stepstone in making investment recommendations for each of the types of securities to be purchased by the Master Fund, the success of Stepstone in creating and managing private equity portfolios across various types of strategies, the structure and experience of Stepstone’s compliance personnel and Stepstone’s practices for monitoring compliance with the Master Fund’s investment limitations. The Board then concluded that Stepstone had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures to perform its duties under the proposed Subadvisory Agreement and that the nature, overall quality and extent of the management services to be provided by Stepstone to Altegris and the Master Fund were satisfactory.

 

Performance. The Board reviewed the performance of separately managed accounts of Stepstone that include investments in similar types of private equity funds proposed to be held by the Master Fund, including primary, secondary an co-investment opportunities, taking into account that Stepstone does not generally manage its separately managed accounts in such a manner as to focus primarily on a single underlying manager in the same manner that the Master Fund will invest in private Investment Funds sponsored by or affiliated with Kohlberg Kravis Roberts & Co. L.P. or an affiliate. The Trustees noted that the one, three five and since inception returns of Stepstone’s separately managed accounts as of December 31, 2013 were positive, as were Stepstone’s aggregate net performance for the same periods. The Board concluded that, based on Stepstone’s in-person presentations and the professionalism, experience and qualifications of Stepstone’s portfolio management team, Stepstone was expected to obtain an acceptable level of investment returns for shareholders.

 

Fees and Expenses. The Board then discussed the proposed fees to be paid to Stepstone. The Board considered that the subadvisory fee was the product of an arms-length negotiation between Stepstone and Altegris that took into account a competitive fee structure for the Master Fund as well as the fact that the services rendered by Stepstone under the Subadvisory Agreement are complementary to Stepstone’s current advisory services. The Trustees also considered that other funds in the Master Fund’s Peer Group did not employ sub-advisers. The Board concluded that Stepstone’s sub-advisory fees were acceptable in light of the quality of the services Altegris and the Master Fund expected to receive from Stepstone.

 

Profitability. The Board considered Stepstone’s anticipated profitability and whether these profits are reasonable in light of the services proposed to be provided to the Master Fund and the Master Fund’s projected growth. The Board reviewed an estimated profitability analysis prepared by Stepstone and concluded that, based on the Master Fund’s expected asset levels during its first two years of operations and the estimated costs of managing the Master Fund, they were satisfied that Stepstone’s anticipated level of profitability from its relationship with the Master Fund would not be excessive during the Master Fund’s start-up phase.

17

 
Altegris KKR Commitments Master Fund
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMNTS (continued)
March 31, 2016
 

Economies of Scale. The Board considered whether there will be economies of scale with respect to the management of the Master Fund and whether there is potential for realization of any further economies of scale. After discussion, it was the consensus of the Board that economies of scale with respect to Stepstone was not a relevant consideration at this time.

 

Conclusion. The Chairman of the Board reported that the Board, having requested and received such information from Stepstone as it believed reasonably necessary to evaluate the terms of the proposed Subadvisory Agreement, and assisted by the advice of independent counsel, and having been advised by independent counsel that the Independent Trustees had appropriately considered and weighed all relevant factors, determined that approval of the Subadvisory Agreement for an initial two-year term is in the best interests of the Master Fund and its future shareholders. In considering the proposed Subadvisory Agreement, the Board did not identify any one factor as all important and each Trustee may have individually given weight to separate factors.

18

 

PRIVACY NOTICE

 

What does Altegris KKR Commitments Master Fund (the “Fund”) do with your personal Information?

 

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

●         Social Security number and wire transfer instructions.

 

●         Account transactions and transaction history.

 

●         Investment experience and purchase history.

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Fund chooses to share; and whether you can limit this sharing.
   
Reasons we can share your personal information Does the
Fund
share?
Can you
limit this
sharing?
For our everyday business purposes
Such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus
YES NO
For our marketing purposes
To offer our products and services to you
NO We don’t share
For joint marketing with other financial companies NO We don’t share
For our affiliates’ everyday business purposes
Information about your transactions and records
NO We don’t share
For our affiliates’ everyday business purposes
Information about your creditworthiness
NO We don’t share
For non-affiliates to market to you NO We don’t share
Questions?   Call 1-888-524-9441

19

 

What we do

 

How does the Fund protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your non-public personal information.

 

How does the Fund collect my personal information?

We collect your personal information, for example, when you.

●     Open an account or deposit money.

 

●     Direct us to buy securities or direct us to sell your securities.

 

●     Seek advice about your investments.

 

We also collect your personal information from others, such as credit bureaus, affiliates or other companies.

 

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

●     Sharing for affiliates’ everyday business purposes — information about your creditworthiness.

 

●     Affiliates from using your information to market to you.

 

●     Sharing for non-affiliates to market to you.

 

State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and non-financial companies.

 

●     The Fund does not share with our affiliates.

Non-affiliates

Companies not related by common ownership or control. They can be financial and non-financial companies.

 

●     The Fund does not share with non-affiliates so they can market to you.

Joint marketing

A formal agreement between non-affiliated financial companies that together market financial products or services to you.

 

●     The Fund doesn’t jointly market.

20

 

Altegris KKR Commitments Master Fund

SUPPLEMENTAL INFORMATION (Unaudited)

March 31, 2016

 

The Trustees of the Fund, their ages, addresses, positions held, lengths of time served, their principal business occupations during the past five years, the number of portfolios in the Fund Complex (defined below) overseen by each Independent Trustee and other directorships, if any, held by the Trustees, are shown below. The Fund Complex includes all open-end and closed-end funds (including all of their portfolios) advised by the Adviser and any registered funds that have an adviser that is an affiliate of the Adviser.

 

Name, Age and
Address
  Position(s)
Held with
Registrant
  Length of
Time
Served*
  Principal Occupation(s)
During Past 5 Years
  Number of
Portfolios
Overseen
in
Fund
Complex
  Other
Trusteeships/Directorships
Held Outside the Fund
Complex**
                     
Independent Trustees                    
                     
Mark Garbin (65)
c/o Altegris KKR
Commitments Master
Fund
1200 Prospect Street
Suite 400
La Jolla, CA 92037
  Trustee   Indefinite Length – Since Inception   Managing Principal, Coherent Capital Management LLC (since 2008)   1   Trustee of Forethought Variable Insurance Trust (since 2013) , Northern Lights Fund Trust (since 2013), Northern Lights Variable Trust (since 2013), Two Roads Shared Trust (since 2012), and Independent Director of Oak Hill Advisors Mortgage Strategies Fund (offshore), Ltd. (since 2014)
                     
Mark D. Gersten (65)
c/o Altegris KKR
Commitments Master
Fund
1200 Prospect Street
Suite 400
La Jolla, CA 92037
  Trustee   Indefinite Length – Since Inception   Independent Consultant (since 2012); Senior Vice President – Global Fund Administration Mutual Funds & Alternative Funds, AllianceBernstein LP (1985-2011)   1   Trustee of Schroder Global Series Trust (since 2012), Northern Lights Fund Trust (since 2013), Northern Lights Variable Trust (since 2013), Two Roads Shared Trust (since 2012), Ramius Archview Credit and Distressed Fund (since 2015)
                     
Neil M. Kaufman (55)
1111 Marcus Avenue,
Suite 107
Lake Success, NY 11042
  Trustee   Indefinite Length – Since Inception   Partner, Abrams, Fensterman, Eisman, Formato, Ferrara & Wolf, LLP (since 2010); Partner, Davidoff Malito & Hutcher LLP (2004-2010)   1   Director of Financial Executives International – Long Island Chapter (since 2006) and Composite Prototyping Center (since 2014), and Trustee of Two Roads Shared Trust (since 2012)
                     
Anita K. Krug (47)
University of Washington
School of Law
William H. Gates Hall,
Box 353020
Seattle, WA 98195
  Trustee   Indefinite Length – Since Inception   Associate Professor, University of Washington School of Law (since 2014); Assistant Professor, University of Washington School of Law (since 2010); Partner, Howard Rice, P.C. (2007-2010); Associate, Howard Rice, P.C. (2007-2010)   1   Trustee of Two Roads Shared Trust (since 2012), and Centerstone Investors Trust (since 2016)

 

*Each Trustee serves an indefinite term, until his or her successor is elected.

 

**This includes any directorships at public companies and registered investment companies held by the Trustee at any time during the past five years.

21

 

Altegris KKR Commitments Master Fund

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

March 31, 2016

 

The Trustee who is affiliated with the Adviser or affiliates of the Adviser (as set forth below) and his age, address, positions held, length of time served, his principal business occupations during the past five years, the number of portfolios in the Fund Complex overseen by the Interested Trustee and the other directorships, if any, held by the Interested Trustee, are shown below.

 

                Number of    
            Principal   Portfolios   Other
Name, Age and
Address
  Position(s)
Held with
Registrant
  Length of
Time
Served*
  Occupation(s)
During Past 5
Years
  Overseen in
Fund
Complex
   Trusteeships/Directorships
Held Outside the Fund
Complex**
                     
Interested Trustee                    
                     
Steven Spiegel (71)
Aquiline Holdings LLC
553 Madison Avenue
New York, NY 10022
  Trustee   Indefinite Length – Since Inception   Partner, Aquiline Holdings LLC (since 2005)   1   None

 

*Each Trustee serves an indefinite term, until his or her successor is elected.

 

**This includes any directorships at public companies and registered investment companies held by the Trustee at any time during the past five years.

 

The executive officers of the Fund, their ages, addresses, positions held, lengths of time served and their principal business occupations during the past five years are shown below.

 

Name, Age and Address   Position(s) Held with
Registrant
  Length of Time Served*   Principal Occupation(s)
During Past 5 Years
             
Officers            
             
Lynn Bowley (57)
c/o Altegris KKR Commitments
Master Fund
1200 Prospect Street
Suite 400
La Jolla, CA 92037
  Chief Compliance Officer   Indefinite Length – Since Inception   Senior Compliance Officer, Northern Lights Compliance Services, LLC (since 2007)
             
David P. Mathews (52)
c/o Altegris KKR Commitments
Master Fund
1200 Prospect Street
Suite 400
La Jolla, CA 92037
  Secretary   Indefinite Length – Since Inception   General Counsel, Chief Compliance Officer of Brokerage Affiliate, Altegris Group of Companies (since 2005); Chief Compliance Officer of Registered Investment Advisory and CPO Affiliates, Altegris Group of Companies (2010 – 2013, 2016)
             
Kenneth I. McGuire (57)
c/o Altegris KKR Commitments
Master Fund
1200 Prospect Street
Suite 400
La Jolla, CA 92037
  Treasurer and Principal Accounting Officer   Indefinite Length – Since Inception   Chief Operating Officer, Altegris Group of Companies (since 2009); Executive Vice President, Managing Director, Altegris Group of Companies (2009 – 2014); Co-President (2015) and President (2016) of Registered Investment Advisory and CPO Affiliates, Altegris Group of Companies (since 2015)
             
Jack Rivkin (75)
c/o Altegris KKR Commitments
Master Fund
1200 Prospect Street
Suite 400
La Jolla, CA 92037
  President   Indefinite Length – Since 2016   Chief Executive Officer and Chief Investment Strategist, Altegris Group of Companies (since 2016); Chief Investment Officer, Altegris Advisors, L.L.C. and Altegris Clearing Solutions, L.L.C. (2013 – 2015); Executive Adviser, Aquiline Capital Partners (2013).

 

*Each officer serves an indefinite term, until his or her successor is elected.

22

 

Altegris KKR Commitments Master Fund

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

March 31, 2016

 

PROXY VOTING POLICY

 

Information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies is available without charge, upon request, by calling 1-877-772-5838 or by referring to the Security and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330). The information on Form N-Q is available without charge, upon request, by calling 1-877-772-5838.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 
INVESTMENT ADVISOR
Altegris Advisors, L.L.C.
1200 Prospect Street, Suite 400
La Jolla, CA 92037
 
ADMINISTRATOR
Gemini Fund Services, LLC
80 Arkay Drive, Suite 110
Hauppauge, New York 11788
 

23

 

(BACK COVER)

 

 

Item 2. Code of Ethics.

 

(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:

 

(1)Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2)Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;
(3)Compliance with applicable governmental laws, rules, and regulations;
(4)The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and
(5)Accountability for adherence to the code.

 

(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.

 

(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.

 

(e) The Code of Ethics is not posted on Registrant’ website.

 

(f) A copy of the Code of Ethics is attached as an exhibit.

 

 

Item 3. Audit Committee Financial Expert. Not applicable.

 

Item 4. Principal Accountant Fees and Services.

 

(a)Audit Fees

2016 - $50,000

 

(b)Audit-Related Fees

2016 - None

 

(c)Tax Fees

2016 - $15,000

 

Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.

 

(d)All Other Fees

2016 - None

(e) (1) Audit Committee’s Pre-Approval Policies

 

The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.

 

(2)Percentages of Services Approved by the Audit Committee
  2016
Audit-Related Fees: 100%
Tax Fees: 100%
All Other Fees: 100%

 

(f)During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.

 

(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:

2016 - $15,000

 

(h) The registrant's audit committee has considered whether the provision of non-audit services 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.

 

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

Item 11. Controls and Procedures.

 

(a) Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

 

(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable for open-end investment companies.

 

(b) Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

SIGNATURES

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

 

(Registrant) Altegris KKR Commitments Master Fund

 

By (Signature and Title)

/s/ Jack Rivkin

Jack Rivkin, President/Principal Executive Officer

 

Date 6/9/16

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

Jack Rivkin

Jack Rivkin, President/Principal Executive Officer

 

Date 4/9/16

 

 

By (Signature and Title)

/s/Ken McGuire

Ken McGuire, Treasurer/Principal Financial Officer

 

Date 6/9/16

EX-99.CERT 2 cert1.htm EX-99.CERT Blu Giant, LLC

CERTIFICATIONS

 

I, Jack Rivkin, certify that:

 

1. I have reviewed this report on Form N-CSR of Altegris KKR Commitments Master Fund;

 

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

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

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

 

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

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

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

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

 

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

 

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

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

 

 

Date: 6/9/16 /s/ Jack Rivkin
  Jon Sundt
  President/Principal Executive Officer

 

 

 

 

 

 

 

 

 
 

I, Ken McGuire, certify that:

 

1. I have reviewed this report on Form N-CSR of Altegris KKR Commitments Master Fund;

 

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

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

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

 

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

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

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

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

 

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

 

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

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

 

 

Date: 6/9/16 /s/ Ken McGuire
  Ken McGuire
  Treasurer/Principal Financial Officer

 

EX-99.906 CERT 3 cert2.htm EX-99.906 CERT Blu Giant, LLC

certification

Jack Rivkin, President, and Ken McGuire, Treasurer /Principal Accounting Officer of Altegris KKR Commitments Master Fund (the “Registrant”), each certify to the best of his knowledge that:

 

1. The Registrant’s periodic report on Form N-CSR for the period ended March 31, 2016 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

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

President/Principal Executive Officer Treasurer/Principal Financial Officer
Altegris KKR Commitments Master Fund Altegris KKR Commitments Master Fund
/s/ Jack Rivkin /s/ Ken McGuire
Date: 6/9/16 Date:  6/9/16

 

 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to Altegris KKR Commitments Master Fund and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

 

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.

 

 

 

EX-99.CODE ETH 4 altegriskkrcoe.htm EX-99.CODE ETH Blu Giant, LLC

(ALTEGRIS LOGO)

 

CODE OF ETHICS

APRIL 2016

 

Table of Contents   
    
Section 1: Statement of General Principles  2
Section 2: Definitions  3
Section 3: Restrictions on Personal Investing Activities  4
Preclearance of Private Placements Required  4
Preclearance of Initial Public Offerings Required  5
Section 4: Your Reporting Requirements  5
Initial Holdings Report  5
Disclosure of Securities Accounts  6
Quarterly Transaction Reports  6
Annual Holdings Report  6
Section 5: Other Prohibitions  6
Section 6: Public Reporting Obligations  8
Section 7: Certain Amendments, Modifications or Waivers  8
Section 8: Oversight of Code of Ethics  8
Administration and Enforcement of the Code  8
Sanctions  9
Exemptions  9
Required Records  9

 

 

code of ethics

 

 

Section 1: Statement of General Principles

 

This Code of Ethics (this “Code”) has been adopted by Altegris Advisors, LLC (“Altegris Advisors or the “Adviser”). The purpose of this Code is to guide the Adviser’s officers, directors and any employees having knowledge of the investments and investment intentions of the Adviser’s clients (which includes Advisory Mutual Funds, as defined below, and sponsored private funds) in their ethical obligations, and to provide rules for their personal securities transactions.

 

This Code is based on the principle that all such persons owe a fiduciary duty to the Adviser’s clients. A fiduciary duty means a duty of loyalty, fairness and good faith towards the clients, and the obligation to adhere not only to the specific provisions of this Code but to the general principles that guide this Code. In consideration of this fiduciary duty, you should conduct yourself in all circumstances in accordance with the following general principles:

 

You must at all times place the interests of the Adviser’s clients first;

 

You must conduct all personal securities transactions in a manner consistent with this Code and in such a manner as to avoid any actual or potential conflict of interest or any abuse of your position of trust and responsibility;

 

You must adhere to the fundamental standard that investment advisory personnel should not take inappropriate advantage of their positions or of their relationship with the Adviser’s clients;

 

You must adhere to the principle that information concerning the identity of clients, security holdings, financial circumstances and other non-public information of the Adviser’s clients’ activities and portfolios is confidential;

 

You must not misuse nonpublic information about client security holdings or contemplated, pending or completed portfolio transactions for your personal benefit or the benefit of others;

 

You must at all times comply at all times with all applicable federal securities laws and other governmental rules and regulations; and

 

You must act with honesty and integrity, including disclosure of all actual and potential conflicts of interest between you, Altegris, and its clients. This may include, but is not limited to, outside business activities, association with outside concerns, and financial interest is other businesses.

 

It is imperative that your personal trading activities be conducted with the highest regard for these general principles in order to avoid any possible conflict of interest, any appearance of a conflict, or activities that could lead to disciplinary action. This includes executing transactions through or for the benefit of a third party when the transaction is not in keeping with the general principles of this Code. If you are uncertain about whether a real or apparent conflict exists between your interests and those of the Advisers’ clients in any particular situation, you should consult the Chief Compliance Officer or the General Counsel immediately.

 

Employees must report any known violations of this Code promptly to the Chief Compliance Officer.

 

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2

 

code of ethics

 

 

Section 2: Definitions

 

Access Person: means any (i) officer, or director of the Adviser (or of any company in a control relationship to the Adviser), except directors who do not devote substantially all working time to the activities of the Adviser and do not have access to information about the day-to-day investment activities of the Advisers; or (ii) employee who, in connection with his or her regular functions or duties, participates in or makes recommendations with respect to the purchase or sale of securities; and (iii) any natural person who controls the Adviser and who obtains or has access to information about recommendations with respect to the purchase or sale of securities.

 

Access Person Account: each account in which you or a Member of Your Immediate Family (as defined below) is a Beneficial Owner or over which such person exercises control or influence, including, but not limited to, any joint account, partnership, corporation, trust or estate.

 

Advisory Mutual Fund: the registered investment companies (which may include wholly-owned subsidiaries which are subject to the same investment restrictions as its parent) for which Altegris Advisors serves as the investment adviser, including, but not limited to, the Altegris Family of Mutual Funds.

 

Automatic Investment Plan: a program in which regular periodic purchases (or withdrawals) are made automatically in (or from) investment accounts in accordance with a predetermined schedule and allocation. An Automatic Investment Plan includes a dividend reinvestment plan. These transactions are considered Exempt Transactions and are not required to be reported in quarterly transaction reports, but are required to be reported on the initial holdings report and the annual holdings report.

 

Beneficial Owner: any person who, directly or indirectly, through any contract, arrangement, understanding, relationship or otherwise, has or shares a direct or indirect pecuniary interest (the opportunity, directly or indirectly, to profit or share in any profit derived from a transaction in the subject securities) in a security. Indirect pecuniary interest in a security includes securities held by a Member of Your Immediate Family.

 

Employees: the employees, officers and directors of Altegris Advisors, including Access Persons.

 

Exempt Transactions: transactions which are 1) effected in accounts over which the Access Person had no direct or indirect influence or control over transactions before they occur (including such matters as corporate actions, and dividend reinvestments), or 2) pursuant to an Automatic Investment Plan.

 

Member of Your Immediate Family: means your spouse or domestic partner, your minor children, or a relative who shares your home. Relatives include stepchildren, grandchildren, parents, stepparents, grandparents, siblings, mother-in-law, father-in-law, son-in-law, daughter-in-law, brother-in-law or sister-in-law (including adoptive relationships).

 

Reportable Fund: any fund for which Altegris Advisors or the Access Person serves as an investment adviser or any fund whose investment adviser or principal underwriter controls Altegris Advisors or the Access Person, is controlled by Altegris Advisors or the Access Person, or is under common control with Altegris Advisors or the Access Person. This includes the Advisory Mutual Funds and mutual funds advised by AssetMark Inc.

 

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3

 

code of ethics

 

 

Reportable Securities: any Security except:

 

A.Direct obligations of the Government of the United States;

 

B.Bankers’ acceptances, bank certificates of deposit,

 

C.Commercial paper and high-quality debt in instruments with a maturity at issuance of less than 366 days;

 

D.Repurchase agreements covering any of the foregoing;

 

E.Shares issued by money market mutual funds;

 

F.Shares issued by open-end mutual funds, other than such funds that are Reportable Funds; and

 

G.Shares issued by unit investment trusts that are invested exclusively in one or more open-end funds, none of which are Reportable Funds.

 

Security: any note, stock, treasury stock, bond, debenture, evidence of indebtedness, certificate of interest or participation in any profit-sharing agreement, collateral-trust certificate, pre-organization certificate or subscription, transferable share, investment contract, voting-trust certificate, certificate of deposit for a security, fractional undivided interest in oil, gas or other mineral rights, or, in general, any interest or instrument commonly known as a “security,” or any certificate or interest or participation in temporary or interim certificate for, receipt for, guarantee of, or warrant or right to subscribe to or purchase (including options) any of the foregoing. This also includes security futures.

 

Securities Accounts: Any account established or owned for the trading or holding of Securities, in which you are the Beneficial Owner or for which you have trading authority.

 

Securities Transaction: the purchase or sale, or any action to accomplish the purchase or sale, of a Security for an Access Person Account. The term Securities Transaction does not include transactions executed by the Adviser for the benefit of unaffiliated persons, such as investment advisory and brokerage clients.

 

Section 3: Restrictions on Personal Investing Activities

 

Preclearance of Private Placements Required

 

Any direct or indirect acquisition of beneficial ownership in a private placement security must be authorized by the Chief Compliance Officer (“CCO”), or his or her designee, prior to the transaction. You may obtain pre-approval by:

 

A.Logging into StarCompliance at https://altegris.starcompliance.com/Auth/Login, selecting Private Transactions at the top of your home page (you may need to use “Add New Private Issuer);

 

B.Emailing advisorcompliance@altegris.com; or

 

C.Such other method as may be directed by the CCO or his or her designee.

 

In the event the CCO transacts in a private placement, the CCO will obtain prior written approval from two executive officers of the Adviser.

 

In connection with a private placement acquisition, the CCO, or his or her designee, will take into account, among other factors, whether the investment opportunity should be reserved for a Client, and whether the opportunity is being offered to the Access Person by virtue of the Access Person’s position with the Adviser. If you have been authorized to acquire Securities in a private placement, you will be required to disclose that investment if and when you take part in

 

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4

 

code of ethics

 

 

any subsequent investment in the same issuer. In such circumstances, the determination to purchase Securities of that issuer on behalf of a client will be subject to an independent review by personnel of the Adviser with no personal interest in the issuer.

 

Special Procedure for Investments in Altegris Advisors’ Private Funds

 

The Adviser acts as sponsor to certain pooled investment vehicles offered on a private placement basis. Altegris Investments, LLC., a broker-dealer affiliate of the Adviser, serves as selling agent to each of the privately offered funds. In light of the Adviser’s affiliation with Altegris Investments, LLC, the Adviser has instituted the following additional procedures in regard to potential Securities Transactions in private placement offerings sponsored by the Adviser and distributed by Altegris Investments, LLC.

 

Affiliated Operations Personnel are instructed to immediately notify Compliance personnel upon receipt of any proposed subscription or additional investment documentation. Affiliated Operations Personnel are instructed to not process any subscription agreements or additional investment paperwork for any Access Person without first receiving confirmation that written authorization to conduct such transaction has been obtained from the CCO, or his or her designee.

 

Preclearance of Initial Public Offerings Required

 

You are prohibited from directly or indirectly acquiring beneficial ownership in any Securities in an initial public offering without the prior written approval of the CCO, or his or her designee. In the event the CCO acquires any security in an initial public offering, the CCO will obtain prior written approval from two other executive officers of the Adviser. This restriction is imposed in order to preclude any possibility of an Access Person profiting improperly from the Access Person’s position with the Adviser.

 

Section 4: Your Reporting Requirements

 

You are required to file complete, accurate, and timely reports of all required information under this Code. Any failure to adequately and honestly disclose any information requested is a violation of the Code of Ethics. All reported information is subject to review for indications of abusive trading, misappropriation of information, or failure to adhere to the requirements of this Code. The Adviser must provide all Access Persons with a copy of this Code.

 

Initial Holdings Report

 

Within ten (10) days after you become an Access Person, you must:

 

A.certify that you have read and understand this Code and recognize that you are subject to it; and

 

B.disclose the following information as of a date no more than 45 days prior to the date you became an Access Person:

 

1.the title, type, CUSIP or ticker symbol, number of shares and principal amount of each Reportable Security in which you are a Beneficial Owner when you became an Access Person,

 

2.any Securities Accounts; and

 

3.the date you submit the report.

 

This information may be provided via electronic or hard copy brokerage statements. You are not required to report with respect to Reportable Securities held in accounts over which you had no direct or indirect influence or control.

 

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code of ethics

 

 

Disclosure of Securities Accounts

 

On an ongoing basis, you must provide notice of the intent to open a Securities Account. After approval, you must promptly provide the necessary information as requested by Compliance.

 

Quarterly Transaction Reports

 

You must report, no later than thirty (30) days after the close of each calendar quarter, on the form provided by the Adviser (which may be electronic):

 

A.any transaction during the quarter in a Reportable Security in which you had Beneficial Ownership, other than an Exempt Transaction; and

 

B.any Securities Account established during the quarter with a broker, dealer or bank in which you are a Beneficial Owner.

 

You are also required to certify that you have reported all transactions required to be disclosed pursuant to the requirements of this Code. This information may be provided via electronic or hard copy brokerage statements.

 

Annual Holdings Report

 

Annually, you must:

 

A.certify that you have read and understand this Code and any amendment, and recognize that you are subject to it; and

 

B.provide the following information (as of a date no more than 45 days before the report is submitted):

 

1.the title, type, CUSIP or ticker symbol, number of shares and principal amount of each Reportable Security in which you are a Beneficial Owner,

 

2.the name of any broker, dealer or bank with whom you maintain an account in which any Securities are held for your direct or indirect benefit, and

 

3.the date the report is submitted.

 

This information may be provided via electronic or hard copy brokerage statements. You are not required to report with respect to Reportable Securities held in accounts over which you had no direct or indirect influence or control.

 

Section 5: Other Prohibitions

 

Prohibition Against Fraudulent Conduct

 

You may not, directly or indirectly in connection with the operating activities of an Advisory Mutual Fund or any fund sponsored by the Adviser:

 

Employ any device, scheme or artifice to defraud an Advisory Mutual Fund or any fund sponsored by the Adviser;

 

Make any untrue statement of a material fact to an Advisory Mutual Fund or any fund sponsored by the Adviser or omit to state a material fact necessary in order to make the statements made to an Advisory Mutual Fund or any fund sponsored by the Adviser, in light of the circumstances under which they are made, not misleading;

 

Engage in any act, practice or course of business that operates or would operate as a fraud or deceit on an Advisory Mutual Fund or any fund sponsored by the Adviser; or

 

Engage in any manipulative practice with respect to an Advisory Mutual Fund or any fund sponsored by the Adviser.

 

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6

 

code of ethics

 

 

Board Directorship

 

You are prohibited from serving on a board of directors of a publicly traded company, without prior written approval from the CCO. The consideration of prior authorization will be based upon a determination that the board service will be consistent with the interests of Adviser’s clients and will not interfere, compete or conflict with the interests of the Adviser.

 

If you receive approval to serve on a publicly traded company Board of Directors, you will be isolated from other Access Persons making investment decisions with respect to the Securities of the company in question.

 

Political Contributions

 

You are prohibited from making any political contributions which are designed to influence a political official or government entity to direct investment advisory business or services to the Adviser. You are also prohibited from coordinating or soliciting any person or political action committee to make any contribution to an official of a government entity to which the Adviser is providing or seeking to provide investment advisory services, or payment to a political party of a State or locality where the Adviser is providing or seeking to provide investment advisory services to a government entity.

 

Gifts

 

You are prohibited from accepting or making gifts that are outside the normal course of business. “Lavish” gifts or “Extravagant” entertainment outside the normal scope of business are to be discouraged and all gifts and entertainment given or received are subject to monitoring by the General Counsel or the CCO.

 

The General Counsel or CCO, in conjunction with executive management, will determine whether a gift is “Lavish” or entertainment “Extravagant.” Penalties may be assessed if a gift or entertainment is determined to be “Lavish” or “Extravagant” and may extend from disgorgement or forfeiture to more serious discipline (up to and including termination) if the gift or entertainment violates a state, or federal law or regulation. If you receive or give a gift or entertainment determined to be prohibited by the executive management, you may have the option, as determined by executive management to mitigate the violation, by:

 

paying the market value for the gift or entertainment;

 

returning the gift or entertainment to the donor; or

 

giving the gift or entertainment (or an amount of its equal value) to an appropriate charity (for example, a 501(c) 3 organization).

 

Trading on Inside Information

 

Federal law prohibits you from trading based on material nonpublic information received from any source or communicating this information to others. This could include confidential information received by employees regarding securities that are, or maybe considered as potential, portfolio investments. You are expected to abide by the highest ethical and legal standards in conducting your personal investment activities. For more information regarding what to do when you believe you are in possession of material nonpublic information, please consult the Adviser’s Insider Trading Policy.

 

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7

 

code of ethics

 

 

Section 6: Public Reporting Obligations

 

For purposes of Sections 6 and 7 only of this Code, the term:

 

Private Funds shall mean any collective investment vehicle: (i) the interests in which are offered in reliance on Rule 506 of Regulation D under the Securities Act of 1933, (ii) which are excluded from the definition of an investment company as defined in the Investment Company Act of 1940, and (iii) for which the Adviser acts as the sponsor or general partner; and

 

Board of Directors shall mean the managers of the Adviser.

 

Because certain Private Funds are registered under the Securities Exchange Act of 1934, the Adviser is required to file on their behalf periodic and other reports with the Securities and Exchange Commission. The Adviser takes its public reporting responsibilities seriously. To that end, each Employee that is responsible for producing or reviewing the public reports of any Private Fund that is a public reporting company must:

 

A.take all reasonable steps to ensure that these reports and other public communications represent full, fair, accurate, timely and understandable disclosure regarding the financial and business condition of such Private Funds;

 

B.promptly bring to the attention of the Board of Directors any material information of which such Employee may become aware that affects the disclosures made by the Adviser in the public filings made on behalf of such Private Funds or otherwise would assist the Adviser in fulfilling its responsibilities to such Private Funds; and

 

C.promptly bring to the attention of the Board of Directors any information he or she may have concerning (1) significant deficiencies in the design or operation of internal controls that could adversely affect the Adviser’s ability to record, process, summarize and report financial data, including on behalf of such Private Funds, or (2) any fraud, whether or not material, involving management or other Employees who have a significant role in the Adviser’s financial reporting, including on behalf of such Private Funds, disclosures or internal controls.

 

Section 7: Certain Amendments, Modifications or Waivers

 

Sections 6 and 7 of this Code may not be amended, modified or waived except by approval of the Board of Directors. Any changes to, or waiver (whether explicit or implicit) to Sections 6 or 7 of this Code must be disclosed within four business days by Private Funds that are public reporting companies, by the filing of a Form 8-K filing for any such affected Private Fund.

 

Section 8: Oversight of Code of Ethics

 

Administration and Enforcement of the Code

 

The CCO is responsible for administering and enforcing this Code and may appoint one or more designees to aid in carrying out his/her responsibilities. The CCO or his or her designee, is responsible for reviewing transaction and holdings reports, and certifications, and processing preapproval requests. The CCO or his or her designee, will, on at least a quarterly basis, check the trading activity of Access Persons to verify that an Access Person has not violated the Code. Compliance personnel will test at least annually that systems in place are effective in monitoring this activity. The Compliance Officer will identify all Access Person and inform those persons of their reporting obligations.

 

If you violate this Code, the CCO will report the violation to the Board of each Advisory Mutual

 

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8

 

code of ethics

 

 

Fund for appropriate remedial action which, in addition to the actions specifically delineated in other sections of this Code, may include a reprimand, or suspension or termination of you relationship with the Advisory Mutual Fund and/or the Adviser.

 

Sanctions

 

The Adviser may take any action against a violator as it deems appropriate, up to and including suspension or termination from the firm.

 

Exemptions

 

The CCO may exempt a proposed transaction or series of transactions from one or more provisions of this Code if it is determined that the proposal is consistent with the policy and purposes underlying this Code. The CCO may not exempt his or her own transactions from this Code.

 

Required Records

 

The CCO will maintain or cause to be maintained:

 

A copy of any code of ethics adopted by the Adviser, which has been in effect at any time during the previous five (5) years, including any amendments in an easily accessible place;

 

A record of any violation of the code of ethics, and of any action taken as a result of such violations, in an easily accessible place for at least five (5) years after the end of the fiscal year in which the violation occurs;

 

A copy of each report made by an Access Person as required by this Section 4 and written acknowledgements for at least five (5) years after the end of the fiscal year in which the report is made, the first two years in an easily accessible place;

 

A record of the names of all Access Persons within the last five (5) years; and

 

A copy of each preapproval obtained by Access Persons.

 

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9

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