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%