N-CSRS 1 easterly_ncsrs.htm N-CSRS

 

 

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-23611

 

James Alpha Funds Trust

(Exact name of registrant as specified in charter)

 

515 Madison Avenue, 24th Floor, New York, NY 10022

(Address of principal executive offices) (Zip code)

 

Emile R. Molineaux, Gemini Fund Services, LLC

80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 623-266-4567

 

Date of fiscal year end: 11/30

 

Date of reporting period: 5/31/2023

 

 

Item 1. Reports to Stockholders.

 

 
 
 
 
(EASTERLY FUNDS LOGO)
 
JAMES ALPHA FUNDS TRUST d/b/a EASTERLY FUNDS TRUST
 
 
 
 
 
CLASS A, C, I AND R6 SHARES
 
 
 
 
 
SEMI-ANNUAL REPORT
May 31, 2023
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS.

 

 

Easterly Total Hedge Portfolio
PORTFOLIO REVIEW (Unaudited)
May 31, 2023

 

The Fund’s performance figures* for each of the periods ended May 31, 2023, compared to its benchmarks:

 

         Annualized  Annualized
   Six Month  1 Year Return  5 Year Return  Since Inception*
Class I  (2.28)%  (3.88)%  2.14%  2.67%
Class R6  (2.05)%  (3.54)%  2.47%  2.95%
HFRI Fund Weighted Composite Index(a)  0.94%  (0.10)%  4.44%  4.78%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. T investment he return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated April 1, 2023, is 2.04% and 1.67% for the I and R6 Classes, respectively.

 

(a)The HFRI Fund Weighted Composite Index is a global, equal-weighted index of appx. 1,900 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

 

*Inception date is June 30, 2017.

 

Top 10 Holdings by Industry  % of Net Assets 
Exchange-Traded Funds   0.0%*
Other/Cash & Equivalents   100.0%
    100.0%

 

*Percentage rounds to less than 0.1%

 

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund’s assets.

1

 

Easterly Income Opportunities Fund (Formerly,Easterly Structured Credit Value Fund)
PORTFOLIO REVIEW (Unaudited)
May 31, 2023

 

The Fund’s performance figures* for each of the periods ended May 31, 2023, compared to its benchmarks:

 

            Annualized
   Six Month  1 Year Return  3 Year Return  Since Inception*
Class A  2.82%  (0.64)%  3.56%  5.07%
Class A With Load  0.81%  (2.67)%  1.54%  3.77%
Class C  2.50%  (1.30)%  2.82%  4.03%
Class I  3.03%  (0.29)%  3.84%  4.92%
Class R6  3.28%  0.10%  4.23%  5.31%
Bloomberg US Aggregate Bond Index(a)  2.00%  (2.14)%  (3.65)%  0.73%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated April 1 ,2023, is 1.80%, 2.55%, 1.55%%, and 1.18% for the A, C, I and R6 Classes, respectively.

 

(a)The Bloomberg U.S. Aggregate Bond Index is an unmanaged index which represents the U.S. investment-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.

 

*Inception date is August 21, 2018.

 

Top 10 Holdings by Industry *  % of Net Assets 
Collateralized Mortgage Obligations   33.0%
Non Agency CMBS   19.7%
U.S. Treasury Notes   4.6%
U.S. Treasury Bills   4.4%
Home Equity   4.2%
Institutional Financial Services   3.9%
Specialty Finance   3.9%
Banking   3.5%
CDO   2.9%
Other ABS   2.7%
Other/Cash & Equivalents   17.2%
    100.0%

 

*Does not include derivative holdings

 

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund’s assets.

2

 

EASTERLY TOTAL HEDGE PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2023

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 0.0%(a)     
     EQUITY - 0.0%(a)     
 6,095   VanEck Russia ETF  $3,230 
 1,504   VanEck Russia Small-Cap ETF   572 
         3,802 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $237,429)   3,802 
           
     TOTAL INVESTMENTS - 0.0%(a) (Cost $237,429)  $3,802 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 99.9%   8,177,010 
     NET ASSETS - 100.0%  $8,180,812 

 

ETF - Exchange-Traded Fund
   
(a) Percentage rounds to less than 0.1%.
   
(b) Rate disclosed is the seven day effective yield as of May 31, 2023.

 

See accompanying notes which are an integral part of these financial statements.

3

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2%              
     AGENCY CMBS — 1.8%              
 847,054   Freddie Mac Multifamily Structured Pass Through Series K092 X3(a),(b)     2.2490  05/25/47  $90,422 
 2,848,068   FREMF Mortgage Trust Series 2017-KF37 B(c),(d)  US0001M + 2.750%  7.8120  06/25/27   2,730,306 
 2,577,796   FREMF Mortgage Trust Series 2019-KF63(c),(d)  US0001M + 2.350%  7.4120  05/25/29   2,243,035 
 65,196   Government National Mortgage Association Series 2012-27 IO(a),(b)     0.2680  04/16/53   203 
 941,905   Multifamily Connecticut Avenue Securities Trust Series 2019-01 M10(c),(d)  US0001M + 3.250%  8.3880  10/15/49   898,215 
                  5,962,181 
     AUTO LOAN — 0.8%              
 334,000   Flagship Credit Auto Trust Series 2020-3 E(c)     4.9800  12/15/27   303,560 
 3,500,000   US Auto Funding Series 2021-1A D(c)     4.3600  03/15/27   2,548,476 
                  2,852,036 
     CDO — 2.9%              
 312,236   Aspen Funding I Ltd.     9.0600  07/10/37   315,392 
 7,294,617   DWRS Series 2016-1A UCF(c)     1.0440  04/23/32   1,896,600 
 5,095,524   Galleria CDO V Ltd. Series 5A B(c),(d)  US0003M + 2.400%  7.3630  09/19/37   4,893,737 
 3,417,418   Mid Ocean CBO Ltd. Series 2001-1X A1L(d)  US0003M + 0.500%  2.3910  11/05/36   407,937 
 3,000,000   Tropic CDO IV Ltd. Series 2004-4A A3L(c),(d)  US0003M + 1.000%  6.2600  04/15/35   2,392,905 
                  9,906,571 
     CLO — 1.9%              
 500,000   Ellington Clo III Ltd. Series 2018-3A D(c),(d)  US0003M + 3.740%  8.9900  07/20/30   485,042 
 200,000   GC FTPYME Pastor 4 FTA  EUR003M + 2.400%  5.7230  07/15/45   134,262 
 244,753   Halcyon Loan Advisors Funding Ltd. Series 2014-2A C(c),(d)  US0003M + 3.500%  8.7730  04/28/25   243,464 
 1,073,094   Halcyon Loan Advisors Funding Ltd. Series 2013-2A D(c),(d)  US0003M + 3.800%  9.0990  08/01/25   697,367 
 1,000,000   Nassau Ltd. Series 2017-IIA C(c),(d)  US0003M + 2.250%  7.5100  01/15/30   956,424 
 250,000   Nassau Ltd. Series 2018-IA E(c),(d)  US0003M + 5.850%  11.1100  07/15/31   163,123 
 500,000   Peaks CLO 2 Ltd. Series 2017-2A CR(c),(d)  US0003M + 3.600%  8.8500  07/20/31   477,886 
 2,750,000   Peaks CLO 2 Ltd. Series 2017-2A DR(c),(d)  US0003M + 5.000%  10.2500  07/20/31   2,378,480 
 500,000   Steele Creek Clo Ltd. Series 2018-2A D(c),(d)  US0003M + 3.400%  8.7450  08/18/31   424,884 
 500,000   Zais Clo 13 Ltd. Series 2019-13A D1(c),(d)  US0003M + 4.520%  9.7800  07/15/32   402,884 
                  6,363,816 
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0%              
 83,383   ABN Amro Mortgage Corporation Series 2003-11 A4     5.5000  10/25/33   80,596 
 506,192   Adjustable Rate Mortgage Trust Series 2005-6A 2A2(d)  US0001M + 0.840%  5.9780  11/25/35   185,194 

 

See accompanying notes which are an integral part of these financial statements.

4

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 37,091   Alternative Loan Trust Series 1998-4 IIA3(e)     5.9170  08/25/28  $35,695 
 35,635   Alternative Loan Trust Series 2004-J11 3A1     7.2500  08/25/32   35,124 
 114,329   Alternative Loan Trust Series 2003-J2 A1     6.0000  10/25/33   109,000 
 107,998   Alternative Loan Trust Series 2003-J3 1A3     5.2500  11/25/33   102,314 
 18,702   Alternative Loan Trust Series 2003-22CB 1A1     5.7500  12/25/33   18,586 
 33,670   Alternative Loan Trust Series 2003-J3 2A1     6.2500  12/25/33   33,380 
 10,362   Alternative Loan Trust Series 2004-16CB 1A1     5.5000  07/25/34   10,008 
 136,553   Alternative Loan Trust Series 2004-J8 2A1     7.0000  08/25/34   127,938 
 50,387   Alternative Loan Trust Series 2004-15 1A2(b)     4.2410  09/25/34   47,044 
 81,068   Alternative Loan Trust Series 2004-J10 2CB1     6.0000  09/25/34   78,934 
 579,076   Alternative Loan Trust Series 2004-J10 5CB1     5.5000  11/25/34   560,590 
 432,616   Alternative Loan Trust Series 2004-28CB 2A4     5.7500  01/25/35   401,296 
 83,142   Alternative Loan Trust Series 2004-28CB 3A1     6.0000  01/25/35   75,252 
 42,382   Alternative Loan Trust Series 2004-28CB 6A1     6.0000  01/25/35   39,317 
 33,946   Alternative Loan Trust Series 2005-3CB 1A9     5.0000  03/25/35   29,344 
 139,904   Alternative Loan Trust Series 2005-6CB 1A6     5.5000  04/25/35   121,541 
 81,119   Alternative Loan Trust Series 2005-14 2A1(d)  US0001M + 0.420%  5.5580  05/25/35   69,466 
 142,254   Alternative Loan Trust Series 2005-J8 1A5     5.5000  07/25/35   109,253 
 195,340   Alternative Loan Trust Series 2005-27 2A1(d)  12MTA + 1.350%  5.0930  08/25/35   155,603 
 41,033   Alternative Loan Trust Series 2005-J11 2A1     6.0000  10/25/35   21,726 
 34,268   Alternative Loan Trust Series 2005-54CB 1A11     5.5000  11/25/35   27,130 
 52,968   Alternative Loan Trust Series 2005-J11 1A3     5.5000  11/25/35   31,828 
 103,212   Alternative Loan Trust Series 2005-61 2A1(d)  US0001M + 0.560%  5.6980  12/25/35   95,468 
 143,197   Alternative Loan Trust Series 2005-72 A3(d)  US0001M + 0.600%  5.7380  01/25/36   128,870 
 105,076   Alternative Loan Trust Series 2006-40T1 2A1     6.0000  12/25/36   32,024 
 45,712   Alternative Loan Trust Resecuritization Series 2005-12R A3     6.0000  11/25/34   44,195 
 1,126,119   Alternative Loan Trust Resecuritization Series 2005-12R A4     6.0000  11/25/34   1,088,740 
 372,774   Alternative Loan Trust Resecuritization Series 2008-2R 2A1(b)     3.1410  08/25/37   167,630 
 94,137   American Home Mortgage Investment Trust Series 2004-1 2M1(d)  US0006M + 2.000%  7.3870  04/25/44   82,572 
 1,500,000   Angel Oak Mortgage Trust Series 2021-6 M1(b),(c)     2.7720  09/25/66   879,339 
 217,504   APS Resecuritization Trust Series 2016-3 3A(c),(d)  US0001M + 2.850%  7.9880  09/27/46   217,286 
 204,654   Banc of America Alternative Loan Trust Series 2003-8 1CB1     5.5000  10/25/33   198,112 
 106,595   Banc of America Alternative Loan Trust Series 2004-6 3A1     6.0000  07/25/34   103,414 
 63,374   Banc of America Alternative Loan Trust Series 2007-1 1A1(b)     3.9290  02/25/57   54,039 

 

See accompanying notes which are an integral part of these financial statements.

5

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 226,201   Banc of America Funding Trust Series 2005-1 1A1     5.5000  02/25/35  $208,258 
 42,834   Banc of America Funding Trust Series 2005-E 8A1(d)  12MTA + 1.430%  5.1730  06/20/35   31,390 
 41,657   Banc of America Funding Trust Series 2015-R4 5A1(c),(d)  US0001M + 0.150%  5.1700  10/25/36   41,298 
 89,706   Banc of America Funding Trust Series 2007-2 1A8(a)     6.0000  03/25/37   17,304 
 778,959   Banc of America Funding Trust Series 2006-I 4A1(b)     3.9050  10/20/46   654,127 
 26,923   Banc of America Mortgage Trust Series 2002-L 1A1(b)     3.5580  12/25/32   20,513 
 52,057   Banc of America Mortgage Trust Series 2005-E 2A1(b)     3.9550  06/25/35   44,219 
 52,564   Banc of America Mortgage Trust Series 2005-F 3A1(b)     3.9870  07/25/35   43,858 
 26,997   Banc of America Mortgage Trust Series 2005-H 2A1(b)     4.0120  09/25/35   22,829 
 1,053,035   BCAP, LLC Series 2014-RR2 7A2(c),(d)  US0001M + 0.200%  4.6760  01/26/38   974,010 
 1,875,652   BCAP, LLC Trust Series 2011-RR5 12A1(c),(e)     4.5990  03/26/37   1,824,425 
 862,943   BCAP, LLC Trust Series 2011-RR10 1A2(b),(c)     5.0000  03/26/37   677,772 
 3,606   Bear Stearns ALT-A Trust Series 2004-11 2A1(b)     3.0770  11/25/34   3,370 
 56,565   Bear Stearns ARM Trust Series 2003-5 1A1(b)     4.0290  08/25/33   52,977 
 4,528   Bear Stearns ARM Trust Series 2003-7 6A(b)     4.3300  10/25/33   4,263 
 45,054   Bear Stearns ARM Trust Series 2003-8 2A1(b)     3.9100  01/25/34   41,337 
 110,390   Bear Stearns ARM Trust Series 2004-1 124M(b)     4.0400  04/25/34   99,146 
 11,952   Bear Stearns ARM Trust Series 2004-1 21A1(b)     4.3450  04/25/34   10,802 
 118,850   Bear Stearns ARM Trust Series 2004-5(b)     3.4560  07/25/34   97,117 
 98,716   Bear Stearns ARM Trust Series 2004-6 3A(b)     4.0130  09/25/34   85,775 
 894,288   Bear Stearns ARM Trust Series 2004-8 13A1(b)     3.5320  11/25/34   807,667 
 47,851   Bear Stearns ARM Trust Series 2004-8 2A1(b)     4.0060  11/25/34   43,798 
 46,074   Bear Stearns ARM Trust Series 2004-10 12A5(b)     3.9410  01/25/35   42,741 
 930,267   Bear Stearns ARM Trust Series 2007-3 2A1(b)     3.7610  05/25/47   750,685 
 582,706   Bear Stearns Asset Backed Securities I Trust Series 2006-AC2 21A6     6.0000  03/25/36   203,612 
 601,904   Bear Stearns Asset Backed Securities Trust Series 2003-AC7 A1(e)     5.5000  01/25/34   513,718 
 188,283   Bear Stearns Structured Products Inc Trust Series 2007-R6 1A1(b)     4.0720  01/26/36   135,441 
 36,158   Bella Vista Mortgage Trust Series 2004-1 1A(d)  US0001M + 0.700%  5.8320  11/20/34   33,467 
 99,409   BlackRock Capital Finance, L.P. Series 1997-R2 1B1(b),(c)     3.5020  12/25/35   74,060 
 2,133,511   Brean Asset Backed Securities Trust Series 2023-RM6 A2(c),(e)     5.2500  01/25/63   1,833,533 
 3,215,853   Brean Asset Backed Securities Trust Series 2021-RM1 M1(c)     1.6000  10/25/63   1,993,452 
 596,909   Cascade Funding Mortgage Trust Series 2018-RM2 D(b),(c)     4.0000  10/25/68   560,304 
 2,798,377   Cascade Funding Mortgage Trust Series 2019-RM3 D(b),(c)     4.0000  06/25/69   2,315,470 
 95,860   CDMC Mortgage Pass-Through Certificates Series 2004-4 A8(b)     5.4540  09/25/34   92,809 

 

See accompanying notes which are an integral part of these financial statements.

6

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 82,878   CDMC Mortgage Pass-Through Certificates Series 2005-1 A4(b)     5.1050  02/18/35  $79,260 
 1,011,336   Cendant Mortgage Capital, LLC CDMC Mort Pas Thr Ce Series 2004-1 A7     5.5000  02/25/34   970,385 
 93,628   Chase Home Lending Mortgage Trust Series 2019-1 B4(b),(c)     3.8980  03/25/50   71,347 
 163,908   Chase Mortgage Finance Trust Series 2004-S2 2A4     5.5000  02/25/34   158,555 
 338,263   Chase Mortgage Finance Trust Series 2006-A1 2A3(b)     4.0150  09/25/36   278,700 
 490,526   Chase Mortgage Finance Trust Series 2007-S3 AP(f)     0.0000  05/25/37   10,347 
 269,900   Chase Mortgage Finance Trust Series 2007-S3 1A17(a)     6.0000  05/25/37   67,406 
 198,481   Chevy Chase Funding, LLC Mortgage-Backed Series 2005-4A A2(c),(d)  US0001M + 0.250%  5.3880  10/25/36   142,828 
 101,723   CHL Mortgage Pass-Through Trust Series 2002-19 1A1     6.2500  11/25/32   87,356 
 119,598   CHL Mortgage Pass-Through Trust Series 2002-39 A37     5.7500  02/25/33   111,456 
 158,648   CHL Mortgage Pass-Through Trust Series 2003-56 2A5(b)     3.9270  12/25/33   147,925 
 117,304   CHL Mortgage Pass-Through Trust Series 2003-60 2A1(b)     4.1160  02/25/34   99,469 
 28,163   CHL Mortgage Pass-Through Trust Series 2004-3 A4     5.7500  04/25/34   27,198 
 51,122   CHL Mortgage Pass-Through Trust Series 2004-6 2A1(b)     4.7440  05/25/34   46,211 
 66,934   CHL Mortgage Pass-Through Trust Series 2004-5 2A9     5.2500  05/25/34   65,695 
 75,326   CHL Mortgage Pass-Through Trust Series 2004-5 2A2     5.5000  05/25/34   74,415 
 53,281   CHL Mortgage Pass-Through Trust Series 2004-HYB2 2A(b)     4.7410  07/20/34   49,880 
 118,089   CHL Mortgage Pass-Through Trust Series 2004-J5 A4     5.5000  07/25/34   111,574 
 40,619   CHL Mortgage Pass-Through Trust Series 2004-14 4A1(b)     3.9130  08/25/34   36,540 
 61,520   CHL Mortgage Pass-Through Trust Series 2004-J9 2A6     5.5000  01/25/35   60,631 
 58,580   CHL Mortgage Pass-Through Trust Series 2004-HYB5 6A2(b)     3.8490  04/20/35   52,439 
 3,444,896   CHL Mortgage Pass-Through Trust Series 2005-14 A1     6.0000  07/25/35   1,598,921 
 561,360   CHL Mortgage Pass-Through Trust Series 2005-J2 3A12     5.0000  08/25/35   349,817 
 99,632   CHL Mortgage Pass-Through Trust Series 2006-J1 3A1     6.0000  02/25/36   43,302 
 94,886   CHL Mortgage Pass-Through Trust Series 2007-HY1 2A1(b)     3.7630  03/25/37   82,323 
 50,733   CHL Mortgage Pass-Through Trust Series 2007-15 2A2     6.5000  09/25/37   22,224 
 250,000   CHNGE Mortgage Trust Series 2023-1 M1(b),(c)     8.4110  03/25/58   252,070 
 225,000   CHNGE Mortgage Trust Series 2022-2 B2(b),(c)     4.6280  03/25/67   148,000 
 873,816   CIM Trust Series 2019-J1 B3(b),(c)     3.9280  08/25/49   714,708 
 131,226   Citicorp Mortgage Securities REMIC Pass-Through Series 2005-4 1A5     5.5000  07/25/35   125,032 
 38,067   Citicorp Mortgage Securities Trust Series Series 2006-6 A4     6.0000  11/25/36   36,146 
 76,723   Citicorp Mortgage Securities Trust Series Series 2007-2 APO(f)     0.0000  02/25/37   40,123 
 187,997   Citicorp Mortgage Securities Trust Series Series 2007-4 1A5     6.0000  05/25/37   166,797 

 

See accompanying notes which are an integral part of these financial statements.

7

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 6,596   Citicorp Mortgage Securities Trust Series Series 2005-7 2A1     5.0000  10/25/55  $6,484 
 105,264   Citigroup Global Markets Mortgage Securities VII, Series 1997-HUD2 B2(b)     5.5340  07/25/24   5,823 
 3,958   Citigroup Global Markets Mortgage Securities VII, Series 2002-HYB1 B2(b)     4.2320  09/25/32   3,523 
 202,392   Citigroup Mortgage Loan Trust Series 2009-4 7A5(b),(c)     5.4780  05/25/35   187,840 
 68,809   Citigroup Mortgage Loan Trust Series 2014-10 4A1(c),(b)     5.1900  02/25/37   66,799 
 1,499   Citigroup Mortgage Loan Trust Series 2010-9 5A3(c),(e)     5.7020  03/25/37   1,473 
 46,274   Citigroup Mortgage Loan Trust Series 2015-RP2 A(c)     4.2500  01/25/53   42,951 
 300,000   Citigroup Mortgage Loan Trust Series 2020-EXP1 B1(b),(c)     4.4670  05/25/60   231,548 
 48,734   Citigroup Mortgage Loan Trust, Inc. Series 2003-1 WB1     7.0000  06/25/31   47,656 
 11,862   Citigroup Mortgage Loan Trust, Inc. Series 2003-1 3A4     5.2500  09/25/33   10,799 
 25,219   Citigroup Mortgage Loan Trust, Inc. Series 2004-UST1 A6(b)     4.2950  08/25/34   21,844 
 132,910   Citigroup Mortgage Loan Trust, Inc. Series 2004-UST1 A4(b)     5.1160  08/25/34   117,032 
 46,681   Citigroup Mortgage Loan Trust, Inc. Series 2004-NCM2 1CB2     6.7500  08/25/34   43,318 
 48,787   Citigroup Mortgage Loan Trust, Inc. Series 2005-2 2A11     5.5000  05/25/35   48,048 
 44,201   COLT Funding, LLC Series 2021-3R A2(b),(c)     1.2570  12/25/64   36,491 
 422,000   COLT Mortgage Loan Trust Series 2020-2 M1(b),(c)     5.2500  03/25/65   408,178 
 148,544   Credit Suisse First Boston Mortgage Securities Series 2001-26 5A1(b)     4.2940  11/25/31   147,959 
 238,030   Credit Suisse First Boston Mortgage Securities Series 2002-NP14 M1(c),(d)  US0001M + 2.188%  4.5850  11/25/31   141,935 
 139,173   Credit Suisse First Boston Mortgage Securities Series 2001-33 3B1(b)     7.2000  01/25/32   125,367 
 79,776   Credit Suisse First Boston Mortgage Securities Series 2003-11 1A31     5.5000  06/25/33   77,686 
 531,857   Credit Suisse First Boston Mortgage Securities Series 2003 -19 1A19     5.2500  07/25/33   517,401 
 26,058   Credit Suisse First Boston Mortgage Securities Series 2003-21 1A4     5.2500  09/25/33   24,475 
 74,384   Credit Suisse First Boston Mortgage Securities Series 2003-25 1A8     5.5000  10/25/33   70,407 
 223,151   Credit Suisse First Boston Mortgage Securities Series 2003 -25 1A11     5.5000  10/25/33   211,583 
 165,364   Credit Suisse First Boston Mortgage Securities Series 2004-6 1A3     5.5000  10/25/34   154,948 
 113,571   Credit Suisse First Boston Mortgage Securities Series 2005 -8 9A9(d)  US0001M + 0.650%  5.7880  09/25/35   77,856 
 5,680   CSFB Mortgage -Backed Pass-Through Certificates Series 2005-10 2A1     5.2500  01/01/24    
 315,362   CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9 1A2     7.5000  03/25/32   295,718 
 92,203   CSFB Mortgage -Backed Pass-Through Certificates Series 2003-AR24 3A1(b)     3.7390  10/25/33   84,919 

 

See accompanying notes which are an integral part of these financial statements.

8

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 69,314   CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 4A4     5.7500  11/25/33  $64,792 
 5,633   CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5 11A2(d)  US0001M + 0.740%  5.8780  06/25/34   5,662 
 493,516   CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4 1A5     6.0000  08/25/34   458,583 
 27,944   CSFB Mortgage-Backed Pass-Through Certificates Series 2005-37A5     5.7500  07/25/35   27,325 
 34,971   CSMC Series Series 2010-18R 4A4(b),(c)     3.5000  04/26/38   33,056 
 309,232   CSMC Trust Series 2007-5R A5     6.5000  07/26/36   80,197 
 909,934   CSMC Trust Series 2013-IVR5 B4(b),(c)     3.6310  10/25/43   843,003 
 1,419,252   CSMC Trust Series 2015-1 B4(b),(c)     3.9060  01/25/45   1,193,061 
 207,664   CSMC Trust Series 2017-FHA1 A1(b),(c)     3.2500  04/25/47   182,110 
 279,423   CSMC Trust Series 2021-RPL2 M3(b),(c)     3.5530  01/25/60   193,600 
 1,665,747   CSMLT Trust Series 2015-2 B4(b),(c)     3.8730  08/25/45   1,305,697 
 33,377   Deutsche Mortgage Sec Inc Mort Loan Tr Series 2004-1 1A1     5.5000  09/25/33   32,942 
 213   DLJ Mortgage Acceptance Corporation Series 1993-19 B2     6.7500  01/25/24   205 
 38,455   DSLA Mortgage Loan Trust Series 2004-AR4 2A1A(d)  US0001M + 0.720%  5.8520  01/19/45   29,929 
 400,000   Ellington Financial Mortgage Trust Series 2022-1 B2(b),(c)     3.8810  01/25/67   232,643 
 210,309   Fannie Mae Trust Series 2005-W3 3A(b)     3.9380  04/25/45   210,221 
 473,000   Finance of America HECM Buyout Series 2022-HB1 M3(b),(c)     5.0840  11/25/25   417,604 
 41,117   Financial Asset Securities Corp AAA Trust Series 2005-2 A3(c),(d)  US0001M + 0.300%  5.4410  11/26/35   33,840 
 176,759   First Horizon Alternative Mortgage Securities Series AA1 A1(b)     5.6300  06/25/34   165,512 
 73,030   First Horizon Alternative Mortgage Securities Series 2007-FA41A8     6.2500  08/25/37   32,381 
 528,344   First Horizon Mortgage Pass-Through Trust Series 2005-AR32A1(b)     4.4510  08/25/35   369,312 
 79,452   First Horizon Mortgage Pass-Through Trust Series 2005-AR53A1(b)     4.6250  10/25/35   41,783 
 501   First Horizon Mortgage Pass-Through Trust Series 2005-AR51A1(b)     0.0000  11/25/35   446 
 114,729   First Horizon Mortgage Pass-Through Trust Series 2006-AR3 1A1(b)     3.3810  11/25/36   66,941 
 261,183   First Horizon Mortgage Pass-Through Trust Series 2007-AR3 1A1(b)     3.9280  11/25/37   129,094 
 1,109,000   Flagstar Mortgage Trust Series 2017-1 B5(b),(c)     3.6200  03/25/47   664,206 
 362,205   Flagstar Mortgage Trust Series 2018-3 B4(b),(c)     4.4680  05/25/48   295,514 
 901,849   Flagstar Mortgage Trust Series 2018-5 B3(b),(c)     4.4590  09/25/48   737,706 
 1,137,677   Flagstar Mortgage Trust Series 2019-1INV B5(b),(c)     4.5400  10/25/49   982,515 

 

See accompanying notes which are an integral part of these financial statements.

9

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 277,980   Flagstar Mortgage Trust Series 2019-2 B3(b),(c)     4.0300  12/25/49  $221,283 
 97,033   Flagstar Mortgage Trust Series 2021-13IN B5(b),(c)     3.3660  12/30/51   57,868 
 11,024   Freddie Mac REMICS Series 4910 MI(a)     4.0000  08/25/49   1,968 
 1,000,000   Freddie Mac STACR REMIC Trust Series 2022-HQA1 M2(c),(d)  SOFR30A + 5.250%  10.2230  03/25/42   1,013,020 
 420,000   Freddie Mac STACR REMIC Trust Series 2020-DNA6 B1(c),(d)  SOFR30A + 3.000%  7.9730  12/25/50   398,419 
 1,000,000   Freddie Mac STACR Trust Series 2019-DNA3 B2(c),(d)  US0001M + 8.150%  13.2880  07/25/49   1,067,595 
 21,042   Freddie Mac Structured Pass-Through Certificates Series T-61 1A1(d)  12MTA + 1.400%  5.1430  07/25/44   19,651 
 151,860   Freddie Mac Structured Pass-Through Certificates Series T-621A1(d)  12MTA + 1.200%  4.9430  10/25/44   140,217 
 1,243,099   Global Mortgage Securitization Ltd. Series 2004-A A3(c),(b)     8.0320  11/25/32   1,240,642 
 93,260   GMACM Mortgage Loan Trust Series 2004-J2 A8     5.7500  06/25/34   90,281 
 67,080   GMACM Mortgage Loan Trust Series 2005-AR3 5A2(b)     3.9350  06/19/35   54,779 
 2,457,960   GMACM Mortgage Loan Trust Series 2005-AR5 4A1(b)     3.4620  09/19/35   2,236,804 
 115,965   GMACM Mortgage Loan Trust Series 2006-AR1 1A1(b)     3.2810  04/19/36   86,779 
 403,086   Government National Mortgage Association Series 2012-H27 AI(a),(b)     1.6850  10/20/62   9,386 
 1,298,734   Government National Mortgage Association Series 2016-H24 AI(a),(b)     0.0810  11/20/66   57,595 
 110,343   GS Mortgage Securities Corporation II Series 2000-1A A(c),(d)  US0001M + 0.350%  5.3030  06/20/24   104,166 
 401,423   GS Mortgage-Backed Securities Corp Trust Series 2019-PJ1 B3(b),(c)     4.0750  08/25/49   313,062 
 536,714   GS Mortgage-Backed Securities Trust Series 2014-EB1A B3(b),(c)     3.9420  07/25/44   520,787 
 1,262,891   GSMPS Mortgage Loan Trust Series 2000-1 A(b),(c)     8.5000  06/19/29   1,138,977 
 1,107,929   GSMPS Mortgage Loan Trust Series 2004-4 1AF(c),(d)  US0001M + 0.400%  5.5380  06/25/34   978,048 
 1,882,690   GSMPS Mortgage Loan Trust Series 2004-4 1A2(c)     7.5000  06/25/34   1,836,702 
 309,095   GSMPS Mortgage Loan Trust Series 2004-4 1A3(c)     8.0000  06/25/34   302,024 
 32,885   GSMPS Mortgage Loan Trust Series 2005-RP2 1AF(c),(d)  US0001M + 0.350%  5.4880  03/25/35   28,829 
 173,944   GSMPS Mortgage Loan Trust Series 2005-RP3 1AF(c),(d)  US0001M + 0.350%  5.4880  09/25/35   141,787 
 127,894   GSMPS Mortgage Loan Trust Series 2006-RP1 1A2(c)     7.5000  01/25/36   112,995 
 786,808   GSMSC Pass-Through Trust Series 2008-2R 2A1(b),(c)     7.5000  10/25/36   149,488 
 13,640   GSR Mortgage Loan Trust Series 2004-7 1A1(b)     3.0280  06/25/34   12,052 
 361,598   GSR Mortgage Loan Trust Series 2004-13F 2A1     4.2500  11/25/34   343,761 
 626,005   GSR Mortgage Loan Trust Series 2004-12 1B1(d)  US0001M + 0.600%  5.7380  12/25/34   321,111 
 45,542   GSR Mortgage Loan Trust Series 2005-4F 6A1     6.5000  02/25/35   43,088 
 14,412   GSR Mortgage Loan Trust Series 2005-AR3 2A1(d)  US0001M + 0.440%  5.5780  05/25/35   11,413 
 32,982   GSR Mortgage Loan Trust Series 2005-AR3 1A1(d)  US0001M + 0.440%  5.5780  05/25/35   27,065 

 

See accompanying notes which are an integral part of these financial statements.

10

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 553,849   GSR Mortgage Loan Trust Series 2005-AR4 2A1(b)     4.8580  07/25/35  $313,325 
 6,023   GSR Mortgage Loan Trust Series 2005-6F 1A7     5.2500  07/25/35   5,860 
 27,710   GSR Mortgage Loan Trust Series 2005-8F 3A4     6.0000  11/25/35   12,064 
 114,264   GSR Mortgage Loan Trust Series 2006-1F 2A16     6.0000  02/25/36   59,116 
 73,925   GSR Mortgage Loan Trust Series 2007-AR2 2A1(b)     3.9920  05/25/37   44,447 
 231,583   HarborView Mortgage Loan Trust Series 2003-1 A(b)     4.4250  05/19/33   191,820 
 1,578,146   HarborView Mortgage Loan Trust Series 2004-7 4A(b)     3.9720  11/19/34   1,404,482 
 48,678   HarborView Mortgage Loan Trust Series 2005-14 2A1A(b)     4.5760  12/19/35   30,717 
 85,000   HomeBanc Mortgage Trust Series 2005-3 M3(d)  US0001M + 0.765%  5.9030  07/25/35   81,185 
 195,361   HSI Asset Loan Obligation Trust Series 2007-AR1 4A1(b)     4.4950  01/25/37   146,632 
 201,612   HSI Asset Loan Obligation Trust Series 2007-1 2A12     6.5000  06/25/37   81,898 
 163,472   HSI Asset Loan Obligation Trust Series 2007-AR2 4A1(b)     3.5580  09/25/37   132,850 
 271,481   Hundred Acre Wood Trust Series 2021-INV1 B1(b),(c)     3.2240  07/25/51   222,688 
 171,213   Hundred Acre Wood Trust Series 2021-INV1 B2(b),(c)     3.2240  07/25/51   132,685 
 453,249   Hundred Acre Wood Trust Series 2021-INV2 B1(b),(c)     3.3000  10/25/51   334,096 
 298,625   Hundred Acre Wood Trust Series 2021-INV2 B2(b),(c)     3.3000  10/25/51   215,018 
 276,402   Hundred Acre Wood Trust Series 2021-INV2 B3(b),(c)     3.3000  10/25/51   185,091 
 780,147   Hundred Acre Wood Trust Series 2021-INV3 B1(b),(c)     3.3270  10/25/51   638,350 
 219,646   Hundred Acre Wood Trust Series 2021-INV3 B2(b),(c)     3.3270  12/25/51   158,493 
 142,299   Hundred Acre Wood Trust Series 2021-INV3 B3(b),(c)     3.3270  12/25/51   97,377 
 57,873   Impac CMB Trust Series 2003-2F M2(e)     6.5700  01/25/33   56,316 
 65,750   Impac CMB Trust Series 2003-4 3M2(e)     5.7290  07/25/33   62,767 
 23,052   Impac CMB Trust Series 2003-11 2A1(d)  US0001M + 0.840%  5.9780  10/25/33   21,298 
 32,266   Impac CMB Trust Series 2004-7 M4(d)  US0001M + 1.800%  6.9380  11/25/34   31,501 
 54,227   Impac CMB Trust Series 2004-10 3M2(d)  US0001M + 0.885%  6.0230  03/25/35   46,810 
 23,422   Impac CMB Trust Series 2004-10 4M2(d)  US0001M + 1.500%  6.6380  03/25/35   20,507 
 299,622   Impac CMB Trust Series 2005-4 2M1(d)  US0001M + 0.500%  5.8880  05/25/35   267,635 
 762,096   Impac CMB Trust Series 2005-4 2M2(d)  US0001M + 0.750%  6.2630  05/25/35   680,821 
 621,673   Impac CMB Trust Series 2005-8 2M1(d)  US0001M + 0.750%  5.8880  02/25/36   548,897 
 54,992   Impac CMB Trust Series Series 2004-10 3M3(d)  US0001M + 0.975%  6.1130  03/25/35   45,846 
 50,557   Impac CMB Trust Series Series 2005-2 2B(d)  US0001M + 2.475%  7.6130  04/25/35   48,395 
 134,864   Impac CMB Trust Series Series 2005-8 2M3(d)  US0001M + 2.250%  7.3880  02/25/36   124,871 
 121,782   Impac CMB Trust Series Series 2005-8 2B(d)  US0001M + 2.250%  7.3880  02/25/36   110,055 
 209,098   Impac Secured Assets CMN Owner Trust Series 2003-2 A2     6.0000  08/25/33   181,797 

 

See accompanying notes which are an integral part of these financial statements.

11

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 92,750   Impac Secured Assets Trust Series 2006-1 2A1(d)  US0001M + 0.700%  5.8380  05/25/36  $84,070 
 2,500,000   Imperial Fund Mortgage Trust Series 2022-NQM4 M1(c),(e)     5.0400  06/25/67   2,075,000 
 18,794   IndyMac INDX Mortgage Loan Trust Series 2004-AR11 2A(b)     3.9180  12/25/34   16,769 
 261,736   IndyMac INDX Mortgage Loan Trust Series 2004-AR15 3A1(b)     3.8820  02/25/35   234,511 
 268,771   IndyMac INDX Mortgage Loan Trust Series 2005-AR8 2A1A(d)  US0001M + 0.460%  5.5980  04/25/35   217,842 
 3,118   Interstar Millennium Series Trust Series 2003-3G A2(d)  US0003M + 0.500%  5.6340  09/27/35   2,829 
 27,865   Interstar Millennium Series Trust Series 2005-1G A(d)  US0003M + 0.400%  5.4080  12/08/36   25,248 
 246,287   JP Morgan Alternative Loan Trust Series 2005-S1 1A8(a),(d)  US0001M + 7.150%  2.0120  12/25/35   19,652 
 976,601   JP Morgan Alternative Loan Trust Series 2008-R4 1A1(c)     6.0000  12/27/36   546,111 
 414,272   JP Morgan MBS Series Series 2006-R1 6A1(b),(c)     4.2370  09/28/44   314,306 
 40,142   JP Morgan Mortgage Trust Series 2006-A2 5A4(b)     4.1940  11/25/33   36,434 
 9,663   JP Morgan Mortgage Trust Series 2004-A3 3A3(b)     3.5710  07/25/34   8,954 
 26,193   JP Morgan Mortgage Trust Series 2004-S2 4A5     6.0000  11/25/34   23,869 
 31,281   JP Morgan Mortgage Trust Series 2005-A7 1A4(b)     4.0960  10/25/35   30,096 
 17,318   JP Morgan Mortgage Trust Series 2006-A4 3A1(b)     4.0550  06/25/36   12,203 
 193,259   JP Morgan Mortgage Trust Series 2006-A7 2A4R(b)     3.8660  01/25/37   151,080 
 358,747   JP Morgan Mortgage Trust Series 2007-A2 2A3(b)     4.1480  04/25/37   238,782 
 21,550   JP Morgan Mortgage Trust Series 2018-8 A3(b),(c)     4.0000  01/25/49   19,596 
 185,540   JP Morgan Mortgage Trust Series 2019-8 B4(b),(c)     4.1640  03/25/50   146,221 
 253,984   JP Morgan Mortgage Trust Series Series 2008-R2 2A(b),(c)     5.5000  12/27/35   202,432 
 126,591   JP Morgan Tax-Emept Pass-Through Trust Series Series 2012-3 A(b),(c)     3.0000  10/27/42   115,144 
 175,107   JPMorgan Chase Bank NA - CHASE Series 2020-CL1 M3(d)  US0001M + 3.350%  8.4880  10/25/57   168,905 
 925,068   La Hipotecaria Panamanian Mortgage Trust Series 2021-1 GA(c)     4.3500  06/13/51   861,817 
 339,573   Legacy Mortgage Asset Trust Series 2020-GS5 A1(c),(e)     3.2500  06/25/60   338,030 
 144,536   Lehman Mortgage Trust Series 2006-2 2A3 A(b),(c)     5.7500  04/25/36   142,726 
 101,531   LSTAR Securities Investment Ltd. Series 2020-1 A(c),(d)  US0001M + 2.800%  7.8340  02/01/26   98,220 
 39,884   MASTR Adjustable Rate Mortgages Trust Series 2003-1 2A1(b)     3.5190  12/25/32   36,365 
 16,651   MASTR Adjustable Rate Mortgages Trust Series 2003-2 4A1(b)     5.2800  07/25/33   15,793 
 30,998   MASTR Adjustable Rate Mortgages Trust Series 2003-6 2A1(b)     3.7280  12/25/33   27,917 
 21,429   MASTR Adjustable Rate Mortgages Trust Series 2003-6 7A1(b)     4.1250  12/25/33   20,625 
 47,900   MASTR Adjustable Rate Mortgages Trust Series 2003-7 B1(b)     4.7470  01/25/34   42,221 
 180,217   MASTR Adjustable Rate Mortgages Trust Series 2004-15 4A1(b)     3.2130  12/25/34   170,214 
 223,086   MASTR Adjustable Rate Mortgages Trust Series 2005-7 3A1(b)     3.4790  09/25/35   140,735 
 113,310   MASTR Adjustable Rate Mortgages Trust Series 2006-2 5A1(b)     4.4350  05/25/36   45,007 

 

See accompanying notes which are an integral part of these financial statements.

12

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 161,597   MASTR Alternative Loan Trust Series 2003-3 B2(b)     6.1620  05/25/33  $145,945 
 43,069   MASTR Alternative Loan Trust Series 2003-5 8A1     5.5000  06/25/33   41,385 
 55,716   MASTR Alternative Loan Trust Series 2003-7 6A1     6.5000  12/25/33   57,727 
 187,363   MASTR Alternative Loan Trust Series 2004-1 4A1     5.5000  02/25/34   178,514 
 63,758   MASTR Alternative Loan Trust Series 2004-3 2A1     6.2500  04/25/34   63,801 
 249,656   MASTR Alternative Loan Trust Series 2004-3 6A1     6.5000  04/25/34   239,781 
 25,497   MASTR Alternative Loan Trust Series 2004-4 1A1     5.5000  05/25/34   24,595 
 59,327   MASTR Alternative Loan Trust Series 2004-7 10A1     6.0000  06/25/34   55,994 
 399,603   MASTR Alternative Loan Trust Series 2004-6 8A1     5.5000  07/25/34   382,293 
 180,845   MASTR Alternative Loan Trust Series 2004-6 7A1     6.0000  07/25/34   171,440 
 46,409   MASTR Alternative Loan Trust Series 2004-6 10A1     6.0000  07/25/34   44,092 
 790,486   MASTR Alternative Loan Trust Series 2004-6 4A1     6.2500  07/25/34   778,076 
 717,900   MASTR Alternative Loan Trust Series 2004-6 6A1     6.5000  07/25/34   709,706 
 996,908   MASTR Alternative Loan Trust Series 2004-7 9A1     6.0000  08/25/34   984,714 
 26,030   MASTR Alternative Loan Trust Series 2007-1 30PO(f)     0.0000  10/25/36   14,635 
 2,225   MASTR Alternative Loan Trust Series 2005-1 5A1     5.5000  12/25/41   1,995 
 300,341   MASTR Alternative Loan Trust Series 2005-2 6A1     5.0000  03/25/43   237,691 
 866,092   MASTR Alternative Loan Trust Series 2007-HF1 4PO(f)     0.0000  10/25/47   9 
 271   MASTR Asset Securitization Trust Series 2003-12 1A1     5.2500  12/25/24   269 
 48,788   MASTR Asset Securitization Trust Series 2003-12 6A2     5.0000  12/25/33   42,060 
 20,136   MASTR Asset Securitization Trust Series 2003-12 6A1     5.0000  12/25/33   19,370 
 58,175   MASTR Asset Securitization Trust Series 2003-11 9A6     5.2500  12/25/33   57,130 
 65,529   MASTR Asset Securitization Trust Series 2003-11 7A5     5.2500  12/25/33   62,587 
 45,600   MASTR Asset Securitization Trust Series 2003-11 8A1     5.5000  12/25/33   42,485 
 18,177   MASTR Asset Securitization Trust Series 2003-11 2A10     5.5000  12/25/33   17,560 
 9,490   MASTR Asset Securitization Trust Series 2004-1 1A12     5.5000  02/25/34   9,025 
 2,874,522   MASTR Asset Securitization Trust Series 2004-9 4A1     6.0000  09/25/34   2,231,988 
 71,945   MASTR Asset Securitization Trust Series 2005-1 2A9     5.5000  05/25/35   58,030 
 4,115,554   MASTR Asset Securitization Trust Series 2006-2 2A2(d)  US0001M + 0.500%  5.6380  06/25/36   743,611 
 1,004,759   MASTR Asset Securitization Trust Series 2006-3 2A1(d)  US0001M + 0.450%  5.5880  10/25/36   156,707 
 18,615   MASTR Reperforming Loan Trust Series 2005-2 1A4(c)     8.0000  05/25/35   14,577 
 144,555   MASTR Reperforming Loan Trust Series 2006-2 2A1(b),(c)     3.5540  05/25/36   132,647 
 60,090   MASTR Seasoned Securitization Trust Series 2004-1 4A1(b)     4.2200  10/25/32   54,477 
 30,552   MASTR Seasoned Securitization Trust Series 2005-1 3A1(b)     4.3220  10/25/32   25,880 

 

See accompanying notes which are an integral part of these financial statements.

13

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)        
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)       
 371,034   MASTR Seasoned Securitization Trust Series 2003-1 2A1     6.0000  02/25/33  $355,114 
 880,000   Mello Mortgage Capital Acceptance Series 2018-MTG2 B5(b),(c)     4.3370  10/25/48   608,059 
 568,446   Mello Mortgage Capital Acceptance Series 2021-MTG1 B1(b),(c)     2.6440  04/25/51   439,796 
 36,692   Merrill Lynch Mortgage Investors Trust MLMI Series Series 2003-A4 3A(b)     4.9690  05/25/33   33,021 
 164,934   Merrill Lynch Mortgage Investors Trust MLMI Series Series 2005-A4 1A(b)     3.8910  07/25/35   80,207 
 33,528   Merrill Lynch Mortgage Investors Trust Series Series 2003-A6 1A(b)     4.0380  09/25/33   31,109 
 45,585   Merrill Lynch Mortgage Investors Trust Series MLCC Series 2007-3 2A2(b)     2.8900  09/25/37   34,554 
 1,000,000   MFA Trust Series 2022-RPL1 M1(b),(c)     3.8510  08/25/61   795,912 
 77,518   Morgan Stanley Dean Witter Capital I Inc Trust Series 2003-HYB1 A3(b)     4.5770  03/25/33   68,963 
 19,384   Morgan Stanley Mortgage Loan Trust Series 2004-2AR 2A(b)     5.3710  02/25/34   18,233 
 24,874   Morgan Stanley Mortgage Loan Trust Series 2004-8AR 2A(b)     2.6400  10/25/34   22,187 
 22,844   Morgan Stanley Mortgage Loan Trust Series 2004-8AR 4A1(b)     4.4990  10/25/34   20,107 
 17,355   Morgan Stanley Mortgage Loan Trust Series 2004-10AR 2A2(b)     5.0220  11/25/34   15,850 
 73,900   Morgan Stanley Mortgage Loan Trust Series 2005-10 5A1     6.0000  12/25/35   30,934 
 18,320   Morgan Stanley Mortgage Loan Trust Series 2006-8AR 4A2(b)     5.7500  06/25/36   17,025 
 4,814,556   Mortgage Equity Conversion Asset Trust Series 2007-FF2 A(c),(d)  H15T1Y + 0.470%  5.5900  02/25/42   4,643,730 
 149,130   MortgageIT Trust Series 2004-2 B2(d)  US0001M + 3.225%  8.3630  12/25/34   145,505 
 261,827   MortgageIT Trust Series 2005-3 M2(d)  US0001M + 0.795%  5.9330  08/25/35   244,177 
 174,586   MRFC Mortgage Pass-Through Trust Series Series 2000-TBC3 B4(b),(c)     5.1230  12/15/30   156,737 
 557,275   National City Mortgage Capital Trust Series 2008-1 2A1     6.0000  03/25/38   547,352 
 27,177   National City Mortgage Capital Trust Series 2008-1 2A2     6.0000  03/25/38   26,701 
 360,100   New Residential Mortgage Loan Trust Series 2017-2A B2(b),(c)     4.7500  03/25/57   302,554 
 720,000   New Residential Mortgage Loan Trust Series 2020-RPL1 B3(b),(c)     3.8830  11/25/59   438,253 
 159,327   Nomura Asset Acceptance Corp Alternative Loan Series 2004-R1 A2(c)     7.5000  03/25/34   141,726 
 86,286   Nomura Asset Acceptance Corp Alternative Loan Series 2007-1 1A3(e)     5.9570  03/25/47   81,264 
 3,792,266   Ocwen Residential MBS Corporation Series 1998-R3 AWAC(b),(c)     0.0001  09/25/38   284,420 
 457,507   PHH Mortgage Trust Series Series 2008-CIM1 21A1     6.0000  05/25/38   445,919 
 408,405   PHHMC Series Trust Series 2005-4 A8(b)     5.9100  07/18/35   393,495 
 1,315,772   Point Securization Trust Series 2021-1 A1(b),(c)     3.2280  02/25/52   1,246,942 
 376,592   Prime Mortgage Trust Series 2003-3 A9     5.5000  01/25/34   360,649 

 

See accompanying notes which are an integral part of these financial statements.

14

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 462,960   Provident Funding Mortgage Trust Series 2020-1 B3(b),(c)     3.2520  02/25/50  $363,331 
 18,067   RAAC Series Trust Series 2005-SP1 4A1     7.0000  09/25/34   17,533 
 15,103   RALI Series Trust Series 2005-QA4 A41(b)     3.9090  04/25/35   14,355 
 112,352   RALI Series Trust Series 2005-QA12 CB1(b)     5.0640  12/25/35   54,334 
 10,676   RBSGC Mortgage Loan Trust Series 2007-B 3B1(b)     5.6220  07/25/35   10,218 
 349,013   RBSGC Structured Trust Series 2008-A A1(b),(c)     5.5000  11/25/35   295,830 
 103,074   Reperforming Loan REMIC Trust Series 2003-R4 2A(b),(c)     4.2430  01/25/34   81,118 
 19,598   Reperforming Loan REMIC Trust Series 2004-R1 2A(c)     6.5000  11/25/34   18,027 
 16,746   Reperforming Loan REMIC Trust Series 2005-R2 2A4(c)     8.5000  06/25/35   16,194 
 92,727   Reperforming Loan REMIC Trust Series 2006-R2 AF1(c),(d)  US0001M + 0.420%  5.5580  07/25/36   81,521 
 146,241   Resecuritization Pass-Through Trust Series 2005-8R A5     6.0000  10/25/34   142,020 
 1,465,977   Residential Asset Securitization Trust Series 2003-A9 A3(d)  US0001M + 0.550%  5.6880  08/25/33   1,281,123 
 59,000   Residential Asset Securitization Trust Series 2003-A10 A2     5.2000  09/25/33   56,499 
 535,563   Residential Asset Securitization Trust Series 2003-A10 A5     5.2500  09/25/33   499,223 
 48,740   RESIMAC Bastille Trust Series Series 2019-1NCA A1(c),(d)  US0001M + 0.930%  6.0120  09/05/57   48,326 
 4,250,000   RMF Buyout Issuance Trust Series 2022-HB1 M3(b),(c)     4.5000  04/25/32   3,169,686 
 1,032,177   RMF Proprietary Issuance Trust Series 2021-2 M1(b),(c)     2.1250  09/25/61   654,859 
 1,000,000   RMF Proprietary Issuance Trust Series 2022-1 M1(b),(c)     3.0000  01/25/62   661,041 
 240,379   RMF Proprietary Issuance Trust Series 2022-1 A1(b),(c)     3.0000  01/25/62   173,938 
 1,000,000   RMF Proprietary Issuance Trust Series 2022-2 M3(b),(c)     3.7500  06/25/62   525,184 
 225,000   RMF Proprietary Issuance Trust Series 2022-3 A(b),(c)     4.0000  08/25/62   157,858 
 1,414   Ryland Mortgage Securities Corporation Series 1994-1 B(b)     0.0000  04/29/30    
 605,032   Saluda Grade Alternative Mortgage Trust Series 2020-FIG1 A1(c)     3.3210  09/25/50   596,134 
 410,000   SBALR Commercial Mortgage Trust Series 2020-RR1 C(b),(c)     3.9790  02/13/53   284,224 
 46,806   Seasoned Credit Risk Transfer Trust Series Series 2017-3 B(f)     0.0000  07/25/56   5,055 
 860,000   Seasoned Credit Risk Transfer Trust Series Series 2019-1 M(b)     4.7500  07/25/58   781,068 
 3,140,000   Seasoned Credit Risk Transfer Trust Series Series 2020-1 M(b)     4.2500  08/25/59   2,770,536 
 3,400,000   Seasoned Credit Risk Transfer Trust Series Series 2020-2 M(b)     4.2500  11/25/59   2,947,803 
 34,251   Sequoia Mortgage Trust Series 2004-10 A1A(d)  US0001M + 0.620%  5.7680  11/20/34   31,496 
 70,145   Sequoia Mortgage Trust Series 2005-2 A1(d)  US0001M + 0.440%  5.5880  03/20/35   59,817 
 322,984   Sequoia Mortgage Trust Series 2005-3 B1(d)  US0001M + 0.555%  5.7030  05/20/35   229,599 
 374,257   Sequoia Mortgage Trust Series 2007-4 1A1(d)  US0001M + 0.780%  5.9280  01/20/36   285,247 
 296,316   Sequoia Mortgage Trust Series 2007-2 1B1(d)  US0001M + 0.600%  5.7480  06/20/36   225,399 
 34,218   Sequoia Mortgage Trust Series 2013-8 B4(b)     3.4810  06/25/43   22,792 

 

See accompanying notes which are an integral part of these financial statements.

15

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 282,994   Sequoia Mortgage Trust Series 2014-4 A6(b),(c)     3.5000  11/25/44  $257,674 
 78,892   Sequoia Mortgage Trust Series 2017-1 B3(b),(c)     3.6050  02/25/47   54,967 
 81,489   Shellpoint Co-Originator Trust Series 2017-1 B4(b),(c)     3.6010  04/25/47   55,506 
 434,926   Sofi Mortgage Trust Series 2016-1A B3(b),(c)     3.0940  11/25/46   280,417 
 100,000   Spruce Hill Mortgage Loan Trust Series 2020-SH1 B2(b),(c)     4.6760  01/28/50   80,249 
 645,977   STARM Mortgage Loan Trust Series 2007-4 3A1(b)     3.6680  10/25/37   530,253 
 56,389   Structured Adjustable Rate Mortgage Loan Trust Series 2004-2 4A1(b)     5.0090  03/25/34   50,695 
 65,971   Structured Adjustable Rate Mortgage Loan Trust Series 2004-18 1A3(b)     4.1790  12/25/34   57,300 
 215,861   Structured Adjustable Rate Mortgage Loan Trust Series 2005-4 1A1(b)     4.3320  03/25/35   181,336 
 339,906   Structured Adjustable Rate Mortgage Loan Trust Series 2005-15 1A1(b)     4.2220  07/25/35   205,028 
 911,430   Structured Adjustable Rate Mortgage Loan Trust Series 2006-1 2A2(b)     4.1030  02/25/36   785,744 
 7,689   Structured Adjustable Rate Mortgage Loan Trust Series 2006-8 3AF(d)  US0001M + 0.380%  5.5180  09/25/36   6,764 
 179,256   Structured Asset Sec Corp Mort Passthr Certs Ser Series 2003-40A 3A1(b)     4.7720  01/25/34   156,675 
 31,633   Structured Asset Sec Corp Mort Passthr Certs Ser Series 2003-40A 3A2(b)     4.7720  01/25/34   30,402 
 64,092   Structured Asset Securities Corp Mortgage Series 2000-5 B3(b)     4.3480  11/25/30   36,333 
 2,171,459   Structured Asset Securities Corp Reverse Mortgage Series 2007-RM1 M3(c),(d)  US0001M + 1.850%  6.9880  05/25/47   2,027,751 
 2,036,071   Structured Asset Securities Corp Reverse Mortgage Series 2007-RM1 M4(c),(d)  US0001M + 3.000%  8.1380  05/25/47   1,842,801 
 3,531   Structured Asset Securities Corporation Series 2003-37A B1I(d)  US0001M + 0.780%  5.8140  12/25/33   3,202 
 13,863   Structured Asset Securities Corporation Series 2004-4XS A3A(e)     4.9370  02/25/34   13,126 
 107,871   Structured Asset Securities Corporation Series 2004-4XS 1A5(e)     4.9370  02/25/34   102,089 
 391,934   Structured Asset Securities Corporation Series 4XS 1M1(e)     5.0400  02/25/34   340,413 
 82,718   Structured Asset Securities Corporation Series 2005-RF2 A(c),(d)  US0001M + 0.350%  5.4880  04/25/35   71,928 
 114,171   Structured Asset Securities Corporation Series 2005-RF3 2A(b),(c)     3.7840  06/25/35   98,165 
 73,813   Suntrust Alternative Loan Trust Series Series 2005-1F 1A1(d)  US0001M + 0.650%  5.7500  12/25/35   54,876 
 217,310   TIAA Bank Mortgage Loan Trust Series 2018-2 B3(b),(c)     3.6920  07/25/48   177,609 
 230,000   Towd Point Mortgage Trust Series 2015-1 B1(b),(c)     4.0340  10/25/53   201,785 
 100,000   Verus Securitization Trust Series 2020-INV1 B2(b),(c)     6.0000  03/25/60   91,193 
 538,000   Vista Point Securitization Trust Series 2020-1 M1(b),(c)     4.1510  03/25/65   497,965 
 66,834   Wachovia Mortgage Loan Trust, LLC Series Series 2006-A 4A1(b)     4.2960  05/20/36   63,018 

 

See accompanying notes which are an integral part of these financial statements.

16

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     COLLATERALIZED MORTGAGE OBLIGATIONS — 33.0% (Continued)              
 42,730   WaMu Mortgage Pass-Through Certificates Series Series 2002-AR14 B1(b)     3.6050  11/25/32  $37,045 
 39,837   WaMu Mortgage Pass -Through Certificates Series Series 2002-AR18 A(b)     4.3280  01/25/33   38,843 
 36,936   WaMu Mortgage Pass-Through Certificates Series Series 2003-S3 1A4     5.5000  06/25/33   34,284 
 40,509   WaMu Mortgage Pass -Through Certificates Series Series 2003-S5 1A13     5.5000  06/25/33   38,977 
 17,137   WaMu Mortgage Pass -Through Certificates Series Series 2003-AR9 1A7(b)     4.1560  09/25/33   15,279 
 23,019   WaMu Mortgage Pass-Through Certificates Series Series 2002-AR2 A(d)  ECOFC + 1.250%  3.7600  02/27/34   20,131 
 45,445   WaMu Mortgage Pass-Through Certificates Series Series 2006-AR2 1A1(b)     3.8840  03/25/36   41,391 
 101,676   WaMu Mortgage Pass -Through Certificates Series Series 2002-AR17 1A(d)  12MTA + 1.200%  4.9430  11/25/42   88,101 
 44,544   WaMu Mortgage Pass -Through Certificates Series Series 2005-AR1 A1A(d)  US0001M + 0.640%  5.7780  01/25/45   42,314 
 130,393   WaMu Mortgage Pass-Through Certificates Series Series 2006-AR8 1A1(b)     3.6790  08/25/46   109,965 
 161,219   Washington Mutual MSC Mortgage Pass -Through Series 2003-MS7 A12     5.5000  03/25/33   156,574 
 64,635   Washington Mutual MSC Mortgage Pass-Through Series 2003-MS9 2A     7.5000  04/25/33   65,122 
 189,550   Washington Mutual MSC Mortgage Pass-Through Series AR3 B1(b)     4.1700  06/25/33   156,528 
 13,536   Washington Mutual MSC Mortgage Pass-Through Series 2005-RA1 3B4(b),(c)     4.1710  01/25/35   11,043 
 1,064,246   Wells Fargo Alternative Loan Trust Series 2005-1 2A3      5.5000  02/25/35   1,033,620 
 78,113   Wells Fargo Mortgage Backed Securities Series 2007-7 A6      6.0000  06/25/37   68,189 
 67,891   Wells Fargo Mortgage Backed Securities Series 2019-4 A2(b),(c)     3.0000  09/25/49   56,026 
 214,851   WinWater Mortgage Loan Trust Series 2015-1 B2(b),(c)     3.8700  01/20/45   198,945 
                  111,729,812 
     CREDIT CARD — 0.3%              
 1,000,000   Continental Finance Credit Card A.B.S Master Trust Series 2022-A A(c)     6.1900  10/15/30   970,315 
 100,000   Mission Lane Credit Card Master Trust Series 2021-A A(c)     1.5900  09/15/26   96,821 
                  1,067,136 
     HOME EQUITY — 4.2%              
 68,106   ABFC Trust Series 2004-OPT2 A2(d)  US0001M + 0.560%  5.6980  10/25/33   64,795 
 170,176   AFC Trust Series Series 1999-3 1A(d)  US0001M + 0.980%  6.0000  09/28/29   113,698 
 55,384   American Residential Home Equity Loan Trust Series 1998-1 B(d)  US0001M + 2.175%  7.3130  05/25/29   63,409 

 

See accompanying notes which are an integral part of these financial statements.

17

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     HOME EQUITY — 4.2% (Continued)              
 8,580   Ameriquest Mortgage Securities, Inc. Series 2004-FR1W A6(e)     3.8240  05/25/34  $8,517 
 524,045   Bayview Financial Asset Trust Series 2007-SR1A A(c),(d)  US0001M + 0.450%  5.5880  03/25/37   508,679 
 3,134,367   Bayview Financial Mortgage Pass-Through Trust Series 2004-B A1(c),(d)  US0001M + 1.000%  6.1600  05/28/39   2,574,896 
 1,423,890   Bayview Financial Mortgage Pass-Through Trust Series 2005-A M1(c),(d)  US0001M + 1.500%  6.6600  02/28/40   1,189,302 
 50,276   Bear Stearns Asset Backed Securities I Trust Series 2004-FR2 M4(d)  US0001M + 2.100%  5.2260  06/25/34   46,715 
 398,024   Bear Stearns Home Loan Owner Trust Series 2001-A B(e)     10.5000  02/15/31   401,145 
 769,000   BRAVO Residential Funding Trust Series 2021-HE2 B2(c),(d)  SOFR30A + 3.400%  6.0880  11/25/69   701,898 
 1,250,000   BRAVO Residential Funding Trust Series 2021-HE2 B1(c),(d)  SOFR30A + 2.400%  6.0880  11/25/69   1,182,821 
 253,007   CHEC Loan Trust Series 2004-1 M2(c),(d)  US0001M + 0.975%  6.1130  07/25/34   248,358 
 13,514   Citigroup Global Markets Mortgage Securities VII, Series 2002-WMC1 M1(d)  US0001M + 1.350%  6.4880  01/25/32   13,361 
 136,781   Delta Funding Home Equity Loan Trust Series 1999-3 A2F(e)     8.0610  09/15/29   130,610 
 309,797   Delta Funding Home Equity Loan Trust Series 2000-1 M2(e)     8.0900  05/15/30   279,617 
 119,882   Delta Funding Home Equity Loan Trust Series 1999-2 A1A(d)  US0001M + 0.320%  5.7470  08/15/30   117,094 
 185,829   EMC Mortgage Loan Trust Series 2001-A M1(c),(d)  US0001M + 1.050%  6.1880  05/25/40   183,012 
 172,753   Financial Asset Securities Corp AAA Trust Series 2005-1A 1A3B(c),(d)  US0001 + 0.410%  5.5700  02/27/35   152,657 
 32,540   First Alliance Mortgage Loan Trust Series 1999-1 A1(e)     7.1800  06/20/30   32,110 
 76,054   GE Capital Mortgage Services Inc Trust Series 1999-HE1 A6(b)     6.7000  04/25/29   75,792 
 236,013   Home Equity Asset Trust Series 2002-2 A2(d)  US0001M + 0.600%  5.6200  06/25/32   214,855 
 1,051,982   Mastr Asset Backed Securities Trust Series 2004-FRE1 M7(d)  US0001M + 2.700%  7.8380  07/25/34   973,610 
 245,652   Mastr Asset Backed Securities Trust Series 2005-NC1 M2(d)  US0001M + 0.750%  5.8880  12/25/34   235,754 
 253,874   Mastr Asset Backed Securities Trust Series 2007-NCW A2(c),(d)  US0001M + 0.600%  5.7380  05/25/37   200,018 
 295,776   Morgan Stanley A.B.S Capital I Inc Trust Series Series 2003-SD1 M2(d)  US0001M + 3.900%  9.0380  03/25/33   271,738 
 104,990   Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE2 Series 2006-HE2 M1(d)  US0001M + 0.495%  5.6330  03/25/36   91,124 
 303,311   NovaStar Mortgage Funding Trust Series Series 2003-4 A1(d)  US0001M + 0.740%  5.8780  02/25/34   295,337 
 33,532   RAAC Series Trust Series 2004-SP1 AII(d)  US0001M + 0.700%  5.8380  03/25/34   31,353 
 342,667   RBSSP Resecuritization Trust Series 2010-4 6A2(c),(e)     5.8250  02/26/36   324,002 
 567,175   Renaissance Home Equity Loan Trust Series 2002-3 M1(d)  US0001M + 1.500%  6.6380  12/25/32   521,370 
 121,601   Renaissance Home Equity Loan Trust Series 2002-3 M2(d)  US0001M + 2.550%  7.6880  12/25/32   100,869 
 27,834   Saxon Asset Securities Trust Series 2001-2 AF5(e)     7.1700  03/25/29   27,980 
 30,005   Saxon Asset Securities Trust Series 2003-3 M2(d)  US0001M + 2.400%  3.8630  12/25/33   26,786 
 220,266   Saxon Asset Securities Trust Series 2003-3 AF5(e)     4.2850  12/25/33   200,236 

 

See accompanying notes which are an integral part of these financial statements.

18

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     HOME EQUITY — 4.2% (Continued)              
 161,732   Saxon Asset Securities Trust Series 2004-1 A(d)  US0001M + 0.540%  1.9520  03/25/35  $137,229 
 1,500,000   Security National Mortgage Loan Trust Series 2005-2A A4(b),(c)     7.5640  02/25/35   1,503,049 
 362,032   Security National Mortgage Loan Trust Series 2005-2A A3(b),(c)     6.2130  02/25/36   357,674 
 58,720   Soundview Home Loan Trust Series 2006-OPT4 1A1(d)  US0001M + 0.300%  5.4380  06/25/36   57,441 
 213,328   Southern Pacific Secured Asset Corporation Series 1997-2 M1F     7.3200  05/25/27   222,041 
 3,815   Wells Fargo Home Equity Asset-Backed Securities Series 2 M2(d)  US0001M + 0.975%  6.1130  10/25/34   3,694 
                  13,884,646 
     MANUFACTURED HOUSING — 0.9%              
 1,000,000   Cascade MH Asset Trust Series 2019-MH1 M(b),(c)     5.9850  11/01/44   855,928 
 69,278   Conseco Finance Corporation Series 1996-8 M1(b)     7.8500  11/15/26   69,170 
 2,500,000   Towd Point Mortgage Trust Series 2019-MH1 B1(b),(c)     3.7500  11/25/58   2,272,653 
                  3,197,751 
     NON AGENCY CMBS — 19.7%              
 3,204,350   Angel Oak SB Commercial Mortgage Trust Series 2020-SBC1 B1(b),(c)     3.6530  05/25/50   2,299,289 
 2,124,264   Angel Oak SB Commercial Mortgage Trust Series 2020-SBC1 B2(b),(c)     5.3780  05/25/50   1,537,557 
 723,000   Arbor Multifamily Mortgage Securities Trust Series 2020-MF1 D(c)     1.7500  05/15/53   412,748 
 1,000,000   Arbor Multifamily Mortgage Securities Trust Series 2020-MF1 E(c)     1.7500  05/15/53   529,395 
 32,732   Bayview Commercial Asset Trust Series 2005-2A M1(c),(d)  US0001M + 0.645%  5.7830  08/25/35   28,652 
 50,648   Bayview Commercial Asset Trust Series 2005-2A B1(c),(d)  US0001M + 1.725%  6.8630  08/25/35   48,024 
 203,095   Bayview Commercial Asset Trust Series 2005-3A A1(c),(d)  US0001M + 0.480%  5.6180  11/25/35   180,476 
 26,539   Bayview Commercial Asset Trust Series 2005-4A M1(c),(d)  US0001M + 0.675%  5.8130  01/25/36   23,433 
 95,880   Bayview Commercial Asset Trust Series 2007-1 M2(c),(d)  US0001M + 0.435%  5.5730  03/25/37   78,818 
 413,927   Bayview Commercial Asset Trust Series 2007-3 M2(c),(d)  US0001M + 0.510%  5.6480  07/25/37   363,974 
 542,624   Bayview Commercial Asset Trust Series 2007-3 M3(c),(d)  US0001M + 0.555%  5.6930  07/25/37   474,454 
 1,023,217   Bayview Commercial Asset Trust Series 2007-3 M4(c),(d)  US0001M + 0.750%  5.8880  07/25/37   891,739 
 2,306,467   Bayview Commercial Asset Trust Series 2008-2 A4A(c),(d)  US0001M + 2.500%  7.6380  04/25/38   2,255,020 
 120,000   Benchmark Mortgage Trust Series 2018-B5 A2     4.0770  07/15/51   116,570 
 130,000   Benchmark Mortgage Trust Series 2019-B9 B     4.4680  03/15/52   102,705 
 495,000   Benchmark Mortgage Trust Series 2021-B24 A2     1.9530  03/15/54   421,950 
 328,000   Benchmark Mortgage Trust Series 2021-B31 C(b)     3.1950  12/15/54   208,043 
 555,000   BMD2 Re-Remic Trust Series 2019-FRR1 5A1(b),(c)     3.4850  05/25/52   435,307 
 998,528   Capital Funding Mortgage Trust Series 2021-15 A(c),(d)  US0001M + 3.150%  8.1800  03/15/24   989,974 

  

See accompanying notes which are an integral part of these financial statements.

19

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     NON AGENCY CMBS — 19.7% (Continued)              
 121,757   CARBON CAPITAL VI COMMERCIAL MORTGAGE Series 2019-FL2 B(c),(d)  US0001M + 2.850%  7.9570  10/15/35  $93,947 
 2,744,225   CBA Commercial Small Balance Commercial Mortgage Series 2007-1A A(c),(e)     6.2600  07/25/39   2,534,284 
 72,000   CD Mortgage Trust Series 2017-CD3 D(c)     3.2500  02/10/50   27,421 
 385,453   CFCRE Commercial Mortgage Trust Series 2011-C2 D(b),(c)     5.0800  12/15/47   350,150 
 100,000   CFK Trust Series 2020-MF2 A(c)     2.3870  03/15/39   83,869 
 1,990,236   CG-CCRE Commercial Mortgage Trust Series 2014-FL1 B(c),(d)  US0001M + 1.150%  6.2570  06/15/31   1,981,587 
 1,494,898   CG-CCRE Commercial Mortgage Trust Series 2014-FL2 A(c),(d)  US0001M + 1.854%  6.9610  11/15/31   1,369,319 
 100,000   Citigroup Commercial Mortgage Trust Series 2016-C2 B     3.1760  08/10/49   86,716 
 50,000   Citigroup Commercial Mortgage Trust Series 2018-C5 AS(b)     4.4080  06/10/51   44,661 
 394,838   CNL Commercial Mortgage Loan Trust Series 2003-1A A1(c),(d)  US0001M + 0.500%  5.6070  05/15/31   383,280 
 74,084   COMM Mortgage Trust Series 2012-LC4 B(b)     4.9340  12/10/44   70,220 
 1,940,000   COMM Mortgage Trust Series 2013-CR12 AM     4.3000  10/10/46   1,701,488 
 1,980,000   COMM Mortgage Trust Series 2013-CR12 B(b)     4.7620  10/10/46   1,491,860 
 1,350,000   Csail Commercial Mortgage Trust Series 2015-C2 C(b)     4.1760  06/15/57   1,117,711 
 265,000   CSAIL Commercial Mortgage Trust Series 2018-C14 D(b),(c)     4.9010  11/15/51   174,743 
 470,000   CSAIL Commercial Mortgage Trust Series 2019-C16 C(b)     4.2370  06/15/52   345,151 
 1,390,000   CSMC OA, LLC Series 2014-USA D(c)     4.3730  09/15/37   1,041,313 
 1,679,833   FREMF Mortgage Trust Series 2017-KF31 B(c),(d)  US0001M + 2.900%  7.9620  04/25/24   1,659,571 
 524,337   FREMF Mortgage Trust Series 2017-KF38 B(c),(d)  US0001M + 2.500%  7.5620  09/25/24   468,111 
 55,105   FREMF Mortgage Trust Series 2017-KF49 B(c),(d)  US0001M + 1.900%  6.9620  06/25/25   50,223 
 47,000   GS Mortgage Securities Corporation II Series ROCK F(c)     5.5150  05/03/32   40,491 
 1,782,000   GS Mortgage Securities Trust Series 2014-GC18 B(b)     4.8850  01/10/47   1,483,155 
 26,000   GS Mortgage Securities Trust Series 2014-GC20 C(b)     5.0010  04/10/47   22,985 
 1,000,000   GS Mortgage Securities Trust Series 2016-GS4 C(b)     3.9530  11/10/49   815,769 
 1,300,000   Harvest Commercial Capital Loan Trust Series 2019-1 M5(b),(c)     5.7300  11/25/31   1,179,735 
 2,000,000   Harvest Commercial Capital Loan Trust Series 2020-1 M5(b),(c)     5.9640  04/25/52   1,700,974 
 700,000   HMH Trust Series 2017-NSS A(c)     3.0620  07/05/31   642,003 
 2,366,000   Hudsons Bay Simon JV Trust Series 2015-HB7 A7(c)     3.9140  08/05/34   2,097,898 
 100,000   Hudsons Bay Simon JV Trust Series 2015-HB10 A10(c)     4.1540  08/05/34   77,982 
 168,003   Hudsons Bay Simon JV Trust Series 2015-HBFL AFL(c),(d)  US0001M + 1.830%  6.9120  08/05/34   153,259 
 85,379   Impac CMB Trust Series 2004-8 3B(d)  US0001M + 2.625%  7.7630  08/25/34   78,534 
 100,000   J.P. Morgan Chase Commercial Mortgage Securities Series 2016-NINE A(b),(c)     2.8540  09/06/38   86,423 

  

See accompanying notes which are an integral part of these financial statements.

20

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     NON AGENCY CMBS  — 19.7% (Continued)              
 453,936   JP Morgan Chase Commercial Mortgage Securities Series 2015-FL7 D(c),(d)  US0001M + 3.750%  8.8570  05/15/28  $406,500 
 1,000,000   JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC A(c),(d)  US0001M + 1.450%  6.5570  04/15/31   864,625 
 193,000   JP Morgan Chase Commercial Mortgage Securities Series 2011-C3 E(b),(c)     5.5260  02/15/46   81,647 
 500,000   JP Morgan Chase Commercial Mortgage Securities Series 2013-LC11 E(b),(c)     3.2500  04/15/46   230,019 
 654,235   JP Morgan Chase Commercial Mortgage Securities Series 2007-LD11 AJ(b)     5.8830  06/15/49   154,563 
 3,017,595   JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-WLDN A(c)     3.9100  05/05/30   2,373,955 
 339,000   JPMBB Commercial Mortgage Securities Trust Series 2015-C29 C(b)     4.1880  05/15/48   294,338 
 49,029   Lehman Brothers Small Balance Commercial Mortgage Series 2007-1A 1A(c),(d)  US0001M + 0.250%  5.3880  03/25/37   47,560 
 32,633   LSTAR Commercial Mortgage Trust Series 2015-3 AS(b),(c)     3.1610  04/20/48   31,296 
 1,500,000   LSTAR Commercial Mortgage Trust Series 2015-3 D(b),(c)     3.1610  04/20/48   1,336,653 
 2,000,000   LSTAR Commercial Mortgage Trust Series 2016-4 D(b),(c)     4.6070  03/10/49   1,664,060 
 1,500,000   LSTAR Commercial Mortgage Trust Series 2017-5 D(b),(c)     4.6740  03/10/50   1,032,501 
 6,175,000   Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 AS(b)     4.3510  08/15/46   5,874,684 
 420,000   Morgan Stanley Capital I Trust Series 2014-150E AS(c)     4.0120  09/09/32   320,967 
 347,000   Morgan Stanley Capital I Trust Series 2014-150E D(b),(c)     4.2950  09/09/32   235,998 
 200,000   Morgan Stanley Capital I Trust Series 2015-MS1 D(b),(c)     4.0240  05/15/48   155,612 
 72,000   Morgan Stanley Capital I Trust Series 2018-L1 B(b)     4.7190  10/15/51   60,965 
 242,836   Multi Security Asset Trust, L.P. Commercial Series 2005-RR4A N(b),(c)     4.7800  11/28/35   241,136 
 470,000   Olympic Tower Mortgage Trust Series 2017-OT E(b),(c)     3.9450  05/10/39   262,112 
 320,000   RBS Commercial Funding Inc 2013-SMV Trust Series SMV A(c)     3.2600  03/11/31   273,648 
 500,000   Ready Capital Mortgage Trust Series 2019-5 E(b),(c)      5.4030  02/25/52   356,376 
 5,630,000   ReadyCap Commercial Mortgage Trust Series 2018-4 D(b),(c)      5.2140  02/27/51   5,031,449 
 842,500   SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE A1(b),(c)     3.8720  01/05/43   585,673 
 332,000   UBS Commercial Mortgage Trust Series 2017-C2 B(b)     3.9930  08/15/50   278,617 
 457,352   UBS-BAMLL Trust Series 2012-WRM A(c)     3.6630  06/10/30   429,939 
 799,842   UBS-Barclays Commercial Mortgage Trust Series 2013-C5 C(b),(c)     3.7410  03/10/46   553,232 
 743,769   Velocity Commercial Capital Loan Trust Series 2017-2 M5(b),(c)     6.4200  11/25/47   585,527 
 1,102,391   Velocity Commercial Capital Loan Trust Series 2017-2 M6(b),(c)     7.7500  11/25/47   783,994 
 729,277   Velocity Commercial Capital Loan Trust Series 2018-1 M6(c)     7.2600  04/25/48   489,264 

  

See accompanying notes which are an integral part of these financial statements.

21

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     NON AGENCY CMBS — 19.7% (Continued)              
 429,860   Velocity Commercial Capital Loan Trust Series 2018-2 M5(b),(c)     6.3600  10/26/48  $342,338 
 603,351   Velocity Commercial Capital Loan Trust Series 2019-3 M3(b),(c)     3.3800  10/25/49   464,511 
 87,194   Velocity Commercial Capital Loan Trust Series 2020-1 M2(b),(c)     2.9800  02/25/50   70,185 
 2,345,165   Velocity Commercial Capital Loan Trust Series 2021-2 M1(b),(c)     1.8200  08/25/51   1,808,819 
 1,476,373   Velocity Commercial Capital Loan Trust Series 2022-2 M1(b),(c)     5.4100  04/25/52   1,403,562 
 1,388,187   Velocity Commercial Capital Loan Trust Series 2022-3 M1(b),(c)     6.1300  06/25/52   1,352,633 
 495,235   Velocity Commercial Capital Loan Trust Series 2023-1 M1(b),(c)     7.1500  01/25/53   494,490 
 1,262,668   Wachovia Bank Commercial Mortgage Trust Series 2004-C12 IO(a),(b),(c)     0.6770  07/15/41   2,704 
 128,853   Waterfall Commercial Mortgage Trust Series 2015-SBC5 A(b),(c)     4.1040  12/14/32   123,207 
 256,000   Wells Fargo Commercial Mortgage Trust Series 2013-LC12 B(b)     4.2540  07/15/46   194,762 
 88,229   WFRBS Commercial Mortgage Trust Series 2011-C4 C(b),(c)     4.8460  06/15/44   83,429 
 460,148   WFRBS Commercial Mortgage Trust Series 2014-C25 D(b),(c)     3.8030  11/15/47   358,939 
 100,000   WFRBS Commercial Mortgage Trust Series 2014-C24 B(b)     4.2040  11/15/47   91,982 
                  66,681,432 
     OTHER ABS — 2.7%              
 384,170   321 Henderson Receivables I, LLC Series 2004-A A1(c),(d)  US0001M + 0.350%  5.4570  09/15/45   379,733 
 155,541   AASET Trust Series 2020-1A A(c)     3.3510  01/16/40   130,949 
 4,077,109   Bayview Commercial Asset Trust Series 2007-4A A1(c),(d)  US0001M + 0.450%  5.5880  09/25/37   3,746,631 
 14,816,530   Corevest American Finance Trust Series 2019-3 XA(a),(b),(c)     2.0430  10/15/52   377,641 
 1,000,000   CoreVest American Finance Trust Series 2021-2 D(c)     2.8310  07/15/54   751,967 
 1,000,000   Goldman Home Improvement Trust Issuer Series 2022-GRN1 D(c)     7.3000  06/25/52   978,153 
 2,137,986   Goodgreen Trust Series 2021-1A C(c)     5.7400  10/15/56   1,812,764 
 69,604   HERO Funding Trust Series 2015-2A A(c)     3.9900  09/20/40   62,101 
 350,002   Longtrain Leasing III, LLC Series 2015-1A A2(c)     4.0600  01/15/45   332,289 
 12,491   Orange Lake Timeshare Trust Series 2019-A A(c)     3.0600  04/09/38   11,476 
 207,307   Orange Lake Timeshare Trust Series 2019-A D(c)     4.9300  04/09/38   187,763 
 100,000   Progress Residential Series 2021-SFR3 F(c)     3.4360  05/17/26   87,948 
                  8,859,415 
     RESIDENTIAL MORTGAGE — 2.1%              
 337,505   Amresco Residential Securities Corp Mort Loan Series 1999-1 A(d)  US0001M + 0.470%  6.0780  06/25/29   312,869 
 1,399,252   Belvedere SPV Srl Series 1 A(d)  EUR006M + 3.250%  6.0020  12/31/38   973,713 
 7,927   Chase Funding Trust Series Series 2002-4 2A1(d)  US0001M + 0.740%  5.8780  10/25/32   7,601 
 58,101   Chase Funding Trust Series Series 2004-1 1A7(e)     3.9850  11/25/33   55,103 

 

See accompanying notes which are an integral part of these financial statements.

22

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     RESIDENTIAL MORTGAGE — 2.1% (Continued)              
 1,000,000   Credit-Based Asset Servicing and Securitization, Series 2002-CB3 B2(d)  US0001M + 3.375%  8.5130  06/25/32  $978,567 
 92,241   Credit-Based Asset Servicing and Securitization, Series 2004-CB3 B1(d)  US0001M + 2.775%  3.5110  03/25/34   98,372 
 1,360,918   Credit-Based Asset Servicing and Securitization,(c),(d)  US0001M + 3.750%  8.8880  05/25/50   1,218,099 
 225,146   CWABS Asset-Backed Certificates Trust Series 2007-13 2A1(d)  US0001M + 0.900%  6.0380  10/25/47   201,323 
 103,185   Equity One Mortgage Pass-Through Trust Series 2002-3 M1(b)     6.0390  11/25/32   100,334 
 38,901   Fannie Mae Grantor Trust Series 2002-T10 A1(d)  US0001M + 0.240%  5.3780  06/25/32   37,971 
 362,293   First Franklin Mortgage Loan Trust Series 2002-FF1 M2(d)  US0001M + 1.800%  6.9380  04/25/32   343,851 
 84,798   GE-WMC Asset-Backed Pass-Through Certificates Series 2005-2 M1(d)  US0001M + 0.660%  5.7980  12/25/35   65,616 
 33,694   GSAMP Trust Series 2002-WF A2B(d)  US0001M + 1.100%  6.2480  10/20/32   33,426 
 173,487   Interstar Millennium Series Trust Series 2004-4E A1(d)  EUR003M + 0.400%  3.7230  11/14/36   173,736 
 623,012   Legacy Mortgage Asset Trust Series 2019-SL2 A(b),(c)     3.3750  02/25/59   583,406 
 66,301   Long Beach Mortgage Loan Trust Series 2003-2 M2(d)  US0001M + 2.850%  7.9880  06/25/33   69,688 
 69,798   Mastr Specialized Loan Trust Series 2005-3 M1(c),(d)  US0001M + 1.125%  6.2630  11/25/35   64,888 
 585,000   Mill City Mortgage Trust Series 2015-2 B1(b),(c)     3.7000  09/25/57   537,051 
 434,697   RAAC Series Trust Series 2005-SP2 2A(d)  US0001M + 0.600%  5.7380  06/25/44   339,995 
 572,310   RAAC Series Trust Series 2007-RP3 A(c),(d)  US0001M + 0.380%  5.8980  10/25/46   541,343 
 527,273   Structured Asset Investment Loan Trust Series 2003-BC9 M3(d)  US0001M + 3.150%  8.2880  08/25/33   480,647 
                  7,217,599 
     STUDENT LOANS — 0.9%              
 38,485   AccessLex Institute Series 2004-2 B(d)  US0003M + 0.700%  5.9550  01/25/43   35,383 
 2,315,000   EdLinc Student Loan Funding Trust Series 2012-1 B(c),(d)  US0001M + 4.240%  9.3780  11/26/40   2,586,734 
 215,035   ELFI Graduate Loan Program, LLC Series 2020-A A(c)     1.7300  08/25/45   181,622 
 84,820   L2L Education Loan Trust Series 2006-1A A3(c),(d)  US0001M + 0.340%  5.2880  06/15/31   81,902 
 32,284   National Collegiate Trust (The) Series 2005-GATE B(c),(d)  US0001M + 0.450%  5.5770  07/27/26   28,792 
 16,287   SLM Student Loan Trust Series 2005-5 B(d)  US0003M + 0.250%  5.5050  10/25/40   13,259 
 31,539   SLM Student Loan Trust Series 2005-8 B(d)  US0003M + 0.310%  5.5650  01/25/55   28,988 
 184,819   Student Loan A.B.S Repackaging Trust Series Series 2007-1 3A1(c),(d)  US0003M + 0.215%  5.6780  11/27/30   180,648 
                  3,137,328 
     WHOLE BUSINESS — 1.0%              
 2,932,671   Business Loan Express Business Loan Trust Series 2007-AA A(c),(d)  US0001M + 0.400%  5.5480  10/20/40   2,596,993 
 70,155   Business Loan Express Business Loan Trust Series 2007-AA C(c),(d)  US0001M + 2.150%  7.2980  10/20/40   55,397 
 140,524   Business Loan Express Business Loan Trust Series 2007-AX C(d)  US0001M + 2.150%  7.2980  10/20/40   110,963 

 

See accompanying notes which are an integral part of these financial statements.

23

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal          Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     ASSET BACKED SECURITIES — 72.2% (Continued)              
     WHOLE BUSINESS — 1.0% (Continued)              
 545,525   ReadyCap Lending Small Business Loan Trust Series 2019-2 A(c),(d)  PRIME -0.500%  7.7500  12/27/44  $522,690 
                  3,286,043 
     TOTAL ASSET BACKED SECURITIES (Cost $258,451,004)            244,145,766 
                    
     CORPORATE BONDS — 11.9%              
     ASSET MANAGEMENT — 0.2%              
 70,000   Morgan Stanley & Company, LLC(d)  (5*(USISDA30*USISDA02))  0.0000  01/21/26   59,238 
 274,000   Nomura America Finance, LLC(d)  4*(USISDA30-USISDA02) -  0.0000  12/31/33   172,620 
 65,000   Nomura America Finance, LLC(d)  4*(USISDA30-USISDA02) -  0.0000  02/28/34   39,850 
 890,000   Nomura America Finance, LLC(d)  4*( USISDA30 -USISDA02 -0.25%)  0.0000  07/29/34   560,700 
                  832,408 
     BANKING — 3.5%              
 190,000   Bank of Nova Scotia (The)(d)  4*(USISDA30-USISDA02)  0.0000  06/27/33   114,000 
 120,000   Bank of Nova Scotia (The)(d)  4*(CMS30-CMS2)  0.0000  01/30/34   75,600 
 100,000   Bank of Nova Scotia (The)(d)  4*(CMS30-CMS02 -0.50%)  0.0000  08/28/34   61,000 
 75,000   Barclays Bank plc(b)     0.0000  01/23/26   71,089 
 525,000   Barclays Bank plc(d)  4.250*(USISDA30-USISDA02)  0.0000  09/13/28   410,156 
 50,000   Barclays Bank plc(d)  4*(USISDA30-USISDA02)  0.0000  10/18/28   38,625 
 75,000   Barclays Bank plc(d)  4*(USISDA10-USISDA02)-1.00%  0.0000  08/15/33   46,500 
 58,000   Barclays Bank plc(d)  4*(USISDA30-USISDA02-0.5%)  0.0000  04/25/34   35,380 
 70,000   Barclays Bank plc(d)  8*(USISDA30 -USISDA5 -0.25%)  0.0000  07/31/34   43,750 
 177,000   BNP Paribas S.A.(d)  4*(CMS30-CMS5)  0.0000  04/30/33   108,855 
 430,000   Citigroup, Inc.(d)  4*(CMS30-CMS5 -0.25%)  0.0000  06/11/33   266,600 
 1,037,000   Citigroup, Inc.(d)  4.5*(USISDA30-USISDA05)  0.0000  11/26/33   648,125 
 507,000   Citigroup, Inc.(d)  4*(USISDA30-USISDA02) -1.000%  0.0000  12/29/34   323,846 
 55,000   Citigroup, Inc.(d)  20*(USISDA30-USISDA02 -0.875%)  0.0000  08/31/35   33,275 

  

See accompanying notes which are an integral part of these financial statements.

24

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 11.9% (Continued)              
     BANKING — 3.5% (Continued)              
 170,000   Credit Suisse A.G.(d)  8*(USISDA30-USISDA02)  0.0001  07/31/30  $96,900 
 627,000   Credit Suisse A.G.(d)  10*(USISDA30-USISDA02)  0.0000  09/30/30   376,200 
 300,000   Credit Suisse A.G.(d)  7.5*(USISDA30-USISDA02)  0.0000  09/30/30   177,000 
 220,000   Credit Suisse A.G.(d)  10*(USISDA30-USISDA02)  0.0000  01/29/31   132,000 
 791,000   Credit Suisse A.G.(d)  12*(USISDA30-USISDA02)  0.0000  04/29/31   492,398 
 1,024,000   Credit Suisse A.G.(d)  15*(USISDA30-USISDA02)  0.0000  10/31/31   624,640 
 120,000   Deutsche Bank A.G.(d)  4*(USISDA30-USISDA05-0.550%)  0.0000  01/31/33   70,800 
 245,000   Deutsche Bank A.G.(d)  4*(USISDA30-USISDA02-0.40%)  0.0000  06/30/34   143,938 
 1,257,000   Deutsche Bank A.G.(d)  4*(USISDA30-USISDA02-0.500%)  0.0000  08/28/34   729,059 
 4,009,000   Deutsche Bank A.G.(d)  4.5*(USISDA30 -USISDA02 -0.25%)  0.0000  10/31/34   2,365,309 
 961,000   Deutsche Bank A.G.(d)  4*(USISDA30 -USISDA02 -0.25%)  0.0000  11/26/34   576,600 
 738,000   Deutsche Bank A.G.(d)  10*(USISDA30-USISDA02) -8.750%  0.0000  03/27/35   427,118 
 75,000   Deutsche Bank A.G.(d)  15*(USISDA30 -USISDA02 -0.875%)  0.0000  12/23/35   43,219 
 100,000   HSBC USA, Inc.(d)  6.250*(USISDA30-USISDA05)  0.0000  05/21/29   76,875 
 200,000   Lloyds Bank plc(d)  (USISDA30-USISDA05+0.500%) -0.500%  0.0000  01/31/33   121,250 
 136,000   Lloyds Bank plc(d)  4*(USISDA30-USISDA02 -0.25%)  0.0000  10/25/33   85,340 
 655,000   Lloyds Bank plc(d)  4*(USISDA30-USISDA02) -1.400%  0.0000  11/27/33   407,459 
 282,000   Natixis US Medium-Term Note Program, LLC(d)  4*(USISDA30-USISDA02)  0.0000  04/30/34   177,308 
 1,414,000   Natixis US Medium-Term Note Program, LLC(d)  7.5*(USISDA30-USISDA5-0.25%)  0.0000  07/31/34   855,469 
 618,000   Natixis US Medium-Term Note Program, LLC(d)  8*(USISDA30-USISDA02)  0.0000  03/31/36   376,980 
 125,000   NatWest Markets plc(d)  4*(CMS30-CMS2 -0.25%)  0.0000  08/18/31   79,063 
 100,000   NatWest Markets plc(d)  4*(USISDA30 -USISDA02 -0.50%)  0.0000  08/26/31   61,875 
 202,000   SG Structured Products, Inc.(b)     0.0000  03/31/26   163,620 

 

See accompanying notes which are an integral part of these financial statements.

25

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 11.9% (Continued)              
     BANKING — 3.5% (Continued)              
 185,000   SG Structured Products, Inc.(d)  4*(USISDA30-USISDA02 -0.50%)  0.0000  07/29/31  $123,950 
 744,000   Societe Generale S.A.(d)  10*(USISDA30-USISDA02)  0.0000  10/29/32   472,440 
 203,000   Societe Generale S.A.(d)  50*(USISDA30-USISDA02)  0.0000  01/31/35   146,414 
 135,000   STRATS, LLC(d)  US0006M + 1.000%  6.3490  02/15/34   95,720 
                  11,775,745 
     INSTITUTIONAL FINANCIAL SERVICES — 3.9%              
 41,000   Citigroup Global Markets Holdings, Inc.(d)  8*(USISDA30-USISDA02)  0.0000  04/25/32   30,054 
 35,000   Citigroup Global Markets Holdings, Inc.(b)     0.0000  11/22/32   23,188 
 200,000   Citigroup Global Markets Holdings, Inc.     0.0000  03/29/34   148,000 
 60,000   Citigroup Global Markets Holdings, Inc.(d)  50*(USISDA30-USISDA02)  0.0000  03/29/34   43,200 
                    
 50,000   Citigroup Global Markets Holdings, Inc.(d)  5*(USISDA30-USISDA02) -1.250%  0.0000  12/14/36   31,375 
 95,000   Credit Suisse A.G.(d)  8*(USISDA30-USISDA02)  0.0000  10/30/30   57,000 
 365,000   Goldman Sachs Group, Inc. (The)(d)  5*(USISDA30-USISDA05)  0.0000  03/19/29   283,331 
 500,000   GS Finance Corporation(d)  7*(USISDA30-USISDA05) -1.75%  0.0000  03/24/31   295,000 
 97,000   Jefferies Group, LLC / Jefferies Group Capital(d)  7.5*(USISDA30-USISDA02)  0.0000  05/31/34   60,383 
 30,000   Jefferies Group, LLC / Jefferies Group Capital(d)  8*(USISDA30-USISDA02)  0.0000  06/30/37   19,856 
 1,168,000   Jefferies Group, LLC / Jefferies Group Capital(d)  9*(USISDA30-USISDA02)  0.0000  07/31/37   727,079 
 446,000   Jefferies Group, LLC / Jefferies Group Capital(d)  9*(USISDA10-USISDA02)  0.0000  08/31/37   269,273 
 150,000   Jefferies Group, LLC / Jefferies Group Capital(d)  10*(USISDA10-USISDA02)  0.0000  08/31/37   90,750 
 248,000   Jefferies Group, LLC / Jefferies Group Capital(d)  10*(USISDA10-USISDA02)  0.0000  09/30/37   135,888 
 240,000   Jefferies Group, LLC / Jefferies Group Capital(d)  8.5*(USISDA30-USISDA02)  0.0000  10/31/37   144,384 
 110,000   Jefferies Group, LLC / Jefferies Group Capital(d)  8*(USISDA30-USISDA02)  0.0000  01/31/38   67,238 
 762,000   Jefferies Group, LLC / Jefferies Group Capital(d)  7.5*(USISDA30-USISDA02) + 0.750%  4.3260  02/28/38   527,685 
 280,000   Jefferies Group, LLC / Jefferies Group Capital(d)  US0003M + 4.000%  5.0000  03/20/40   258,118 
 115,000   Morgan Stanley(b)     8.0000  03/21/27   97,319 
 56,000   Morgan Stanley(d)  4*(USISDA30-USISDA05)  0.0000  06/28/28   42,630 

 

See accompanying notes which are an integral part of these financial statements.

26

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 11.9% (Continued)          
     INSTITUTIONAL FINANCIAL SERVICES — 3.9% (Continued)       
 1,015,000   Morgan Stanley(d)  8*(USISDA30-USISDA05)  0.0000  09/27/28  $781,549 
 753,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  10/15/28   582,634 
 100,000   Morgan Stanley(b)     0.0000  06/29/29   85,500 
 3,588,000   Morgan Stanley(d)  10*(USISDA30-USISDA02)  0.0000  04/30/30   2,529,539 
 1,388,000   Morgan Stanley(d)  10*(USISDA30-USISDA02)  0.0000  05/29/30   978,539 
 403,000   Morgan Stanley(d)  10*(USISDA30-USISDA02)  0.0000  06/30/30   282,100 
 221,000   Morgan Stanley(d)  8*(USISDA30-USISDA02)  0.0000  07/31/30   151,938 
 290,000   Morgan Stanley(d)  8.5*(USISDA30-USISDA02)  0.0000  08/19/30   200,100 
 216,000   Morgan Stanley(d)  8*(USISDA30-USISDA02)  0.0000  08/31/30   148,500 
 285,000   Morgan Stanley(d)  10*(USISDA30-USISDA02)  0.0000  09/30/30   200,213 
 151,000   Morgan Stanley(d)  7*(USISDA30-USISDA02)  0.0000  10/30/30   103,058 
 171,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  10/30/30   111,042 
 50,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  11/30/30   32,390 
 167,000   Morgan Stanley(b)     0.0000  03/31/31   128,590 
 20,000   Morgan Stanley(b)     0.0000  03/31/31   14,200 
 89,000   Morgan Stanley(b)     8.5000  05/31/31   66,750 
 100,000   Morgan Stanley(b)     0.0000  06/30/31   78,000 
 114,000   Morgan Stanley(b)     8.5000  07/29/31   85,500 
 228,200   Morgan Stanley(d)  7*(USISDA30-USISDA02)  0.0000  09/16/31   151,753 
 117,000   Morgan Stanley(d)  6*(USISDA30-USISDA02)  0.0000  01/30/34   73,125 
 209,000   Morgan Stanley(d)  4*(USISDA30-USISDA02)  0.0000  03/31/34   121,743 
 287,000   Morgan Stanley(d)  4*(USISDA30-USISDA02)  0.0000  05/30/34   167,178 
 220,000   Morgan Stanley(d)  4*(USISDA30-USISDA02)  0.0000  07/31/34   128,150 
 121,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  08/29/34   71,995 
 120,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  09/30/34   71,100 
                    

See accompanying notes which are an integral part of these financial statements.

27

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 11.9% (Continued)        
     INSTITUTIONAL FINANCIAL SERVICES — 3.9% (Continued)       
 238,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  10/08/34  $141,015 
 233,000   Morgan Stanley(d)  7*(USISDA30-USISDA02)  0.0000  10/31/34   144,460 
 30,000   Morgan Stanley(d)  5*(USISDA30-USISDA02)  0.0000  11/28/34   17,775 
 230,000   Morgan Stanley(d)  (4.5*(USISDA30-USISDA02)  0.0000  12/31/34   134,550 
 304,000   Morgan Stanley(d)  8*(USISDA30-USISDA02)  0.0000  01/30/35   188,480 
 473,000   Morgan Stanley(d)  4*(USISDA30-USISDA02)  0.0000  02/27/35   275,523 
 438,000   Morgan Stanley(d)  6*(USISDA30-USISDA02)  0.0000  03/31/35   267,180 
 532,000   Morgan Stanley(d)  9*(USISDA30-USISDA02)  0.0000  04/30/35   388,360 
 73,000   Morgan Stanley(b)     0.0000  05/29/35   53,290 
 120,000   Morgan Stanley(b)     0.0000  06/30/35   87,600 
 268,000   Morgan Stanley(b)     0.0000  07/31/35   195,640 
 79,000   Morgan Stanley(b)     0.0000  09/30/35   57,670 
 109,000   Morgan Stanley(b)     0.0000  11/30/35   79,570 
 134,000   Morgan Stanley(d)  9*(USISDA30-USISDA02)  0.0000  12/23/35   97,820 
 816,000   Morgan Stanley(d)  10*(USISDA30-USISDA02)  0.0000  02/29/36   521,220 
                  13,347,090 
     LEISURE FACILITIES & SERVICES — 0.2%          
 547,746   Times Square Hotel Trust(c)     8.5280  08/01/26   543,202 
                    
     OIL & GAS PRODUCERS — 0.2%              
 250,000   Petroleos Mexicanos(c)     10.0000  02/07/33   224,789 
 570,000   Petroleos Mexicanos     6.7500  09/21/47   344,578 
                  569,367 
     REAL ESTATE INVESTMENT TRUSTS — 0.0%(g)    
 110,000   American Tower Trust #1(c)     3.6520  03/23/28   102,971 
                    
     SPECIALTY FINANCE — 3.9%              
 184,833   Fort Knox Military Housing Privatization Project(d)  US0001M + 0.340%  5.4470  02/15/52   131,568 
 2,548,787   MM Community Funding III Ltd. / MM Community(c),(d)  US0006M + 2.050%  7.4370  05/01/32   2,268,420 
                    

See accompanying notes which are an integral part of these financial statements.

28

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 11.9% (Continued)       
     SPECIALTY FINANCE — 3.9% (Continued)       
 498,000   Morgan Stanley Finance, LLC(b)     0.0000  04/30/33  $361,050 
 541,000   Morgan Stanley Finance, LLC(d)  10*(USISDA30-USISDA02)  0.0000  06/30/36   343,535 
 215,000   Morgan Stanley Finance, LLC(d)  15*(USISDA30-USISDA02)  0.0000  07/29/36   139,750 
 3,474,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  08/31/36   2,301,525 
 788,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  09/30/36   522,050 
 4,218,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  11/29/36   2,794,424 
 1,269,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  01/31/37   840,713 
 361,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  04/28/37   239,163 
 267,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  07/31/37   176,220 
 2,014,000   Morgan Stanley Finance, LLC(d)  10*(USISDA30-USISDA02)  0.0000  09/29/37   1,281,408 
 158,000   Morgan Stanley Finance, LLC(d)  20*(USISDA30-USISDA02)  0.0000  09/29/37   104,280 
 1,000,000   OWS Cre Funding I, LLC(c),(d)  US0001M + 4.900%  9.9340  09/15/23   990,805 
 46,234   Preferred Term Securities X Ltd. / Preferred Term(c),(d)  US0003M + 0.860%  5.9940  07/03/33   43,285 
 634,876   Select Notes Trust LT     5.9100  02/22/33   551,614 
                  13,089,810 
     TOTAL CORPORATE BONDS (Cost $55,436,295)     40,260,593 
                    
     NON U.S. GOVERNMENT & AGENCIES — 0.3%     
     SOVEREIGN — 0.1%              
 200,000   Argentina Bonar Bonds(e)     0.5000  07/09/30   41,237 
 24,086   Argentine Republic Government International Bond     1.0000  07/09/29   6,199 
 1,185,000   Argentine Republic Government International Bond(e)     1.5000  07/09/35   278,080 
                  325,516 
     SUPRANATIONAL — 0.2%              
 964,000   International Bank for Reconstruction & Development(b)     0.0000  06/30/34   602,500 
                    

See accompanying notes which are an integral part of these financial statements.

29

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     NON U.S. GOVERNMENT & AGENCIES — 0.3% (Continued)        
     TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,445,546)     $928,016 
                 
     U.S. GOVERNMENT & AGENCIES — 4.6%           
     AGENCY MBS OTHER — 0.0%(g)           
 36,238   Fannie Mae Pool 257064  4.5000  11/01/37   35,308 
 51,939   Ginnie Mae II Pool BU6365(b)  4.5960  04/20/70   51,237 
               86,545 
     U.S. TREASURY NOTES — 4.6%           
 12,000,000   United States Treasury Note  3.5000  02/15/33   11,855,625 
 4,000,000   United States Treasury Note  3.3750  05/15/33   3,913,438 
               15,769,063 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $15,684,203)         15,855,608 
                 
     SHORT-TERM INVESTMENTS— 4.4%           
     U.S. GOVERNMENT & AGENCIES — 4.4%           
 15,000,000   United States Treasury Bill(f) (Cost $14,787,648)  5.0089  09/12/23   14,782,948 
                 
     TOTAL INVESTMENTS – 93.4% (Cost $345,804,696)        $315,972,931 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 6.6%         22,209,619 
     NET ASSETS - 100.0%        $338,182,550 

 

OPEN FUTURES CONTRACTS
Number of
Contracts
   Open Long Futures Contracts  Expiration  Notional
Amount(i)
   Value and
Unrealized
Appreciation
 
 10   Ultra 10-Year US Treasury Note Futures  09/20/2023  $1,204,530   $8,358 
     TOTAL FUTURES CONTRACTS             
                   
OPEN FUTURES CONTRACTS
Number of
Contracts
   Open Short Futures Contracts  Expiration  Notional
Amount(i)
   Value and
Unrealized
Appreciation
 
 100   CBOT 2 Year US Treasury Note Future  09/29/2023  $20,582,800   $8,606 
                   
     TOTAL FUTURES CONTRACTS             
                   

See accompanying notes which are an integral part of these financial statements.

30

 

EASTERLY INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023

 

CREDIT DEFAULT SWAP AGREEMENTS
Description  Payment
Frequency
  Counterparty  Fixed Deal
(Pay)Rate
  Maturity
Date
  Notional
Value
   Fair
Value
   Amortized
Upfront
Payments
Paid/
(Received)
   Unrealized
Appreciation/
(Depreciation)
 
Morgan Stanley 7.25% 04/01/2032  Annual  GS  1.00%  6/20/2025  $20,000,000    (187,294)   (161,576)   (25,718)
                                 
INTEREST RATE SWAP
Reference Entity  Payment
Frequency
  Counterparty  Fixed Deal
(Pay)Rate
  Maturity
Date
  Notional
Value
   Fair
Value
   Amortized
Upfront
Payments Paid/
(Received)
   Unrealized
Appreciation/
(Depreciation)
 
1 Year SOFR Compound Index  Annual  GS  0.9975%  1/25/2024   100,000,000    4,044,698        4,044,698 

 

GS - Goldman Sachs
   
LLC - Limited Liability Company
   
LP - Limited Partnership
   
LTD - Limited Company
   
PLC - Public Limited Company
   
REIT - Real Estate Investment Trust
   
REMIC - Real Estate Mortgage Investment Conduit
   
S/A - Société Anonyme
   
12MTA Federal Reserve US 12 Month Cumulative Avg 1 Year CMT
   
CMS2 2 Year Constant Maturity Swap Rate
   
CMS5 5 Year Constant Maturity Swap Rate
   
CMS10 10 Year Constant Maturity Swap Rate
   
CMS30 30 Year Constant Maturity Swap Rate
   
ECOFC Enterprise 11th District Cost of Funds Index
   
EUR003M Euribor 3 Month ACT/360
   
EUR006M Euribor 6 Month ACT/360
   
H15T1Y US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
   
PRIME Prime Rate by Country United States
   
SOFR30A United States 30 Day Average SOFR Secured Overnight Financing Rate
   
US0001M ICE LIBOR USD 1 Month
   
US0003M ICE LIBOR USD 3 Month
   
US0006M ICE LIBOR USD 6 Month
   
USISDA02 2 Year Swap
   
USISDA05 5 Year Swap
   
USISDA30 30 Year Swap

 

(a)Interest only securities.

 

(b)Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

(c)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 May 31, 2023 the total market value of 144A securities is 170,909,613 or 50.5% of net assets.

 

(d)Variable rate security; the rate shown represents the rate on May 31, 2023.

 

(e)Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at May 31, 2023.

 

(f)Zero coupon bond.

 

(g)Percentage rounds to less than 0.1%.

 

(h)Rate disclosed is the seven day effective yield as of May 31, 2023.

 

(i)The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

 

See accompanying notes which are an integral part of these financial statements.

31

 

EASTERLY FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
May 31, 2023

 

   Easterly     
   Total Hedge       
   Portfolio   Easterly Income 
   (Consolidated)   Opportunities Fund 
Assets:          
Total Investments, at cost  $237,429   $345,804,696 
           
Total Investments, at value  $3,802   $315,972,931 
Cash   2,153,219    16,228,387 
Foreign Cash ($17,068)       16,800 
Deposit in collateral account for Swaps       1,866,013 
Unrealized appreciation on swaps       4,018,980 
Unrealized appreciation on futures       16,964 
Receivable for securities sold   11,026,258     
Receivable for fund shares sold       180,966 
Interest and dividends receivable   4,268    1,521,426 
Receivable from manager   17,019     
Prepaid expenses and other assets   24,410    131,312 
Total Assets   13,228,976    339,953,779 
           
Liabilities:          
Payable for securities purchased       964,783 
Payable for fund shares redeemed   5,001,168    173,233 
Premiums received on swaps       161,576 
Administrator fees payable   6,251    82,061 
Payable to manager       290,140 
Trustee fees payable   3,902    4,062 
Payable for distribution (12b-1) fees       6,507 
Compliance officer fees payable   3,886    4,452 
Accrued expenses and other liabilities   32,957    84,415 
Total Liabilities   5,048,164    1,771,229 
           
Net Assets  $8,180,812   $338,182,550 
           
Net Assets:          
Par value of shares of beneficial interest  $8,345   $347,851 
Paid in capital   13,320,119    370,357,741 
Accumulated loss   (5,147,652)   (32,523,042)
Net Assets  $8,180,812   $338,182,550 
           
Net Asset Value Per Share          
Class A          
Net Assets  $   $11,719,109 
Shares of beneficial interest outstanding       1,183,188 
Net asset value  $   $9.90 
Offering price per share (maximum sales charge of 2.00%)  $   $10.10 
           
Class C          
Net Assets  $   $3,750,757 
Shares of beneficial interest outstanding       388,248 
Net asset value/offering price per share  $   $9.66 
           
Class I          
Net Assets  $4,476,761   $229,580,845 
Shares of beneficial interest outstanding   460,262    23,765,882 
Net asset value/offering price per share  $9.73   $9.66 
           
Class R6          
Net Assets  $3,704,051   $93,131,839 
Shares of beneficial interest outstanding  $374,210   $9,447,790 
Net asset value/offering price per share  $9.90   $9.86 
           

See accompanying notes to consolidated financial statements.

32

 

EASTERLY FUNDS
STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended May 31, 2023

 

   Easterly     
   Total Hedge       
   Portfolio   Easterly Income 
   (Consolidated)   Opportunities Fund 
Investment Income:          
Dividend income  $441,161   $ 
Interest income   668    10,494,650 
Dividend income from Affiliates   70,183     
Less: Foreign withholding taxes   (1,661)    
Total Investment Income   510,351    10,494,650 
           
Operating Expenses:          
Management fees   131,400    1,961,890 
Distribution (12b-1) fees          
Class A Shares       13,713 
Class C Shares       20,644 
Administration fees   20,614    218,771 
Shareholder servicing fees   13,912    148,622 
Interest expenses       143,246 
Transfer Agent fees   16,062    65,892 
Registration fees   5,887    44,656 
Printing and postage expense   2,759    33,494 
Custodian fees   28,870    28,051 
Legal fees   42,495    34,987 
Audit fees   7,703    11,218 
Trustees’ fees   12,319    12,319 
Compliance officer fees   3,989    3,674 
Insurance expense   797    8,478 
Miscellaneous expenses   11,571    5,699 
Total Operating Expenses   298,378    2,755,354 
           
Less: Expenses waived   (129,972)   (325,347)
Total Waivers   (129,972)   (325,347)
           
Net Operating Expenses   168,406    2,430,007 
           
Net Investment Income   341,945    8,064,643 
           
Realized and Unrealized Gain (Loss) on Investments:          
Net realized gain (loss) from:          
Investments   (2,348,410)   (1,165,667)
Foreign currency exchange contracts   (43,842)     
Futures       274,557 
Distribution of realized gain/(loss) by underlying investment companies   58,026     
Affiliated Investments   (314,054)    
Swaps   (6,914)   860,306 
Net realized gain/(loss) from:   (2,655,194)   (30,804)
           
Net change in unrealized appreciation/ (depreciation) on:          
Investments   1,740,152    2,477,670 
Foreign currency exchange contracts   2,147     
Affiliated Investments   302,058     
Futures       16,964 
Swaps   (246,004)   (691,151)
Net change in unrealized appreciation   1,798,353    1,803,483 
Net Realized and Unrealized Gain/(Loss) on investments   (856,841)   1,772,679 
           
Net Increase/(Decrease) in Net Assets Resulting From Operations  $(514,896)  $9,837,322 
           

See accompanying notes to consolidated financial statements.

33

 

EASTERLY FUNDS
STATEMENTS OF CHANGES IN NET ASSETS

 

   Easterly Total Hedge Portfolio   Easterly Income Opportunities Fund 
   (Consolidated)             
   Six Months Ended   Year Ended   Six Months Ended   Year Ended 
   May 31, 2023   November 30, 2022   May 31, 2023   November 30, 2022 
   (Unaudited)       (Unaudited)     
Operations:                    
Net investment income  $341,945   $591,774   $8,064,643   $11,330,827 
Net realized gain/(loss) on investments   (2,655,194)   (1,826,191)   (30,804)   (1,445,922)
Net change in unrealized appreciation/ (depreciation) on investments  $1,798,353    (1,332,574)   1,803,483    (33,012,258)
Net increase/(decrease) in net assets resulting from operations   (514,896)   (2,566,991)   9,837,322    (23,127,353)
                     
Distributions to Shareholders:                    
Total Distributions:                    
Class I   (351,131)   (452,553)   (8,749,203)   (11,276,015)
Class A           (422,768)   (694,638)
Class C           (145,829)   (220,813)
Class R6   (419,844)   (1,935,569)   (3,590,095)   (4,185,637)
Total Dividends and Distributions to Shareholders   (770,975)   (2,388,122)   (12,907,895)   (16,377,103)
                     
Share Transactions of Beneficial Interest:                    
Net proceeds from shares sold                    
Class I   10,535    10,757,841 *   76,875,046    152,840,023 
Class A           3,003,446    5,758,497 
Class C           449,772    1,295,088 
Class R6   726,306    3,683,761    11,426,913    65,569,643 
Reinvestment of dividends and distributions                    
Class I   351,130    452,554    7,769,541    9,641,868 
Class A           338,530    595,386 
Class C           100,312    145,951 
Class R6   252,231    1,288,566    2,799,374    3,151,949 
Cost of shares redeemed                    
Class I   (8,665,413)   (3,785,429)   (59,476,984)   (144,056,411)
Class A        *   (2,752,817)   (9,048,548)
Class C        *   (1,223,159)   (1,958,764)
Class R6   (13,458,312)   (14,789,261)   (13,394,798)   (26,663,270)
Net increase (decrease) in net assets from share transactions of beneficial interest   (20,783,523)   (2,391,968)   25,915,176    57,271,412 
                     
Total Increase (Decrease) in Net Assets   (22,069,394)   (7,347,081)   22,844,603    17,766,956 
                     
Net Assets:                    
Beginning of year   30,250,206    37,597,287    315,337,947    297,570,991 
End of period  $8,180,812   $30,250,206   $338,182,550   $315,337,947 
                     
Share Activity                    
Shares sold                    
Class I   1,055    1,039,318 *   7,929,764    14,665,435 
Class A           302,328    539,809 
Class C           46,382    124,464 
Class R6   71,929    338,247    1,156,695    6,108,852 
Shares Reinvested                    
Class I   35,976    40,227    808,013    930,035 
Class A           34,353    55,732 
Class C           10,429    13,964 
Class R6   25,426    113,231    285,657    300,790 
Shares redeemed                    
Class I   (888,352)   (365,236)   (6,140,938)   (13,970,464)
Class A       *   (278,315)   (861,927)
Class C        *   (126,248)   (191,272)
Class R6   (1,344,203)   (1,391,656)   (1,355,104)   (2,547,727)
Net Increase/(Decrease) in shares of beneficial interest   (2,098,169)   (225,869)   2,673,016    5,167,691 
                     
*Share Transactions of Beneficial Interest and Share Activity include the Conversion of Class A and C shares into I shares (see note 1).

 

See accompanying notes to consolidated financial statements.

34

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)

 

 

   Easterly Total Hedge Portfolio 
   Class I 
   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   May 31,   November 30,   November 30,   November 30,   November 30,   November 30, 
   2023   2022   2021   2020   2019   2018 
   (Unaudited)                     
Net Asset Value, Beginning of Year/Period  $10.23   $11.80   $11.05   $10.49   $10.13   $10.40 
Income (Loss) from Investment Operations:                              
Net investment income (1)   0.11    0.15    0.08    0.21    0.18    0.12 
Net realized and unrealized gain (loss)   (0.34)   (0.96)   0.85    0.74    0.46    (0.30)
Total from investment operations   (0.23)   (0.81)   0.93    0.95    0.64    (0.18)
Dividends and Distributions:                              
Dividends from net investment income   (0.27)   (0.24)       (0.39)   (0.17)   (0.07)
Distributions from realized gains       (0.52)   (0.18)       (0.11)   (0.02)
Total dividends and distributions   (0.27)   (0.76)   (0.18)   (0.39)   (0.28)   (0.09)
                               
Net Asset Value, End of Year/Period  $9.73   $10.23   $11.80   $11.05   $10.49   $10.13 
                               
Total Return*   (2.28)%   (7.47)%   8.51%   9.39%   6.54%   (1.73)%
Ratios and Supplemental Data:                              
Net assets, end of year (000s)  $4,477   $13,417   $7,049   $5,247   $5,095   $4,523 
Ratio of gross operating expenses to average net assets including interest expense (2,5)   2.31% (4)   1.84%   1.89%   2.25%   2.53%   2.50%
Ratio of net operating expenses to average net assets including interest expense (2,6)   1.48% (4)   1.49%   1.51%   1.52%   1.52%   1.49%
Ratio of net investment income (loss) after expense reimbursement to average net assets (2,9)   2.32% (4)   1.46%   0.70%   2.10%   1.74%   1.19%
Portfolio Turnover Rate   306% (3)   186%   127%   117%   114%   195%
                               
   Easterly Total Hedge Portfolio 
   Class R6 
   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   May 31,   November 30,   November 30,   November 30,   November 30,   November 30, 
   2023   2022   2021   2020   2019   2018 
   (Unaudited)                     
Net Asset Value, Beginning of Year/Period  $10.38   $11.93   $11.12   $10.52   $10.14   $10.40 
Income (Loss) from Investment Operations:                              
Net investment income (1)   0.14    0.23    0.10    0.25    0.20    0.16 
Net realized and unrealized gain (loss)   (0.35)   (1.02)   0.89    0.74    0.46    (0.33)
Total from investment operations   (0.21)   (0.79)   0.99    0.99    0.66    (0.17)
Dividends and Distributions:                              
Dividends from net investment income   (0.27)   (0.24)       (0.39)   (0.17)   (0.07)
Distributions from realized gains       (0.52)   (0.18)       (0.11)   (0.02)
Total dividends and distributions   (0.27)   (0.76)   (0.18)   (0.39)   (0.28)   (0.09)
                               
Net Asset Value, End of Year/Period  $9.90   $10.38   $11.93   $11.12   $10.52   $10.14 
                               
Total Return*   (2.05)%   (7.20)%   9.01%   9.75%   6.73%   (1.63)%
Ratios and Supplemental Data:                              
Net assets, end of year (000s)  $3,704   $16,834   $30,549   $5,297   $5,565   $8,233 
Ratio of gross operating expenses to average net assets including interest expense (2,7)   2.25% (4)   1.84%   1.66%   2.25%   2.53%   2.38%
Ratio of net operating expenses to average net assets including interest expense (2,8)   1.11% (4)   1.12%   1.14%   1.15%   1.35%   1.39%
Ratio of net investment income after expense reimbursement to average net assets (2,9)   2.87% (4)   2.17%   0.83%   2.50%   2.00%   1.54%
Portfolio Turnover Rate   306% (3)   186%   127%   117%   114%   195%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(2)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(3)Not annualized.

 

(4)Annualized.

 

(5) Ratio of gross operating expenses to average net assets excluding interest expense (2)   2.31% (4)   1.83%   1.86%   2.22%   2.50%   2.50%
                               
(6) Ratio of net operating expenses to average net assets excluding interest expense (2)   1.48% (4)   1.48%   1.48%   1.49%   1.49%   1.49%
                               
(7) Ratio of gross operating expenses to average net assets excluding interest expense (2)   2.25% (4)   1.83%   1.63%   2.22%   2.50%   2.38%
                               
(8) Ratio of net operating expenses to average net assets excluding interest expense (2)   1.11% (4)   1.11%   1.11%   1.12%   1.32%   1.39%
                               
(9)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

See accompanying notes to financial statements.

35

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)

 

   Easterly Income Opportunities Fund 
   Class A 
   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   May 31,   November 30,   November 30,   November 30,   November 30,   November 30, 
   2023   2022   2021   2020   2019   2018 (1) 
   (Unaudited)                     
Net Asset Value, Beginning of Year/Period  $10.00   $11.26   $11.35   $10.68   $10.16   $10.00 
Income (Loss) from Investment Operations:                              
Net investment income (2)   0.23    0.32    0.36    0.42    0.41    0.10 
Net realized and unrealized gain   0.05    (1.07)   0.24    0.95    0.46    0.06 
Total from investment operations   0.28    (0.75)   0.60    1.37    0.87    0.16 
Dividends and Distributions:                              
Dividends from net investment income   (0.38)   (0.34)   (0.38)   (0.52)   (0.34)    
Distributions from realized gains       (0.17)   (0.31)   (0.18)   (0.01)    
Total dividends and distributions   (0.38)   (0.51)   (0.69)   (0.70)   (0.35)    
Redemption Fees                   0.00 **    
                               
Net Asset Value, End of Year/Period  $9.90   $10.00   $11.26   $11.35   $10.68   $10.16 
                               
Total Return*   2.82%   (6.84)% #   5.44% #   13.54% #   8.67% #   1.60%
Ratios and Supplemental Data:                              
Net assets, end of year (000s)  $11,719   $11,247   $15,664   $12,466   $435   $19 
Ratio of gross operating expenses to average net assets including interest expense (5,6)   1.91% (3)   1.86%   1.86%   2.01%   2.38%   2.18% (3)
Ratio of net operating expenses to average net assets including interest expense (5,7)   1.82% (3)   1.80%   1.76%   1.79%   1.74%   1.74% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)   4.60% (3)   3.01%   3.18%   3.89%   3.84%   3.27% (3)
Portfolio Turnover Rate   60% (4)   77%   84%   132%   111%   37% (4)
                               
   Easterly Income Opportunities Fund 
   Class C 
   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   May 31,   November 30,   November 30,   November 30,   November 30,   November 30, 
   2023   2022   2021   2020   2019   2018 (1) 
   (Unaudited)                     
Net Asset Value, Beginning of Year/Period  $9.76   $11.00   $11.10   $10.45   $10.16   $10.00 
Income (Loss) from Investment Operations:                              
Net investment income (2)   0.19    0.23    0.27    0.33    0.32    0.10 
Net realized and unrealized gain   0.05    (1.04)   0.24    0.93    0.31    0.06 
Total from investment operations   0.24    (0.81)   0.51    1.26    0.63    0.16 
Dividends and Distributions:                              
Dividends from net investment income   (0.34)   (0.26)   (0.30)   (0.43)   (0.33)    
Distributions from realized gains       (0.17)   (0.31)   (0.18)   (0.01)    
Total dividends and distributions   (0.34)   (0.43)   (0.61)   (0.61)   (0.34)    
Redemption Fees                        
                               
Net Asset Value, End of Year/Period  $9.66   $9.76   $11.00   $11.10   $10.45   $10.16 
                               
Total Return*   2.50%   (7.50)%   4.71%   12.62%   6.24% #   1.60%
Ratios and Supplemental Data:                              
Net assets, end of year (000s)  $3,751   $4,467   $5,616   $3,262   $1,468   $0 ***
Ratio of gross operating expenses to average net assets including interest expense (5,8)   2.67% (3)   2.61%   2.61%   2.81%   3.11%   3.01% (3)
Ratio of net operating expenses to average net assets including interest expense (5,9)   2.57% (3)   2.55%   2.51%   2.54%   2.49%   2.49% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)   3.86% (3)   2.28%   2.41%   3.12%   3.09%   3.27% (3)
Portfolio Turnover Rate   60% (4)   77%   84%   132%   111%   37% (4)
                               
(1)Class A and Class C commenced operations on August 14, 2018. Start of performance is August 21, 2018.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(3)Annualized.

 

(4)Not annualized.

 

(5)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(6) Ratio of gross operating expenses to average net assets excluding interest expense (5)   1.83% (3)   1.79%   1.83%   1.96%   2.38%   2.18% (3)
                               
(7) Ratio of net operating expenses to average net assets excluding interest expense (5)   1.73% (3)   1.73%   1.73%   1.74%   1.74%   1.74% (3)
                               
(8) Ratio of gross operating expenses to average net assets excluding interest expense (5)   2.58% (3)   2.54%   2.58%   2.76%   3.11%   3.01% (3)
                               
(9) Ratio of net operating expenses to average net assets excluding interest expense (5)   2.48% (3)   2.48%   2.48%   2.49%   2.49%   2.49% (3)
                               
(10)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

***Less than 1,000.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes to financial statements.

36

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)

 

   Easterly Income Opportunities Fund 
   Class I 
   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   May 31,   November 30,   November 30,   November 30,   November 30,   November 30, 
   2023   2022   2021   2020   2019   2018 (1) 
   (Unaudited)                     
Net Asset Value, Beginning of Year/Period  $9.76   $11.00   $11.10   $10.46   $10.15   $10.00 
Income (Loss) from Investment Operations:                              
Net investment income (2)   0.23    0.34    0.38    0.44    0.40    0.07 
Net realized and unrealized gain   0.06    (1.05)   0.23    0.93    0.30    0.08 
Total from investment operations   0.29    (0.71)   0.61    1.37    0.70    0.15 
Dividends and Distributions:                              
Dividends from net investment income   (0.39)   (0.36)   (0.40)   (0.55)   (0.38)    
Distributions from realized gains       (0.17)   (0.31)   (0.18)   (0.01)    
Total dividends and distributions   (0.39)   (0.53)   (0.71)   (0.73)   (0.39)    
Redemption Fees                   0.00 **   0.00 **
                               
Net Asset Value, End of Year/Period  $9.66   $9.76   $11.00   $11.10   $10.46   $10.15 
                               
Total Return*   3.03%   (6.58)%   5.74%   13.80%   6.97%   1.50%
Ratios and Supplemental Data:                              
Net assets, end of year (000s)  $229,581   $206,630   $215,003   $112,226   $4,982   $1,007 
Ratio of gross operating expenses to average net assets including interest expense (5,6)   1.66% (3)   1.61%   1.61%   1.79%   1.99%   2.01% (3)
Ratio of net operating expenses to average net assets including interest expense (5,7)   1.57% (3)   1.55%   1.51%   1.54%   1.49%   1.49% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)   4.85% (3)   3.29%   3.40%   4.11%   3.88%   2.30% (3)
Portfolio Turnover Rate   60% (4)   77%   84%   132%   111%   37% (4)
                               
   Easterly Income Opportunities Fund 
   Class R6 
   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   May 31,   November 30,   November 30,   November 30,   November 30,   November 30, 
   2023   2022   2021   2020   2019   2018 (1) 
   (Unaudited)                     
Net Asset Value, Beginning of Year/Period  $9.93   $11.15   $11.20   $10.51   $10.16   $10.00 
Income (Loss) from Investment Operations:                              
Net investment income (2)   0.26    0.38    0.43    0.48    0.43    0.07 
Net realized and unrealized gain   0.06    (1.07)   0.23    0.94    0.31    0.08 
Total from investment operations   0.32    (0.69)   0.66    1.42    0.74    0.15 
Dividends and Distributions:                              
Dividends from net investment income   (0.39)   (0.36)   (0.40)   (0.55)   (0.38)    
Distributions from realized gains       (0.17)   (0.31)   (0.18)   (0.01)    
Total dividends and distributions   (0.39)   (0.53)   (0.71)   (0.73)   (0.39)    
Redemption Fees                   0.00 **   0.01 
                               
Net Asset Value, End of Year/Period  $9.86   $9.93   $11.15   $11.20   $10.51   $10.16 
                               
Total Return*   3.28%   (6.30)%   6.16%   14.23%   7.36%   1.60%
Ratios and Supplemental Data:                              
Net assets, end of year (000s)  $93,132   $92,994   $61,289   $62,369   $30,209   $34,604 
Ratio of gross operating expenses to average net assets including interest expense (5,8)   1.66% (3)   1.61%   1.63%   1.80%   1.93%   1.87% (3)
Ratio of net operating expenses to average net assets including interest expense (5,9)   1.20% (3)   1.18%   1.14%   1.17%   1.13%   1.49% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)   5.22% (3)   3.68%   3.82%   4.51%   4.11%   2.27% (3)
Portfolio Turnover Rate   60% (4)   77%   84%   132%   111%   37% (4)
                               
(1)Class I and Class R6 commenced operations on August 14, 2018. Start of performance is August 21, 2018.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(3)Annualized.

 

(4)Not annualized.

 

(5)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(6) Ratio of gross operating expenses to average net assets excluding interest expense (5)   1.58% (3)   1.54%   1.58%   1.74%   2.00%   2.01% (3)
                               
(7) Ratio of net operating expenses to average net assets excluding interest expense (5)   1.48% (3)   1.48%   1.48%   1.49%   1.49%   1.49% (3)
                               
(8) Ratio of gross operating expenses to average net assets excluding interest expense (5)   1.58% (3)   1.54%   1.61%   1.75%   1.93%   1.87% (3)
                               
(9) Ratio of net operating expenses to average net assets excluding interest expense (5)   1.11% (3)   1.11%   1.11%   1.12%   1.13%   1.49% (3)
                               
(10)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes to financial statements.

37

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Unaudited)

 

1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

James Alpha Fund Trust dba Easterly Funds Trust (the “Trust”) was organized in 2020, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust currently consists of six series. These financial statements include the following two series: The Easterly Total Hedge Portfolio and Easterly Income Opportunities Fund.

 

The Easterly Total Hedge Portfolio and Easterly Income Opportunities Fund are diversified funds.

 

Easterly Funds LLC serves as the Funds’ Advisor. Orange Investment Advisors LLC serves as Easterly Income Opportunities Fund’s Sub-Advisor.

 

Fund  Primary Objective
Easterly Total Hedge  Long-term risk adjusted returns relative to traditional financial market indices.
Easterly Income Opportunities  High level of risk adjusted current income and capital appreciation with a secondary objective of capital preservation.

 

Currently, Easterly Income Opportunities Fund offers Class A, Class C, Class I and Class R6 shares and Easterly Total Hedge Portfolio offers Class I and Class R6. Class A shares are offered at net asset value plus a maximum sales load of 2.00%. Class C shares are offered subject to a CDSC of 1.00%. Class I and Class R6 shares are offered at net asset value. Each class represents an interest in the same assets of the applicable Fund, and the classes are identical except for differences in their sales charge structures, ongoing service and distribution charges. Class R6 shares are only available to certain qualified investors and the minimum initial investment will vary depending on the type of qualified investor. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Funds’ income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

The following is a summary of significant accounting policies followed by the Funds in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”.

 

(a) Valuation of Investments

 

Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. Debt securities may be valued at prices supplied by the Funds’ pricing services based on broker or dealer supplied valuations or matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees (the “Board”). There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Valuation Designee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.

 

Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. Easterly and the sub-adviser to the Easterly Income Opportunities Fund may, in their discretion, value an odd lot fixed income security at what Easterly and the sub-adviser believe is a fair price and not the pricing service price if Easterly and the sub-adviser deem the price provided by the pricing service to not represent its fair value.

 

Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds.

 

Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.

 

The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

38

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Continued) (Unaudited)

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of May 31, 2023, for the Fund’ assets and liabilities measured at fair value:

 

Easterly Total Hedge 
                 
Assets*  Level 1   Level 2   Level 3   Total 
Exchange-Traded Funds  $3,802   $   $   $3,802 
Total Assets  $3,802   $   $   $3,802 
                     
Easterly Income Opportunities 
                 
Assets*  Level 1   Level 2   Level 3   Total 
Asset Backed Securities  $   $244,145,766   $   $244,145,766 
Corporate Bonds       40,260,593        40,260,593 
Non U.S. Government & Agencies       928,016        928,016 
U.S. Government & Agencies       15,855,608        15,855,608 
Short-term Investments       14,782,948        14,782,948 
Interest Rate Swap       4,044,698        4,044,698 
Total Assets  $   $320,017,629   $    320,017,629 
Asset Derivatives                    
Credit Default Swap**  $   $4,018,980   $   $4,018,980 
Futures**   16,964            16,964 
Total Liabilities  $16,964   $4,018,980   $   $4,035,944 

 

There were no level 3 securities held during the year.

 

*Refer to the Schedules of Investments for industry or category classifications.

 

**Amounts shown for swaps and futures are unrealized appreciation/depreciation.

 

Consolidation of Subsidiaries – James Alpha Total Hedge Cayman Fund Ltd (Easterly Total Hedge-CFC). The Consolidated Portfolios of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and the Consolidated Financial Highlights of the Fund include the accounts of Easterly Total Hedge, which include the accounts of Easterly Total Hedge-CFC, which is a wholly-owned and controlled foreign subsidiary. All inter-company accounts and transactions have been eliminated in consolidation. The Fund may invest up to 25% of their total assets in a controlled foreign corporation (“CFC”), which acts as an investment vehicle in order to affect certain investments consistent with the Funds’ investment objectives and policies.

 

A summary of each Fund’s investment in its respective CFC is as follows:

 

  Inception Date of CFC Net Assets as of % of Net Assets as of
  CFC May 31, 2023 May 31, 2023
Easterly Total Hedge - CFC 10/13/2016 0 0.00%

 

For tax purposes, the CFC is an exempted Cayman investment companies. The CFC has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the CFC is a controlled foreign corporation which generates and is allocated no income which is considered effectively connected with U.S. trade of business and as such is not subject to U.S. income tax. However, as a wholly-owned controlled foreign corporation, the CFCs net income and capital gain, to the extent of its earnings and profits, will be included each year in the respective Fund’s investment company taxable income.

 

(b) Federal Income Tax

 

It is each Fund’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended November 30, 2020 to November 30, 2022, or expected to be taken in the Funds’ November 30, 2023 year-end tax returns.

39

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Continued) (Unaudited)

 

The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in the Funds’ November 30, 2023 year-end tax returns. The Funds identify its major tax jurisdictions as U.S. Federal, New York and foreign jurisdictions where the Funds make significant investments. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the six months ended May 30, 2023, the Funds did not incur any interest or penalties.

 

(c) Security Transactions and Other Income

 

Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. All paydown gains and losses are classified as interest income in the accompanying Statements of Operations in accordance with U.S. GAAP. Discounts and premiums on securities purchased are accreted and amortized, over the lives of the respective securities with a corresponding increase/decrease in the cost basis of that security using the yield to maturity method, or where applicable, the first call date of the security. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

 

(d) Dividends and Distributions

 

The following table summarizes each Fund’s intended dividend and capital gain declaration policy:

 

Fund  Income Dividends     Capital Gains
Easterly Total Hedge  Annually  Annually
Easterly Income Opportunities  Monthly  Annually

 

Each Fund records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Fund.

 

(e) Allocation of Expenses

 

Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

 

(f) Indemnification

 

The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

 

(g) Other

 

The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

 

Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

 

The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

 

Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

 

Foreign currency contracts. Certain Funds may enter into foreign currency exchange contracts. Because various Funds may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments

Market Disruptions Risk. The Fund is subject to investment and operational risks associated with financial, economic and other global-market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID 19), which can negatively impact the securities markets and cause the Fund to lose value.

40

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Continued) (Unaudited)

 

2.MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES

 

(a) Easterly Funds LLC acts as investment manager for the Funds pursuant to the terms of a Management Agreement with the Trust, on behalf of the Funds (the “Management Agreement”). Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund’s portfolios. Easterly Funds LLC serves the Funds in a supervision capacity with responsibility to monitor the performance of the Funds’ outside service providers, assist in the review of financial statements and other regulatory filings and board meeting materials related to each Fund. The management fees are payable to Easterly Funds LLC monthly by each Fund and are computed daily as shown in the table below. The Funds’ subadvisors are paid by the manager, not the Funds.

 

(b) Pursuant to an operating expense limitation agreement between Easterly Funds LLC and the Funds, Easterly Funds LLC has contractually agreed to waive all or a portion of its advisory fee and/or pay expenses of the Fund so that total annual Fund operating expenses (excluding front-end and contingent deferred sales loads, leverage, interest and tax expenses, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) do not exceed the expense limitation shown in the table below, and is based on the Funds’ average daily net assets. This operating expense limitation agreement cannot be terminated during its term. Easterly Funds LLC is permitted to seek reimbursement from the Fund, subject to limitations, for management fees waived and Fund expenses it paid within three (3) years of the end of the fiscal year in which such management fees were waived or expenses paid, as long as the reimbursement does not cause the Fund’s operating expenses to exceed (i) the expense cap in place at the time the fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less. The expense limitation agreement will be in effect through March 31, 2024.

 

                      Management 
                      Fee Waived/ 
   Management   Expenses Limitation     Expenses Reimbursed 
Fund  Agreement   Cl A  Cl C  Cl I  CL R6  Expires  YTD 5/30/2023 
Easterly Total Hedge   1.00%  N/A  N/A  1.48%  1.11%  3/31/2024   129,972 
Easterly Income Opportunities   1.20%  1.73%  2.48%  1.48%  1.11%  3/31/2024   325,347 

 

The following table shows the available waived expenses and expiration date for each Fund subject to potential recovery.

 

Fund  11/30/2023   11/30/2024   11/30/2025 
Easterly Total Hedge  $96,283   $101,288   $194,686 
Easterly Income Opportunities   441,960    472,087    552,449 

 

(c) Ultimus Fund Distributors, LLC (“UFD”) is the Trust’s Distributor. The Trust with respect to Easterly Income Opportunities has adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Funds. The Plan provides that the Fund will pay UFD and other entities, including a broker-dealer affiliate of the Adviser, are paid pursuant to the Plans provided and the expenses borne by the distributor and others in the distribution of Fund shares a fee, which is accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of Class A shares and 1.00% of the average daily net assets of each of the Funds’ Class C shares. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets.

 

For the six months ended, May 31, 2023, UFD received sales charges on sales of the Funds’ Class A shares.

 

Fund  UFD Sales Charges 
   Class A 
Easterly Income Opportunities   7,795 

 

(d) Ultimus Fund Solutions, LLC (“UFS”), an affiliate of UFD provides administrative, fund accounting and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.

 

In addition, certain affiliates of the Distributor provide services to the Trust as follows:

 

Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

 

Certain employees of UFS and NLCS are also officers of the Trust, and are not paid any fees directly by the Trust for serving in such capacity.

41

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Continued) (Unaudited)

 

(e) Affiliated Investments — The Funds’ transactions with affiliates represent holdings for which the respective Fund and the underlying investee fund have the same investment advisor or where the investee fund’s investment advisor is under common control with the Fund’s investment advisor. Companies which are affiliates of the Funds at May 31, 2023, are noted in the Fund’s Schedule of Investments.

 

                          Change in     
      Value at           Realized   Dividend   Unrealized   Value at 
Fund  Affiliated Holding  11/30/22   Purchases   Sales   Gain/(Loss)   Income   Gain/(Loss)   5/31/23 
Easterly Total Hedge  Easterly Hedged Equity Fund, Cl R6  $953,447   $21,565   $(967,311)  $(57,118)  $70,183   $49,418    -$ 
   Easterly Income Opportunities Fund, Cl R6   1,993,677    78,460    (2,059,564)   (256,936)       252,640     

 

3.INVESTMENT TRANSACTIONS

 

(a) For the six months ended May 31, 2023, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Funds were as follows:

 

Fund  Purchase   Sales 
Easterly Total Hedge  $67,321,883   $90,798,467 
Easterly Income Opportunities   241,979,676    181,191,958 

 

(b) Other Investment Companies or Exchange Traded Funds – Certain Funds may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a Fund of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire Fund of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Fund invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Fund invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Fund bears directly in connection with its own operation, the Fund also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.

 

(c) Futures Contracts Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized gains and losses. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, a Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. For the six months ended May 31, 2023, Easterly Income Opportunities invested in futures.

 

(d) Swap Agreements – Certain Funds are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), commodity or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive. The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at May 31, 2023, were as follows:

 

         Location of derivatives on    
         Statements of Assets and  Fair value of asset/liability 
Fund  Derivative  Risk Type  Liabilities  derivatives 
Easterly Income Opportunities        
   Swap Contracts  Interest Rate  Unrealized appreciation on swaps  $4,018,980 
   Futures  Interest Rate  Unrealized appreciation on futures   16,964 
         Totals  $4,035,944 

42

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Continued) (Unaudited)

 

The effect of derivative instruments on the Statements of Operations for the six months ended May 31, 2023, were as follows:

 

            Realized and unrealized 
Portfolio  Derivative  Location of gain (loss) on derivatives  Risk Type  gain (loss) on derivatives 
Easterly Total Hedge        
   Swap Contracts        
      Net realized loss on swaps  Equity  $(6,914)
      Net change in unrealized (depreciation) on swaps  Equity  $(246,004)
   Forward Contracts        
      Net realized loss from investments and foreign currency transactions  Foreign Exchange  $(43,842)
      Net change in unrealized appreciation on investments and forward currency contracts  Foreign Exchange  $2,147 
               
Easterly Income Opportunities        
   Swap Contracts        
      Net realized gain on swaps  Interest Rate  $860,306 
      Net change in unrealized (depreciation) on swaps  Interest Rate  $(691,151)
   Futures        
      Net realized gain from futures  Interest Rate  $274,557 
      Net change in unrealized appreciation on futures  Interest Rate  $16,964 

 

The amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

 

The following table presents the Funds’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of May 31, 2023.

 

       Gross Amounts not offset in
the Statements of Assets and
     
       Liabilities     
   Gross Amounts
Recognized in
           Net Amount of 
   Statements of
Assets and Liabilities
   Financial
Instruments Pledged
   Cash
Collateral Pledged *
   Assets
(Liabilities)
 
Easterly Income Opportunities                    
Description of Asset:                    
Credit Default Swap  $4,018,980       $4,018,980   $ 
Total  $4,018,980   $   $4,018,980   $ 

 

*Excess collateral not included.

 

4.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

   Cost for           Tax Net 
   Federal Tax   Unrealized   Unrealized   Unrealized 
Portfolio  Purposes   Appreciation   Depreciation   App/Dep 
Easterly Total Hedge  $237,429   $   $(233,627)  $(233,627)
Easterly Income Opportunities   345,922,852    7,444,362    (37,394,283)   (29,949,921)

 

5.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of fund distributions paid for the years ended November 30, 2022, and November 30, 2021, was as follows:

 

   For the period ended November 30, 2022: 
   Ordinary   Long-Term   Return     
Portfolio  Income   Capital Gains   Of Capital   Total 
Easterly Total Hedge  $1,646,505   $741,617   $   $2,388,122 
Easterly Income Opportunities   13,855,861    2,521,242        16,377,103 
                     
   For the period ended November 30, 2021: 
   Ordinary   Long-Term   Return     
Portfolio  Income   Capital Gains   Of Capital   Total 
Easterly Total Hedge  $   $   $   $ 
Easterly Income Opportunities   14,323,193    79,467        14,402,660 

 

*The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $11,564 for the Easterly Total Hedge Fund for the fiscal year ended November 30, 2022, and $2,838 for fiscal year ended November 30, 2021, for the Easterly Total Hedge Fund, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes.

43

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
(Consolidated with respect to the Easterly Total Hedge Portfolio)
Six Months Ended May 30, 2023 (Continued) (Unaudited)

 

As of November 30, 2022, the components of accumulated earnings/ (deficit) on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
Portfolio  Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Easterly Total Hedge  $443,176   $   $   $(1,727,794)  $   $(2,577,163)  $(3,861,781)
Easterly Income Opportunities   5,068,705            (2,091,868)       (32,429,306)   (29,452,469)

 

The difference between book basis and tax basis undistributed net investment income (loss), accumulated net realized gains (losses), and unrealized appreciation/(depreciation) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on open forward foreign currency contracts, 1256 options, swaps and passive foreign investment companies, and adjustments for partnerships, contingent convertible debt securities, and C-Corporation return of capital distributions. The unrealized appreciation/(depreciation) in the table above includes unrealized foreign currency gains (losses) of $(2,198) and $(614) for the Easterly Total Hedge and the Easterly Income Opportunities Fund, respectively.

 

At November 30, 2022, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains, as follows:

 

   Non-             
   Expiring   Non-Expiring   CLCF     
Portfolio  Short-Term   Long-Term   Total   Utilized 
Easterly Total Hedge  $1,583,032   $144,762   $1,727,794   $ 
Easterly Income Opportunities   869,218    1,222,650    2,091,868     

 

6.BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of the Fund under Section 2(a)(9) of the 1940 Act. As of May 31, 2023, the shareholders that own 25% or more of the voting securities are as follows:

 

Fund Shareholder Ownership %
Easterly Total Hedge Dennis Nayden 35.17%
  National Financial Services, In 44.03%

 

7.LINE OF CREDIT

 

Currently, the Easterly Income Opportunities Fund has a $33,000,000 line of credit provided by Cogent Bank (the “Bank”) under an agreement (the “Line of Credit”). Any advance under the Line of Credit is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable Monthly. There were no borrowings outstanding for the six months ended.

 

8.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred other than the below requiring adjustment or disclosure in the financial statements.

 

On May 15, 2023, the Board, based upon the recommendation of the Advisor authorized the liquidation of the Easterly Total Hedge. The Portfolio distributed the liquidation proceeds to shareholders of record on June 12, 2023.

44

 

SUPPLEMENTAL INFORMATION (Unaudited)

 

Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.

 

This example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from December 1, 2022 through May 31, 2023.

 

Actual Expenses: The first table provides information about actual account values and actual expenses. The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period. Simply divide account value by $1,000 (for example, an $8,600 account value divided by $ 1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.

 

   Beginning Account  Ending Account  Expense Paid  Expense Ratio
   Value - 12/01/2022    Value - 05/31/2023    12/01/2022-05/31/2023*    [Annualized]
Actual Expenses            
Easterly Total Hedge - Class I  1,000.00  977.20  7.30  1.48%
Easterly Total Hedge - Class R6  1,000.00  979.50  5.48  1.11%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class A  1,000.00  1,028.20  8.75  1.73%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class C  1,000.00  1,025.00  12.52  2.48%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class I  1,000.00  1,030.30  7.49  1.48%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class R6  1,000.00  1,032.80  5.63  1.11%

 

Hypothetical Examples for Comparison Purposes: The second table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. This information may be used to compare the ongoing costs of investing in the fund and other mutual funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

 

   Beginning Account  Ending Account  Expense Paid  Expense Ratio
Hypothetical  Value - 12/01/2022    Value - 05/31/2023    12/01/2022-05/31/2023*    [Annualized]
[5% Return Before Expenses]            
Easterly Total Hedge - Class I  1,000.00  1,017.55  7.44  1.48%
Easterly Total Hedge - Class R6  1,000.00  1,019.40  5.59  1.11%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class I  1,000.00  1,017.55  7.44  1.48%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class A  1,000.00  1,016.31  8.70  1.73%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class C  1,000.00  1,012.57  12.44  2.48%
Easterly Income Opportunity (Formerly, Easterly Structured Credit Value) - Class R6  1,000.00  1,019.40  5.59  1.11%

 

*Expenses are equal to the Funds annualized expense ratio multiplies by the number of days in the period (182) divided by the number of days in the fiscal year (365).

45

 

SUPPLEMENTAL INFORMATION (Unaudited)

 

On October 19, 2022, the Board of Trustees (the “Board”) of James Alpha Funds Trust dba Easterly Funds Trust (the “Trust”), a Delaware business trust, met to consider, among other things, (i) the renewal of the investment management agreements between the Trust, on behalf of the Easterly Total Hedge Portfolio (“Total Hedge Portfolio”) and Easterly Income Opportunities Fund (“Income Opportunities Fund”) (each a “Fund” and collectively the “Funds”), and Easterly Funds LLC (“Easterly”) (the “Investment Management Agreements”) and (ii) the renewal of the sub-advisory agreement for the Income Opportunities Fund between Easterly and Orange Investment Advisors, LLC (the “Sub-Adviser”) (the “Sub-Advisory Agreement,” and together with the Investment Management Agreements, the “Advisory Agreements”).

 

In the course of consideration of the approval of the Advisory Agreements, the Independent Trustees received materials discussing the legal standards applicable to their consideration of the Advisory Agreements. Prior to voting, the Independent Trustees met with and asked questions of representatives of Easterly and the Sub-Adviser.

 

In considering the renewal of the Advisory Agreements and reaching their conclusion with respect to the Advisory Agreements, the Board took note of relevant judicial precedent that set forth factors to be considered by a board when evaluating investment advisory agreements. These include, but are not limited to, the following: (i) the nature, extent, and quality of the services to be provided to the Funds; (ii) information comparing the investment performance, advisory fees and operating expense ratio of each Fund to other funds; (iii) information about profits to be realized by Easterly and its affiliates from the relationship with the Funds; (iv) the extent to which economies of scale would be realized as each Fund grows; and (v) whether fee levels reflect these economies of scale for the benefit of the Funds’ investors.

 

As part of the contract renewal process, the Board reviewed and considered information provided in response to a detailed request for information submitted to management by the Independent Trustees and received presentations from Easterly and the Sub-Adviser. The Board also took into account information provided to the Board throughout the year in considering whether to approve each Advisory Agreement. The Board, including the Independent Trustees, considered a variety of factors, including those described below. The Board also considered other factors and did not treat any single factor as determinative, and each Trustee may have attributed different weights to different factors. The Independent Trustees also had an opportunity to discuss the materials presented and any issues raised by Easterly’s and the Sub-Adviser’s presentations. After evaluating the factors discussed below, among others, the Board approved the renewal of the Advisory Agreements and determined that the compensation payable thereunder by each Fund to Easterly and by Easterly to the Sub-Adviser is fair and reasonable.

 

Nature, Extent and Quality of Services. In considering the renewal of the Investment Management Agreements with Easterly, the Board considered the nature, extent and quality of services that Easterly provided to the Funds, including Easterly’s personnel and resources and Easterly’s criteria for reviewing a sub-adviser’s performance. The Board reviewed the services Easterly provided in serving as investment adviser and the backgrounds of the personnel providing services to the Funds, including portfolio managers. They also reviewed information provided regarding risk management and compliance and regulatory matters. The Board acknowledged Easterly’s efforts and resources with respect to various regulatory initiatives, including with respect to derivatives and valuation. The Board also considered Easterly’s financial position and the entrepreneurial risk that Easterly was undertaking to maintain its financial commitment to the Funds while certain Funds were sub-scale. The Board considered the investment management services that Easterly provided to the Cayman Islands based company that is wholly owned by the Total Hedge Portfolio (“Cayman Subsidiary”). The Board concluded that the services Easterly provided were satisfactory.

 

In considering the approval of the Sub-Advisory Agreement between the Income Opportunities Fund and the Sub-Adviser, the Board considered the nature, extent and quality of services the Sub-Adviser provided under the Sub-Advisory Agreement. The Board reviewed the services the Sub-Adviser provided, the background of the investment professionals servicing the Fund, and the Sub-Adviser’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters. The Board concluded that the services the Sub-Adviser provided were satisfactory.

 

Performance. The Board reviewed performance information that Easterly provided for each share class of each Fund compared to the performance of: (a) funds in the Fund’s respective peer universe (the “Peer Group”) (which is comprised of the funds in a Fund’s Morningstar category); and (b) the Fund’s respective benchmark index (the “Benchmark Index”) for the month-to-date, quarter-to-date, year-to-date, and one-, three-, and five-year periods, as applicable, ended September 23, 2022. The Board also received information on the construction of a Fund’s Peer Group.

 

Total Hedge Portfolio: The Board reviewed the Fund’s total returns compared to the total returns of its Peer Group and its Benchmark Index (HFRI Fund Weighted Composite Index). The Board considered the performance of the Fund against its Peer Group and its Benchmark Index for the month-to-date, quarter-to-date, year-to-date, and one-, three-, and five-year periods. In considering the Fund’s performance, the Board considered management’s explanation of structural and idiosyncratic factors impacting performance, and noted prior discussions regarding upcoming changes to the Fund’s strategy. The Board concluded that the performance of the Fund was satisfactory.

 

Income Opportunities Fund: The Board reviewed the Fund’s total returns compared to the total returns of its Peer Group and its Benchmark Index (Bloomberg US Aggregate Bond Index). The Board considered the performance of the Fund against its Peer Group and its Benchmark Index for the month-to-date, quarter-to-date, year-to-date, and one-and three-year periods. The Board concluded that the performance of the Fund was satisfactory.

 

Advisory and Sub-Advisory Fees and Fund Expenses. The Board reviewed each Fund’s contractual advisory fee and expense ratio taking into account each Fund’s net asset size, and reviewed information comparing the advisory fee and expense ratio to those of each Fund’s respective Peer Group. The Board noted that Easterly had entered into an operating expense limitation agreement (“OELA”) to waive fees

46

 

SUPPLEMENTAL INFORMATION (Unaudited)

 

and/or limit expenses of the Funds in an amount necessary to limit total annual operating expenses to a specified percentage of average daily net assets for each share class of the Funds. The Board discussed the level of work involved in Easterly’s management and oversight of the Funds, including with respect to oversight of the Sub-Adviser, and the other services that Easterly provided to the Funds. The Board also considered the investment management services that Easterly provided to the Cayman Subsidiary for the applicable Fund and the related fee waivers that were in place.

 

The Board considered the sub-advised Fund’s sub-advisory fee schedule. The Board noted that the fee schedule was negotiated at arm’s length between Easterly and the Sub-Adviser, an unaffiliated third party. The Board also evaluated the reasonableness of the fee split between Easterly and the Sub-Adviser. The Board considered the nature and scope of the services provided by Easterly, including (i) ongoing monitoring of performance, (ii) supervision of outside service providers, (iii) responding to questions from brokers and sub-advisers, and (iv) research of sub-advisers and potential replacement sub-advisers to present to the Board for their consideration. The Board also considered that with respect to the more complex Funds, these services are expected to be more resource intensive for Easterly. The Board noted that the sub-advisory fees are paid by Easterly to the Sub-Adviser and are not additional fees borne by the Fund. In light of the nature, quality and extent of services Easterly and the Sub-Adviser provided, the Board concluded that each Fund’s advisory fee and sub-advisory fee, as applicable, was fair and reasonable.

 

Economies of Scale. The Board considered the extent to which there may be economies of scale in the provision of advisory services to the Funds, and the extent to which such economies of scale are shared with the Funds. The Board noted that Easterly had indicated its willingness to discuss the matter of breakpoints with the Board as each Fund increased its assets. The Board noted that the Funds may also benefit from economies of scale through initial fee setting and fee waivers and expense reimbursements. The Board agreed that in light of the OELAs, which effectively protected shareholders from high expenses despite lower asset levels, and Easterly’s willingness to consider breakpoints as each Fund reached higher asset levels, the absence of breakpoints was acceptable.

 

Profitability. The Board reviewed the profitability of Easterly with respect to each Fund on an individual fund-by-fund basis and in the aggregate. The Board considered the methodology for calculating profitability. Using such methodology, the Board noted that Easterly earned a profit from the Income Fund and experienced a loss from the Total Hedge Portfolio, in each case without considering marketing related costs. The Board noted Easterly’s marketing-related expenses for the previous 12 months exceeded 88% of Easterly’s profit in managing all Easterly Funds. The Board concluded that the profitability of Easterly in connection with the management of each Fund was not excessive given the nature, extent and quality of the services provided.

 

Fallout Benefits. Because of its relationship with the Funds, Easterly, the Sub-Adviser, and their affiliates may derive ancillary benefits from Fund operations, including those derived from the allocation of Fund brokerage and the use of commission dollars to pay for research and other similar services (as applicable). The Board reviewed information provided by Easterly and the Sub-Adviser as to any such benefits.

 

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the compensation to be paid under the Advisory Agreements are fair and reasonable, and that the continuance of the Advisory Agreements be approved.

47

 

PRIVACY NOTICE

 

JAMES ALPHA FUNDS TRUST dba EASTERLY FUNDS TRUST

 

March 2021

 

FACTS WHAT DOES JAMES ALPHA FUNDS TRUST dba EASTERLY FUNDS TRUST DO WITH YOUR PERSONAL INFORMATION?
   
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
   
What?

The types of personal information we collect and share depends on the product or service that you have with us. This information can include:

 

●    Social Security number and wire transfer instructions   

 

●    account transactions and transaction history   

 

●    investment experience and purchase history

 

When you are no longer our customer, we continue to share your information as described in this notice.

   
How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons James Alpha Funds Trust chooses to share; and whether you can limit this sharing.
   
Reasons we can share your personal
information:
Does James Alpha Funds Trust
dba Easterly Funds Trust
share information?
Can you limit
this sharing?

For our everyday business purposes -

such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.

YES NO

For our marketing purposes -

to offer our products and services to you.

YES YES
For joint marketing with other financial companies. NO We don’t share

For our affiliates’ everyday business purposes -

information about your transactions and records.

NO We don’t share

For our affiliates’ everyday business purposes -

information about your credit worthiness.

NO We don’t share
For nonaffiliates to market to you NO We don’t share
     
QUESTIONS? Call (888) 814-8180    

48

 

What we do:
How does James Alpha Funds Trust dba Easterly Funds Trust protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

How does James Alpha Funds Trust dba Easterly Funds Trust collect my personal information?

We collect your personal information, for example, when you

 

●    open an account or deposit money

 

●    direct us to buy securities or direct us to sell your securities

 

●    seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

 

●    sharing for affiliates’ everyday business purposes – information about your creditworthiness.

 

●    affiliates from using your information to market to you.

 

●    sharing for nonaffiliates to market to you.

 

State laws and individual companies may give you additional rights to limit sharing.

 
Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

   James Alpha Funds Trust dba Easterly Funds Trust does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

   James Alpha Funds Trust dba Easterly Funds Trust does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

   James Alpha Funds Trust dba Easterly Funds Trust doesn’t jointly market.

49

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

How to Obtain Proxy Voting Information

 

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-888-672-4839 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

 

Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

 

EASTERLY-SAR23

 

 

 
 

Item 2. Code of Ethics. Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert. Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services. Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. See Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to

open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None.

 

Item 11. Controls and Procedures.

 

(a)       Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)       Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-Ended Management Investment Companies.

 

Not applicable

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certification(s) required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable.

 

 
 

(b) Certification(s) required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) The James Alpha Funds Trust

 

By (Signature and Title)

* /s/ Darrell Crate

Darrell Crate, President and Chief Executive Officer

 

Date 8/4/23

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

* /s/ Michael Montague Michael, Treasurer and Principal Financial Officer

 

Date 8/4/23

 

By (Signature and Title)

* /s/ Darrell Crate

Darrell Crate, President and Chief Executive Officer

 

Date 8/4/23

 

* Print the name and title of each signing officer under his or her signature.

 

 

 
 

Exhibit 99.CERT

 

CERTIFICATIONS

 

I, Darrell Crate, certify that:

 

1.       I have reviewed this report on Form N-CSR of the Easterly Total Hedge Portfolio and Easterly Income Opportunities Fund (each a series of the James Alpha Funds Trust);

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:

 

a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation;

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 8/4/23 /s/ Darrell Crate

Darrell Crate, President and Chief Executive Officer

 
 

 

I, Michael Montague, certify that:

 

1.       I have reviewed this report on Form N-CSR of the Easterly Total Hedge Portfolio and Easterly Income Opportunities Fund (each a series of the James Alpha Funds Trust);

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:

 

a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation;

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 8/4/23 /s/ Michael Monatgue

Michael Montague, Treasurer and Principal Financial Officer

 

EX-99.906CERT

 

 
 

 

certification

Darrell Crate, Chief Executive Officer, and Michael Montague, Principal Financial Officer of the James Alpha Funds Trust (the “Registrant”), each certify to the best of his or her knowledge that:

1.       The Registrant’s periodic report on Form N-CSR for the period ended May 31, 2023 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

2.       The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Chief Executive Officer Principal Financial Officer

James Alpha Funds Trust James Alpha Funds Trust

 

 

/s/ Darrell Crate /s/ Michael Montague

Darrell Crate Michael Montague

 

 

Date: 8/4/23 Date: 8/4/23

 

 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the James Alpha Funds Trust and will be retained by the James Alpha Funds Trust and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

 

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.