ALPHA ALTERNATIVE ASSETS FUND
SCHEDULE OF INVESTMENTS
June 30, 2024 (Unaudited)
| Shares | Value (Note 2) | |||||||
| COMMON STOCK (20.35%) | ||||||||
| FBF 2023-1 LLC Economic Interest(a)(b) | 2,770,653 | $ | 2,797,118 | |||||
| MEP Capital IV, L.P.(a)(b) | 926,835 | 926,835 | ||||||
| Total | 3,723,953 | |||||||
| TOTAL COMMON STOCK | ||||||||
| (Cost $3,697,488) | 3,723,953 | |||||||
| PREFERRED STOCK (3.97%) | ||||||||
| Financial (3.97%) | ||||||||
| Annaly Capital 6.500%, Series G, Perp | 2,000 | 51,020 | ||||||
| Annaly Capital Management, Inc., Series F 6.95%(b) | 2,000 | 50,980 | ||||||
| Annaly Capital Management, Inc., Series I 6.75% | 2,090 | 53,546 | ||||||
| Athene Holding, Ltd.(c) | 4,000 | 100,600 | ||||||
| Bank Of America CRP 5.991%, Series E Perp(b) | 5 | 118 | ||||||
| Bank Of America CRP 6.129%, Series 5 Perp(b) | 5,803 | 128,826 | ||||||
| Citigroup Capital XIII, 3M CME TERM SOFR + 6.63(c) | 250 | 7,318 | ||||||
| Citizens Financial Group, Inc.(c) | 4,000 | 99,840 | ||||||
| M&T Bank Corp.(c) | 4,000 | 96,960 | ||||||
| Morgan Stanley(c) | 4,000 | 100,359 | ||||||
| Regions Financial Corp.(c) | 1,500 | 37,425 | ||||||
| Total Financial | 726,992 | |||||||
| TOTAL PREFERRED STOCK | ||||||||
| (Cost $715,258) | 726,992 | |||||||
| Principal Amount | Value (Note 2) | |||||||
| ASSET-BACKED SECURITIES (24.48%) | ||||||||
| Asset Backed Securities (24.48%) | ||||||||
| Experity Ventures Series 2024-A, 9.000%, 01/15/2029(a) | $ | 4,479,090 | $ | 4,479,090 | ||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||
| (Cost $4,479,090) | 4,479,090 | |||||||
| CORPORATE BOND (29.92%) | ||||||||
| Basic Materials (0.54%) | ||||||||
| Freeport-McMoRan, Inc., Senior Unsecured 4.550%, 11/14/2024 | 100,000 | 99,573 | ||||||
| Consumer, Cyclical (6.38%) | ||||||||
| Delta Air Lines, Inc., Senior Unsecured 2.900%, 10/28/2024 | 271,000 | 268,353 | ||||||
| Ford Motor Credit Co. LLC, Senior Unsecured 5.125%, 06/16/2025 | 200,000 | 198,553 | ||||||
| General Motors Financial Co., Inc., Senior Unsecured 1D US SOFR + 0.62%, 10/15/2024(c) | 350,000 | 350,145 | ||||||
| United Airlines Holdings, Inc., Senior Unsecured 4.875%, 01/15/2025 | 350,000 | 348,054 | ||||||
| Total Consumer, Cyclical | 1,165,105 | |||||||
| Consumer, Non-cyclical (1.12%) | ||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Unsecured 7.125%, 01/31/2025 | 200,000 | 200,679 | ||||||
| Tyson Foods, Inc., Senior Unsecured 3.950%, 08/15/2024 | 5,000 | 4,987 | ||||||
| Total Consumer, Non-cyclical | 205,666 | |||||||
| Energy (0.16%) | ||||||||
| Occidental Petroleum Corp., Senior Unsecured 3.450%, 07/15/2024 | 30,000 | 30,077 | ||||||
| Financial Service Company (12.30%) | ||||||||
| PCS Fund 1, L.P., 10.000%, 08/25/2028(a) | 750,000 | 749,590 | ||||||
| Principal Amount | Value (Note 2) | |||||||
| Financial Service Company (continued) | ||||||||
| Thrivest Legal Funding, LLC Promissory Note, 05/01/2029(a) | $ | 1,500,000 | $ | 1,500,000 | ||||
| Total Financial Service Company | 2,249,590 | |||||||
| Financials (5.58%) | ||||||||
| Bank of America Corp., Senior Unsecured 3M CME TERM SOFR + 1.13161%, 10/22/2025(c) | 210,000 | 207,835 | ||||||
| Citizens Bank NA, Senior Unsecured 1D US SOFR + 1.45%, 10/24/2025(c) | 300,000 | 299,861 | ||||||
| Goldman Sachs Group, Inc., Senior Unsecured | ||||||||
| Series ., 1D US SOFR + 0.486%, 10/21/2024(c) | 21,000 | 21,003 | ||||||
| 1D US SOFR + 0.50%, 09/10/2024(c) | 44,000 | 44,010 | ||||||
| Series ., 1D US SOFR + 0.505%, 09/10/2024(c) | 250,000 | 250,005 | ||||||
| 3M CME TERM SOFR + 1.46261%, 09/29/2025(c) | 200,000 | 198,726 | ||||||
| Total Financials | 1,021,440 | |||||||
| Industrials (1.81%) | ||||||||
| Boeing Co., Senior Unsecured | ||||||||
| 2.850%, 10/30/2024 | 200,000 | 197,786 | ||||||
| 4.875%, 05/01/2025 | 100,000 | 98,957 | ||||||
| 7.950%, 08/15/2024 | 34,000 | 34,062 | ||||||
| Total Industrials | 330,805 | |||||||
| Technology (1.95%) | ||||||||
| Analog Devices, Inc., Senior Unsecured SOFRINDX + 0.25%, 10/01/2024(c) | 250,000 | 250,040 | ||||||
| VMware LLC, Senior Unsecured 1.000%, 08/15/2024 | 107,000 | 106,348 | ||||||
| Total Technology | 356,388 | |||||||
| Utilities (0.08%) | ||||||||
| Edison International, Senior Unsecured 3.550%, 11/15/2024 | 15,000 | 14,861 | ||||||
| TOTAL CORPORATE BOND | ||||||||
| (Cost $5,471,094) | 5,473,505 | |||||||
| 7 Day Yield | Shares | Value (Note 2) | ||||||||||
| SHORT TERM SECURITY (22.66%) | ||||||||||||
| Money Market Funds | ||||||||||||
| Fidelity Government Portfolio | 5.207 | % | 4,147,271 | $ | 4,147,271 | |||||||
| 4,147,271 | ||||||||||||
| TOTAL SHORT TERM SECURITY | ||||||||||||
| (Cost $4,147,271) | 4,147,271 | |||||||||||
| TOTAL INVESTMENTS (101.38%) | ||||||||||||
| (Cost $18,510,201) | $ | 18,550,811 | ||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-1.38%) | (252,442 | ) | ||||||||||
| NET ASSETS (100.00%) | $ | 18,298,369 | ||||||||||
Investment Abbreviations:
SOFR - Secured Overnight Financing Rate
SOFRINDX - Secured Overnight Financing Rate Index
LIBOR Rate:
3M US SOFR - 3 Month SOFR as of June 30, 2024 was 5.32%
3M CME TERM SOFR - 3 Month CME Term SOFR as of June 30, 2024 was 5.32%
SOFRINDX - Secured Overnight Financing Rate Index as of June 30, 2024 was 1.14%
1D US SOFR - 1 Day US SOFR as of June 30, 2024 was 5.33%
| (a) | As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as Level 3 assets. |
| (b) | Non-income producing security. |
| (c) | Floating or variable rate security. The reference rate is described above. The rate in effect as of June 30, 2024 is based on the reference rate plus the displayed spread as of the securities last reset date. |
