| NOMURA ALTERNATIVE INCOME FUND | ||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | ||||||||||||||||||
| June 30, 2024 | ||||||||||||||||||
| Shares/Principal Amount ($) | Fair Value | |||||||||||||||||
| PRIVATE INVESTMENT FUNDS — 67.2%(a) | ||||||||||||||||||
| - | ACORE Credit Partners II, LP(b) | $ 3,139,583 | ||||||||||||||||
| - | AG Asset Based Credit Fund, L.P.(b) | 18,408,208 | ||||||||||||||||
| - | Alcova Capital Yield Premium Fund, L.P. (b) | 3,994,247 | ||||||||||||||||
| - | Atalaya A4 Evergreen (Cayman) LP(b) | 9,920,322 | ||||||||||||||||
| - | Crestline Opportunity Fund V Offshore TE/SWF, L.P.(b) | 2,311,316 | ||||||||||||||||
| - | Maranon Senior Credit Strategies Fund XIV, L.P(b) | 20,027,259 | ||||||||||||||||
| - | Medalist Partners Asset Based Private Credit Fund III LP Onshore Feeder, L.P. - Class B(b)(c) | 17,507,835 | ||||||||||||||||
| - | Sound Point Discovery Fund LLC(g) | 1,500,000 | ||||||||||||||||
| - | SP Technology Payments II, LLC(b) | 1,515,747 | ||||||||||||||||
| TOTAL PRIVATE INVESTMENT FUNDS (Cost $77,355,692) | 78,324,517 | |||||||||||||||||
| Spread | ||||||||||||||||||
| COLLATERALIZED LOAN OBLIGATIONS DEBT — 4.3%(d)(e)(f) | ||||||||||||||||||
| $ 3,000,000 | Maranon Loan Funding Ltd. Series 2A A1, 01/15/36 | TSFR3M + 2.50% | 3,036,279 | |||||||||||||||
| $ 1,500,000 | Maranon Loan Funding Ltd. Series 2A D, 01/15/36 | TSFR3M + 6.75% | 1,513,096 | |||||||||||||||
| $ 500,000 | Maranon Loan Funding Ltd. Series 2A E, 01/15/36 | TSFR3M + 10.00% | 504,947 | |||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS DEBT (Cost $5,000,000) | 5,054,322 | |||||||||||||||||
| LOANS — 5.6%(a)(g) | ||||||||||||||||||
| $ 1,250,000 | Bristol Industrial Senior Loan, 15.00%, 01/01/25 | 1,248,053 | ||||||||||||||||
| $ 750,000 | CR Steak LV LLC, 12.00%, 08/04/26 | 740,382 | ||||||||||||||||
| $ 1,350,167 | Future Family Loan Portfolio, Class A, 15.00%, 05/16/30 | 1,350,167 | ||||||||||||||||
| $ 82,084 | Future Family Loan Portfolio, Class B, 15.00%, 05/16/30 | 82,084 | ||||||||||||||||
| $ 1,400,000 | Royersford Industrial Senior Loan, 13.00%, 12/28/24 | 1,396,099 | ||||||||||||||||
| $ 250,000 | Tampa Industrial Senior Loan, 12.00%, 02/28/26 | 248,391 | ||||||||||||||||
| $ 750,000 | Ultra Padel Club, 13.00%, 11/27/27 | 735,452 | ||||||||||||||||
| $ 750,000 | Yacht Management Services, 12.00%, 07/21/24 | 746,749 | ||||||||||||||||
| TOTAL LOANS (Cost $6,556,818) | 6,547,377 | |||||||||||||||||
| NOMURA ALTERNATIVE INCOME FUND | ||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) | ||||||||
| June 30, 2024 | ||||||||
| Shares/Principal Amount ($) | Fair Value | |||||||
| U.S. GOVERNMENT & AGENCIES — 11.2% | ||||||||
| AGENCY HYBRID ARMS — 2.1% | ||||||||
| $ 2,375,971 | Fannie Mae REMICS Series 23-17 JA, 5.50%, 06/25/50 | $ 2,382,326 | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 7.0% | ||||||||
| $ 2,938,324 | Government National Mortgage Association Series 170 HC, 6.00%, 11/20/41 | 2,949,710 | ||||||
| $ 2,541,308 | Government National Mortgage Association Series 2023-141 LC, 6.00%, 01/20/43 | 2,557,858 | ||||||
| $ 2,101,082 | Government National Mortgage Association Series 209 PL, 5.50%, 11/20/50 | 2,101,328 | ||||||
| $ 5,298,894 | Government National Mortgage Association Series 2021-49 IP, 2.50%, 01/20/51 | 520,637 | ||||||
| 8,129,533 | ||||||||
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION — 2.1% | Spread | |||||||
| $ 2,503,221 | Ginnie Mae II Pool 786445, 3.908%, 08/20/49(d) | H15T1Y + 1.507% | 2,492,350 | |||||
| TOTAL U.S. GOVERNMENT & AGENCIES (Cost $12,975,481) | 13,004,209 | |||||||
| SHORT-TERM INVESTMENTS — 10.6% | ||||||||
| MONEY MARKET FUND - 3.0% | ||||||||
| 3,477,599 | First American Treasury Obligations Fund, Class X, 5.21%(h) | 3,477,599 | ||||||
| UNITED STATES TREASURY BILL — 7.6% | ||||||||
| $ 8,900,000 | United States Treasury Bill, 5.05%, 08/01/24 | 8,859,956 | ||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $12,338,973) | 12,337,555 | |||||||
| TOTAL INVESTMENTS - 98.9% (Cost $114,226,964) | $ 115,267,980 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1%(i) | 1,248,324 | |||||||
| NET ASSETS - 100.0% | $ 116,516,304 | |||||||
| NOMURA ALTERNATIVE INCOME FUND | |||||||
| NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) | |||||||
| June 30, 2024 | |||||||
Investment Abbreviations:
| H15T1Y | - 1 Year Treasury Rate | |
| LLC | - Limited Liability Company | |
| LP | - Limited Partnership | |
| Ltd. | - Limited Company | |
| REMIC | - Real Estate Mortgage Investment Conduit | |
| TSFR3M | - 3 Month Term Secured Overnight Financing Rate | |
Reference Rates: 1 Year Treasury Rate as of June 30, 2024 was 5.09%. 3 Month Term Secured Overnight Financing Rate as of June 30, 2024 was 5.35%.
| ||
| (a) | Restricted Security. Please refer to Restricted Securities Table below. |
| (b) | Investment is valued using the Fund’s pro rata net asset value (or its equivalent) as a practical expedient. |
| (c) | The Fund’s interest in this investment is held through a wholly-owned subsidiary of the Fund, NAIF Splitter LLC. |
| (d) | Variable rate investment. Interest rate shown reflects the rate in effect at June 30, 2024 is based on the reference rate plus the displayed spread as of the security's last reset date. Interest rates reset periodically. |
| (e) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2024 the total market value of 144A securities is $5,054,322 or 4.3% of net assets. |
| (f) | Variable rate security. |
| (g) | Level 3 securities fair valued using significant unobservable inputs. |
| (h) | Rate disclosed is the seven day effective yield as of June 30, 2024. |
| (i) | Includes cash held as collateral for futures contracts. |
Restricted Securities – Restricted securities are securities that may be resold only upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense either upon demand by the Fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Board. The restricted securities may be valued at the price provided by dealers in the secondary market or, if no market prices are available, the fair value as determined in good faith using methods approved by the Board. The Portfolio Funds generally are restricted securities that are subject to substantial holding periods and are not traded in public markets, so that the Fund may not be able to resell some of its investments for extended periods, which may be several years.
Additional information on each restricted investment held by the Fund at June 30, 2024 is as follows:
| Security | Acquisition Date | Cost | Value | % of Net Assets | |||||
| ACORE Credit Partners II, LP | 3/21/2023 | $ 3,215,823 | $ 3,139,583 | 2.7% | |||||
| AG Asset Based Credit Fund LP | 9/13/2023 | 17,651,603 | 18,408,208 | 15.8% | |||||
| Alcova Capital Yield Premium Fund, LP | 3/18/2024 | 4,000,000 | 3,994,247 | 3.4% | |||||
| Atalaya A4 Evergreen (Cayman) LP | 4/4/2023 | 9,643,697 | 9,920,322 | 8.5% | |||||
| Bristol Industrial Senior Loan | 3/13/2024 | 1,250,000 | 1,248,053 | 1.1% | |||||
| CR Steak LV LLC | 1/10/2024 | 741,939 | 740,382 | 0.6% | |||||
| Crestline Opportunity Fund V Offshore TE/SWF, LP | 9/21/2023 | 2,109,461 | 2,311,316 | 2.0% | |||||
| Future Family Loan Portfolio, Class A | 5/16/2024 | 1,350,167 | 1,350,167 | 1.2% | |||||
| Future Family Loan Portfolio, Class B | 5/16/2024 | 82,084 | 82,084 | 0.1% | |||||
| Maranon Senior Credit Strategies Fund XIV, LP | 6/1/2023 | 20,050,000 | 20,027,259 | 17.2% | |||||
| Medalist Partners Asset Based Private Credit Fund III LP Onshore Feeder, LP – Class B | 3/24/2023 | 17,685,108 | 17,507,835 | 15.0% | |||||
| Royersford Industrial Senior Loan | 3/13/2024 | 1,397,246 | 1,396,099 | 1.2% | |||||
| Sound Point Discovery Fund LLC | 4/3/2024 | 1,500,000 | 1,500,000 | 1.3% | |||||
| SP Technology Payments II, LLC | 4/4/2024 | 1,500,000 | 1,515,747 | 1.3% | |||||
| Tampa Industrial Senior Loan | 3/13/2024 | 248,871 | 248,391 | 0.2% | |||||
| Ultra Padel Club | 1/10/2024 | 736,851 | 735,452 | 0.6% | |||||
| Yacht Management Services | 1/10/2024 | 749,660 | 746,749 | 0.6% | |||||
| $ 83,912,510 | $84,871,894 | 72.8% |
