ALPHA ALTERNATIVE ASSETS FUND
SCHEDULE OF INVESTMENTS
December 31, 2023 (Unaudited)
Shares | Value | |||||||
COMMON STOCK (6.44%) | ||||||||
FBF 2023-1 LLC Economic Interest(a) | 1,200,000 | $ | 1,200,000 | |||||
TOTAL COMMON STOCK | ||||||||
(Cost $1,200,000) | 1,200,000 | |||||||
PREFERRED STOCK (0.97%) | ||||||||
Financial (0.97%) | ||||||||
Annaly Capital 6.500%, Series G, Perp | 88 | 2,174 | ||||||
Annaly Capital Management, Inc., Series F 6.95%(a) | 2,000 | 50,280 | ||||||
Citigroup Capital XIII, 3M CME TERM SOFR + 6.63(b) | 250 | 7,135 | ||||||
Citizens Financial Group, Inc.(b) | 3,000 | 72,000 | ||||||
State Street Corp.(b) | 2,000 | 50,060 | ||||||
Total Financial | 181,649 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $180,878) | 181,649 |
Principal Amount | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (5.42%) | ||||||||
Mortgage Securities (5.42%) | ||||||||
Government National Mortgage Association | ||||||||
Series 2019-H12, 0.008%, 06/20/2069(b)(c) | 1,907,368 | 65,715 | ||||||
Series 2017-H10, 0.020%, 04/20/2067(b)(c) | 722,507 | 22,929 | ||||||
Series 2015-H09, 0.023%, 04/20/2065(b)(c) | 495,807 | 16,766 | ||||||
Series 2017-H02, 0.032%, 01/20/2067(b)(c) | 394,102 | 12,104 | ||||||
Series 2019-H15, 0.033%, 09/20/2069(b)(c) | 1,779,636 | 83,570 | ||||||
Series 2019-H15, 0.034%, 07/20/2069(b)(c) | 1,825,381 | 79,664 | ||||||
Series 2019-H18, 0.045%, 11/20/2069(b)(c) | 1,308,717 | 62,099 | ||||||
Series 2017-H16, 0.066%, 08/20/2067(b)(c) | 1,133,972 | 36,138 | ||||||
Series 2016-H13, 0.116%, 04/20/2066(b)(c) | 551,062 | 29,229 |
Principal Amount | Value | |||||||
Mortgage Securities (continued) | ||||||||
Series 2018-H01, 0.221%, 01/20/2068(b)(c) | $ | 1,049,828 | $ | 65,880 | ||||
Series 2018-H04, 0.459%, 02/20/2068(b)(c) | 1,501,219 | 59,566 | ||||||
Series 2017-H20, 0.460%, 10/20/2067(b)(c) | 1,107,026 | 62,513 | ||||||
Series 2017-H16, 0.478%, 08/20/2067(b)(c) | 490,004 | 25,338 | ||||||
Series 2015-H16, 0.514%, 07/20/2065(b)(c) | 287,551 | 14,064 | ||||||
Series 2017-H22, 0.518%, 10/20/2067(b)(c) | 387,623 | 28,120 | ||||||
Series 2016-H16, 0.693%, 06/20/2066(b)(c) | 681,159 | 23,971 | ||||||
Series 2016-H22, 0.782%, 10/20/2066(b)(c) | 789,068 | 31,546 | ||||||
Series 2017-H25, 0.846%, 11/20/2067(b)(c) | 1,076,774 | 38,084 | ||||||
Series 2013-H25, 1.102%, 08/20/2063(b)(c) | 509,845 | 9,309 | ||||||
Series 2013-H13, 1.298%, 06/20/2063(b)(c) | 1,142,733 | 39,083 | ||||||
Series 2014-H07, 1.458%, 05/20/2064(b)(c) | 1,187,835 | 32,936 | ||||||
Series 2014-H21, 1.524%, 10/20/2064(b)(c) | 819,774 | 23,787 | ||||||
Series 2015-H25, 1.576%, 09/20/2065(b)(c) | 504,991 | 12,837 | ||||||
Series 2013-H13, 1.587%, 05/20/2063(b)(c) | 1,262,471 | 37,414 | ||||||
Series 2016-H20, 1.617%, 09/20/2066(b)(c) | 844,427 | 26,963 | ||||||
Series 2018-H07, 1.639%, 03/20/2068(b)(c) | 291,443 | 9,051 | ||||||
Series 2012-H27, 1.719%, 10/20/2062(b)(c) | 203,221 | 6,030 | ||||||
Series 2016-H22, 1.813%, 10/20/2066(b)(c) | 956,905 | 29,664 | ||||||
Series 2015-H23, 1.917%, 09/20/2065(b)(c) | 656,323 | 25,682 | ||||||
Total Mortgage Securities | 1,010,052 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $2,811,720) | 1,010,052 | |||||||
CORPORATE BOND (11.17%) | ||||||||
Basic Materials (0.53%) | ||||||||
Freeport-McMoRan, Inc., Senior Unsecured | ||||||||
4.550%, 11/14/2024 | 100,000 | 98,997 | ||||||
Communications (0.43%) | ||||||||
AT&T, Inc., Senior Unsecured | ||||||||
3M CME TERM SOFR + 1.44161%, 06/12/2024(b) | 24,000 | 24,085 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, Senior Secured First Lien | ||||||||
3M CME TERM SOFR + 1.91161%, 02/01/2024(b) | 56,000 | 56,000 | ||||||
Total Communications | 80,085 |
Principal Amount | Value | |||||||
Consumer, Cyclical (1.81%) | ||||||||
Delta Air Lines, Inc., Senior Unsecured | ||||||||
2.900%, 10/28/2024 | $ | 100,000 | $ | 97,412 | ||||
Ford Motor Credit Co. LLC, Senior Unsecured | ||||||||
5.584%, 03/18/2024 | 200,000 | 199,755 | ||||||
General Motors Financial Co., Inc., Senior Unsecured | ||||||||
1D US SOFR + 0.62%, 10/15/2024(b) | 9,000 | 8,986 | ||||||
1D US SOFR + 0.76%, 03/08/2024(b) | 31,000 | 31,002 | ||||||
Total Consumer, Cyclical | 337,155 | |||||||
Consumer, Non-cyclical (1.07%) | ||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Unsecured | ||||||||
6.000%, 04/15/2024 | 200,000 | 199,512 | ||||||
Energy (0.78%) | ||||||||
Enbridge, Inc., Senior Unsecured | ||||||||
SOFRINDX + 0.63%, 02/16/2024(b) | 15,000 | 15,004 | ||||||
Occidental Petroleum Corp., Senior Unsecured | ||||||||
3.450%, 07/15/2024 | 30,000 | 29,620 | ||||||
6.950%, 07/01/2024 | 100,000 | 100,482 | ||||||
Total Energy | 145,106 | |||||||
Financial Service Company (4.02%) | ||||||||
PCS Fund 1, L.P., | ||||||||
10.000%, 08/25/2028(d) | 750,000 | 749,588 | ||||||
Financials (1.21%) | ||||||||
Fifth Third Bancorp, Senior Unsecured | ||||||||
3.650%, 01/25/2024 | 100,000 | 99,840 | ||||||
Morgan Stanley, Senior Unsecured | ||||||||
1D US SOFR + 0.625%, 01/24/2025(b) | 1,000 | 999 | ||||||
Wells Fargo & Co., Unsecured | ||||||||
4.480%, 01/16/2024 | 125,000 | 124,934 | ||||||
Total Financials | 225,773 | |||||||
Technology (0.52%) | ||||||||
VMware LLC, Senior Unsecured | ||||||||
1.000%, 08/15/2024 | 100,000 | 97,160 |
Principal Amount | Value | |||||||
Utilities (0.80%) | ||||||||
Southern California Edison Co., Senior Secured First Lien | ||||||||
SOFRINDX + 0.83%, 04/01/2024(b) | $ | 150,000 | $ | 150,047 | ||||
TOTAL CORPORATE BOND | ||||||||
(Cost $2,084,709) | 2,083,423 |
7 Day Yield | Shares | Value | ||||||||||
SHORT TERM SECURITY (79.92%) | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Government Portfolio(e) | 5.250 | % | 14,901,517 | 14,901,517 | ||||||||
14,901,517 | ||||||||||||
TOTAL SHORT TERM SECURITY | ||||||||||||
(Cost $14,901,517) | 14,901,517 | |||||||||||
TOTAL INVESTMENTS (103.92%) | ||||||||||||
(Cost $21,178,824) | $ | 19,376,641 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-3.92%) | (731,632 | ) | ||||||||||
NET ASSETS (100.00%) | $ | 18,645,009 |
Investment Abbreviations:
SOFR- Secured Overnight Financing Rate
LIBOR Rate:
3M US SOFR - 3 Month SOFR as of December 31, 2023 was 5.33
(a) | Non-income producing security. |
(b) | Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2023 is based on the reference rate plus the displayed spread as of the securities last reset date. |
(c) | Interest-only security. |
(d) | As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as Level 3 assets. Level 3 securities have been fair valued under procedures established by the Board of Trustees. The total value of these securities is $749,588, which represents 4.02% of total net assets of the Fund. Additional information on Level 3 assets can be found in Note 2. Significant Accounting Policies in the Notes to Portfolio of Investments section. |
(e) | Represents 7 day effective yield at December 31, 2023. |