0001752724-24-046245.txt : 20240228 0001752724-24-046245.hdr.sgml : 20240228 20240228152328 ACCESSION NUMBER: 0001752724-24-046245 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240228 DATE AS OF CHANGE: 20240228 PERIOD START: 20240331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Nomura Alternative Income Fund CENTRAL INDEX KEY: 0001944664 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23826 FILM NUMBER: 24694530 BUSINESS ADDRESS: STREET 1: 225 PICTORIA DRIVE SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 BUSINESS PHONE: 2126679131 MAIL ADDRESS: STREET 1: 225 PICTORIA DRIVE SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 NPORT-P 1 primary_doc.xml NPORT-P false 0001944664 XXXXXXXX Nomura Alternative Income Fund 811-23826 0001944664 549300A59FYTUHL9TJ86 Worldwide Plaza 309 West 49th Street New York 10019 212-667-9000 Nomura Alternative Income Fund 549300A59FYTUHL9TJ86 2024-03-31 2023-12-31 N 108319200.92 491120.81 107828080.11 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 47960 USD N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38384DU62 2990726.71000000 PA USD 3047628.87000000 2.826377755118 Long ABS-O USGA US N 2 2041-11-20 Fixed 6.00000000 N N N N N N Maranon Loan Funding Ltd N/A Maranon Loan Funding Ltd 565926AG7 1500000.00000000 PA USD 1505884.50000000 1.396560616180 Long ABS-O CORP US Y 2 2036-01-15 Variable 12.092 N N N N N N United States Treasury Bills 254900HROIFWPRGM1V77 United States Treasury Bill 912797HQ3 1750000.00000000 PA USD 1718060.30000000 1.593332922414 Long DBT UST US N 2 2024-05-09 None 0.00000000 N N N N N N ACORE Credit Partners II, LP N/A ACORE Credit Partners II, LP N/A 4247572.81000000 NS USD 4247572.81000000 3.939208419241 Long PF US Y N/A N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ACBN9 2691476.00000000 PA USD 2651716.98000000 2.459208192610 Long ABS-MBS USGA US N 2 2049-08-20 Variable 3.43600032 N N N N N N Maranon Senior Credit Strategies Fund XIV, L.P N/A Maranon Senior Credit Strategies Fund XIV, L.P N/A 20006610.15000000 NS USD 20006610.15000000 18.55417450592 Long PF US Y N/A N N N Maranon Loan Funding Ltd N/A Maranon Loan Funding Ltd 565926AA0 3000000.00000000 PA USD 3002769.00000000 2.784774612454 Long ABS-O CORP US Y 2 2036-01-15 Variable 7.842 N N N N N N United States Treasury Bills 254900HROIFWPRGM1V77 United States Treasury Bill 912797GM3 16000000.00000000 PA USD 15913430.24000000 14.75815040364 Long DBT UST US N 2 2024-02-08 None 0.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J54C0 2253853.20000000 PA USD 2268188.22000000 2.103522772255 Long ABS-MBS USGSE US N 2 2047-09-01 Variable 2.87400132 N N N N N N Crestline Opportunity Fund V Offshore TE/SWF, L.P. N/A Crestline Opportunity Fund V Offshore TE/SWF, L.P. N/A 1820406.44000000 NS USD 1820406.44000000 1.688248959030 Long PF US Y N/A N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 5 Year US Treasury Note Future N/A -24.00000000 NS USD -35624.11000000 -0.03303787841 Short DE CORP US N 1 STONEX GROUP INC N/A Short CBOT 5 Year US Treasury Note Future CBOT 5 Year US Treasury Note Future 2024-03-29 -2610562.51000000 USD -35624.11000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38384ED28 2967727.28000000 PA USD 3039648.38000000 2.818976631040 Long ABS-O USGA US N 2 2043-01-20 Fixed 6.00000000 N N N N N N Medalist Partners, L.P. N/A Medalist Partners, L.P. N/A 15159869.58 NS USD 15159869.58 14.05929658075 Long PF US Y N/A N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383LPZ7 2834076.35000000 PA USD 2871153.72000000 2.662714310661 Long ABS-O USGA US N 2 2050-11-20 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BPX48 2617672.71000000 PA USD 2653870.94000000 2.461205779879 Long ABS-O USGSE US N 2 2050-06-25 Fixed 5.50000000 N N N N N N AG Asset Based Credit Fund LP N/A AG Asset Based Credit Fund LP N/A 14236880.00000000 NS USD 14236880.00000000 13.20331400269 Long PF US Y N/A N N N Atalaya A4 Evergreen (Cayman) LP N/A Atalaya A4 Evergreen (Cayman) LP N/A 5800591.00000000 NS USD 5800591.00000000 5.379480923784 Long PF US Y N/A N N N Maranon Loan Funding Ltd N/A Maranon Loan Funding Ltd 565926AJ1 500000.00000000 PA USD 502586.50000000 0.466099831775 Long ABS-O CORP US Y 2 2036-01-15 Variable 15.342 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382P2H4 5688440.90000000 PA USD 592876.62000000 0.549835088777 Long ABS-O USGA US N 2 2051-01-20 Fixed 2.49999840 N N N N N N First American Funds Inc. 549300J5J5SJCZ9IA369 First American Treasury Obligations Fund 31846V328 6195395.41000000 PA USD 6195395.41000000 5.745623406889 Long STIV RF US N 1 N N N 2023-12-31 Nomura Alternative Income Fund Madeline Arment Madeline Arment Treasurer XXXX NPORT-EX 2 nomuranport.htm

 

NOMURA ALTERNATIVE INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares/Principal Amount ($)             Fair Value
    PRIVATE INVESTMENT FUNDS — 56.8%      
-   ACORE Credit Partners II, LP(a)(b)       $ 4,247,573
-   AG Asset Based Credit Fund LP(a)(b)         14,236,880
-   Atalaya A4 Evergreen (Cayman) LP(a)(b)         5,800,591
-   Crestline Opportunity Fund V Offshore TE/SWF, LP(a)(b)         1,820,406
-   Maranon Senior Credit Strategies Fund XIV, LP(a)(b)(c)         20,006,610
-   Medalist Partners Asset Based Private Credit Fund III LP Onshore Feeder, LP – Class B(a)(b)(d)                        15,159,870
    TOTAL PRIVATE INVESTMENT FUNDS (Cost $60,298,501)    

61,271,930

          Spread    
    COLLATERALIZED LOAN OBLIGATIONS DEBT — 4.6%(e)      
$         3,000,000   Maranon Loan Funding Ltd Series 2A A1, 01/15/36(f)(g)   TSFR3M +   2.50%   3,002,769
$         1,500,000   Maranon Loan Funding Ltd Series 2A D, 01/15/36(f)(g)   TSFR3M +   6.75%   1,505,884
 $            500,000   Maranon Loan Funding Ltd Series 2A E, 01/15/36(f)(g)   TSFR3M + 10.00%   502,587
  TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $5,000,000)       5,011,240
             
    U.S. GOVERNMENT & AGENCIES — 15.9%      
    AGENCY HYBRID ARMS — 4.6%      
$         2,253,853   Fannie Mae Pool BM1718, 2.87%, 09/01/47(g)         2,268,188
$         2,617,673   Fannie Mae REMICS Series 23-17 JA, 5.50%, 06/25/50         2,653,871
              9,551,308
    COLLATERALIZED MORTGAGE OBLIGATIONS— 8.8%      
$         2,990,727   Government National Mortgage Association Series 170 HC, 6.00%, 11/20/41         3,047,629
$         2,967,727   Government National Mortgage Association Series 2023-141 LC, 6.00%, 01/20/43         3,039,648
$         2,834,076   Government National Mortgage Association Series 209 PL, 5.50%, 11/20/50         2,871,154
$         5,688,441   Government National Mortgage Association Series 2021-49 IP, 2.50%, 01/20/51         592,877
              9,551,308
             
    GOVERNMENT NATIONAL MORTGAGE ASSOCIATION — 2.5%      
$         2,691,476   Ginnie Mae II Pool 786445, 3.44%, 08/20/49(g)       2,651,717
             
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $16,895,237)    

17,125,084

 

 

 

 

 

 

 

          
 
 

 

NOMURA ALTERNATIVE INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares/Principal Amount ($)             Fair Value
    SHORT-TERM INVESTMENTS — 22.1%      
    MONEY MARKET FUND — 5.7%      
  6,195,395   First American Treasury Obligations Fund, Class X, 5.28%(h)    

$ 6,195,395

               
    UNITED STATES TREASURY BILLS — 16.4%      
$16,000,000   United States Treasury Bill, 5.02%, 02/08/24         15,913,431
$1,750,000   United States Treasury Bill, 5.15%, 05/09/24                          1,718,060
         

17,631,491

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $23,823,568)    

23,826,886

               
    TOTAL INVESTMENTS - 99.4% (Cost $106,017,306)     $ 107,235,140
    OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6%(i)    

609,400

    NET ASSETS - 100.0%        

$ 107,844,540

           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Short Futures Contracts     Expiration Notional Amount Value and Unrealized Depreciation
24   5 Year U.S. Treasury Note Future   03/29/24 $ 2,610,563 $ (35,624)
    TOTAL FUTURES CONTRACTS  

$ (35,624)

 

Investment Abbreviations: 

 

LP  - Limited Partnership
Ltd.  - Limited Company
REMIC  - Real Estate Mortgage Investment Conduit
TSFR3M  - 3 Month Term Secured Overnight Financing Rate
 

 

Reference Rates:

3 Month Term Secured Overnight Financing Rate as of December 31, 2023 was 5.36%. 

 

 

 

 

(a) Restricted Security. Please refer to Restricted Securities Table in the Notes to Consolidated Schedule of Investments.
(b) Investment is valued using the Fund’s pro rata net asset value (or its equivalent) as a practical expedient.
(c) Non-controlling affiliated investment for which ownership is 5% or more of the investment’s capital.
(d) The Fund’s interest in this investment is held through a wholly-owned subsidiary of the Fund, NAIF Splitter LLC.
(e) Variable rate investment. Interest rate shown reflects the rate in effect at December 31, 2023 is based on the reference rate plus the displayed spread as of the security's last reset date.  Interest rates reset periodically.
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. The security may be resold in transactions exempt from registration under Rule 144A, normally to qualified institutional buyers.  As of December 31, 2023, these securities had an aggregate value of $5,011,240 or 4.6% of net assets.
(g) Variable rate security.
(h) Rate disclosed is the seven day effective yield as of December 31, 2023.
(i) Includes cash held as collateral for futures contracts.

 

 

 
 

 

NOMURA ALTERNATIVE INCOME FUND

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31,2023

 

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 resoldin 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 December 31, 2023 is as follows:

  

                   
  Security   Acquisition Date   Cost   Value   % of Net Assets
  ACORE Credit Partners II, LP   3/24/2023    $       4,434,494    $    4,247,573   3.9%
  AG Asset Based Credit Fund LP   9/13/2023           13,451,603        14,236,880   13.2%
  Atalaya A4 Evergreen (Cayman) LP   4/4/2023             5,462,912          5,800,591   5.4%
  Crestline Opportunity Fund V Offshore TE/SWF, LP   9/21/2023             1,705,181          1,820,406   1.7%
  Maranon Senior Credit Strategies Fund XIV, LP   6/1/2023           20,050,000        20,006,610   18.5%
  Medalist Partners Asset Based Private Credit Fund III LP Onshore Feeder, LP – Class B   3/21/2023           15,194,311        15,159,870   14.1%
           $     60,298,501    $  61,271,930   56.8%