We could not find any results for:
Make sure your spelling is correct or try broadening your search.
Register for Free to get streaming real-time quotes, interactive charts, live options flow, and more.
| Name | Symbol | Market | Type |
|---|---|---|---|
| Priority Income Fund Inc | NYSE:PRIF-K | NYSE | Preference Share |
| Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.00 | 0.00% | 21.99 | 0 | 00:00:00 |
PRIORITY INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Equity Class (Cayman Islands) | ||||||||||||||||||||||||||
| AGL CLO 33, Ltd. | Subordinated Notes | 18.95 | % | 7/21/2037 | 7/5/2024 | $ | 12,500,000 | $ | 11,168,336 | $ | 11,115,847 | 1.7 | % | |||||||||||||
| AIMCO CLO 11, Ltd. | Subordinated Notes | 14.73 | % | 7/17/2037 | 4/4/2022 | 5,491,329 | 5,991,372 | 5,405,014 | 0.8 | % | ||||||||||||||||
| Apidos CLO XVIII-R(6) | Subordinated Notes | — | % | 10/22/2030 | 9/26/2018 | 410,000 | 457,215 | 400,492 | 0.1 | % | ||||||||||||||||
| Apidos CLO XX | Subordinated Notes | 3.73 | % | 7/16/2031 | 3/4/2020 | 12,500,000 | 7,215,978 | 6,873,528 | 1.1 | % | ||||||||||||||||
| Apidos CLO XXII(6) | Subordinated Notes | — | % | 4/21/2031 | 9/17/2015 | 9,894,611 | 6,083,020 | 5,400,367 | 0.8 | % | ||||||||||||||||
| Apidos CLO XXIV | Subordinated Notes | 11.11 | % | 10/21/2030 | 5/17/2019 | 12,214,397 | 6,860,807 | 6,944,772 | 1.1 | % | ||||||||||||||||
| Apidos CLO XXVI(6) | Subordinated Notes | — | % | 7/18/2029 | 7/25/2019 | 6,000,000 | 2,817,900 | 2,477,907 | 0.4 | % | ||||||||||||||||
| Bain Capital Credit CLO 2021-1, Ltd. | Subordinated Notes | 37.03 | % | 4/18/2034 | 5/16/2024 | 6,050,000 | 3,435,306 | 3,324,552 | 0.5 | % | ||||||||||||||||
| Bain Capital Credit CLO 2022-2, Ltd. | Subordinated Notes | 31.39 | % | 4/22/2035 | 6/18/2024 | 3,595,000 | 2,297,969 | 2,271,735 | 0.4 | % | ||||||||||||||||
| Barings CLO Ltd. 2015-I(6) | Subordinated Notes | — | % | 1/20/2031 | 4/1/2015 | 3,400,000 | 813,862 | 726,204 | 0.1 | % | ||||||||||||||||
| Barings CLO Ltd. 2018-III(6) | Subordinated Notes | — | % | 7/20/2029 | 10/10/2014 | 396,214 | 36,074 | 31,920 | 0.0 | % | ||||||||||||||||
| BlueMountain CLO 2013-2 Ltd.(6) | Subordinated Notes | — | % | 10/22/2030 | 10/1/2015 | 1,900,000 | 404,512 | 356,850 | 0.1 | % | ||||||||||||||||
| BlueMountain CLO XXVI Ltd. | Subordinated Notes | 15.99 | % | 10/20/2034 | 11/18/2021 | 8,906,000 | 8,324,386 | 7,342,179 | 1.1 | % | ||||||||||||||||
| BlueMountain CLO XXVIII Ltd. | Subordinated Notes | 17.87 | % | 4/17/2034 | 4/1/2022 | 3,300,000 | 3,100,151 | 2,898,626 | 0.5 | % | ||||||||||||||||
| BlueMountain CLO XXIX Ltd. | Subordinated Notes | 17.41 | % | 7/25/2034 | 12/15/2021 | 6,000,000 | 6,074,896 | 5,465,348 | 0.8 | % | ||||||||||||||||
| BlueMountain CLO XXXI Ltd. | Subordinated Notes | 18.28 | % | 4/19/2034 | 4/28/2022 | 5,000,000 | 4,586,890 | 4,307,772 | 0.7 | % | ||||||||||||||||
| BlueMountain CLO XXXII Ltd. | Subordinated Notes | 18.41 | % | 10/16/2034 | 2/18/2022 | 12,000,000 | 10,757,027 | 9,903,435 | 1.5 | % | ||||||||||||||||
| BlueMountain CLO XXXIV Ltd. | Subordinated Notes | 18.21 | % | 4/20/2035 | 3/23/2022 | 5,700,000 | 5,785,024 | 5,293,048 | 0.8 | % | ||||||||||||||||
| BlueMountain Fuji US CLO II Ltd.(6) | Subordinated Notes | — | % | 10/21/2030 | 8/22/2017 | 2,500,000 | 1,266,717 | 1,140,095 | 0.2 | % | ||||||||||||||||
| California Street CLO IX, Ltd. | Preference Shares | 16.36 | % | 7/16/2032 | 12/13/2019 | 4,670,000 | 2,225,410 | 2,252,810 | 0.3 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2013-1, Ltd.(6) | Subordinated Notes | — | % | 8/14/2030 | 6/23/2016 | 17,550,000 | 4,513,542 | 3,978,024 | 0.6 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2013-4, Ltd.(6) | Income Notes | — | % | 1/15/2031 | 12/22/2016 | 11,839,488 | 3,916,828 | 3,524,175 | 0.5 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2014-1, Ltd.(6) | Income Notes | — | % | 4/17/2031 | 2/25/2016 | 12,870,000 | 5,206,692 | 4,694,532 | 0.7 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2014-3-R, Ltd.(6) | Subordinated Notes | — | % | 7/28/2031 | 5/23/2018 | 15,000,000 | 7,957,663 | 7,214,046 | 1.1 | % | ||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Equity Class (Cayman Islands) | ||||||||||||||||||||||||||
| Carlyle Global Market Strategies CLO 2016-1, Ltd. | Subordinated Notes | 3.76 | % | 4/20/2034 | 3/16/2016 | $ | 6,844,556 | $ | 6,070,795 | $ | 4,747,066 | 0.7 | % | |||||||||||||
| Carlyle Global Market Strategies CLO 2016-3, Ltd. | Subordinated Notes | 5.58 | % | 7/20/2034 | 8/8/2016 | 3,245,614 | 2,900,774 | 2,434,093 | 0.4 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2017-2, Ltd. | Subordinated Notes | 1.34 | % | 7/20/2037 | 1/4/2022 | 4,450,000 | 2,823,600 | 1,662,046 | 0.3 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2017-4, Ltd.(6) | Income Notes | — | % | 1/15/2030 | 10/14/2021 | 9,107,000 | 4,334,978 | 3,877,823 | 0.6 | % | ||||||||||||||||
| Carlyle Global Market Strategies CLO 2017-5, Ltd.(6)(7) | Subordinated Notes | — | % | 1/22/2030 | 12/18/2017 | 10,000,000 | 4,906,546 | 4,388,731 | 0.7 | % | ||||||||||||||||
| Cedar Funding II CLO, Ltd. | Subordinated Notes | 11.64 | % | 4/20/2034 | 9/27/2017 | 2,500,000 | 2,395,494 | 2,020,535 | 0.3 | % | ||||||||||||||||
| Cedar Funding IV CLO, Ltd. | Subordinated Notes | 10.91 | % | 7/23/2034 | 6/19/2017 | 26,698,229 | 22,511,537 | 20,510,412 | 3.3 | % | ||||||||||||||||
| Cedar Funding V CLO, Ltd. | Subordinated Notes | 5.95 | % | 7/17/2031 | 10/15/2018 | 7,358,000 | 7,057,278 | 6,600,131 | 1.0 | % | ||||||||||||||||
| Cedar Funding VI CLO, Ltd. | Subordinated Notes | 13.20 | % | 4/20/2034 | 8/7/2017 | 6,722,117 | 6,871,259 | 5,908,517 | 0.9 | % | ||||||||||||||||
| Cedar Funding X CLO, Ltd. | Subordinated Notes | 18.35 | % | 10/20/2032 | 1/12/2022 | 10,775,000 | 10,313,182 | 10,100,884 | 1.6 | % | ||||||||||||||||
| Cedar Funding XI CLO, Ltd. | Subordinated Notes | 12.38 | % | 6/1/2032 | 7/12/2021 | 17,500,000 | 14,830,822 | 13,768,956 | 2.1 | % | ||||||||||||||||
| Cedar Funding XII CLO, Ltd. | Subordinated Notes | 16.83 | % | 10/25/2034 | 3/28/2022 | 3,300,000 | 3,223,770 | 3,034,152 | 0.5 | % | ||||||||||||||||
| Cedar Funding XIV CLO, Ltd. | Subordinated Notes | 13.97 | % | 7/15/2033 | 4/7/2022 | 10,000,000 | 8,612,378 | 8,189,294 | 1.3 | % | ||||||||||||||||
| Cedar Funding XV CLO, Ltd. | Subordinated Notes | 20.58 | % | 4/20/2035 | 7/25/2022 | 5,000,000 | 4,159,078 | 4,103,126 | 0.6 | % | ||||||||||||||||
| Cent CLO 21 Limited(6) | Subordinated Notes | — | % | 7/26/2030 | 5/15/2014 | 510,555 | — | 1,736 | 0.0 | % | ||||||||||||||||
| CIFC Falcon 2020, Ltd. | Subordinated Notes | 13.37 | % | 1/20/2033 | 5/14/2021 | 8,500,000 | 7,980,352 | 7,536,168 | 1.2 | % | ||||||||||||||||
| CIFC Funding 2013-I, Ltd.(6) | Subordinated Notes | — | % | 7/16/2030 | 6/1/2018 | 3,000,000 | 1,101,200 | 983,248 | 0.2 | % | ||||||||||||||||
| CIFC Funding 2013-II, Ltd.(6) | Income Notes | — | % | 10/18/2030 | 2/6/2014 | 305,000 | 85,212 | 76,637 | 0.0 | % | ||||||||||||||||
| CIFC Funding 2013-III-R, Ltd.(6) | Subordinated Notes | — | % | 4/24/2031 | 1/19/2021 | 4,900,000 | 1,621,580 | 1,459,552 | 0.2 | % | ||||||||||||||||
| CIFC Funding 2013-IV, Ltd.(6) | Subordinated Notes | — | % | 4/28/2031 | 3/15/2019 | 8,000,000 | 3,754,704 | 3,360,692 | 0.5 | % | ||||||||||||||||
| CIFC Funding 2014, Ltd.(6) | Income Notes | — | % | 1/21/2031 | 2/6/2014 | 2,758,900 | 950,187 | 853,314 | 0.1 | % | ||||||||||||||||
| CIFC Funding 2014-III, Ltd.(6) | Income Notes | — | % | 10/22/2031 | 11/14/2016 | 11,700,000 | 5,542,404 | 4,985,229 | 0.8 | % | ||||||||||||||||
| CIFC Funding 2014-IV-R, Ltd. | Income Notes | 10.16 | % | 1/17/2035 | 8/5/2014 | 4,833,031 | 3,417,869 | 2,776,043 | 0.4 | % | ||||||||||||||||
| CIFC Funding 2015-I, Ltd.(6) | Subordinated Notes | — | % | 1/22/2031 | 11/24/2015 | 7,500,000 | 2,575,416 | 2,325,011 | 0.4 | % | ||||||||||||||||
| CIFC Funding 2015-III, Ltd.(6) | Subordinated Notes | — | % | 4/19/2029 | 5/29/2018 | 10,000,000 | 2,535,898 | 2,255,263 | 0.4 | % | ||||||||||||||||
| CIFC Funding 2015-IV, Ltd. | Subordinated Notes | 11.61 | % | 4/20/2034 | 4/27/2016 | 22,930,000 | 14,304,010 | 11,781,915 | 1.8 | % | ||||||||||||||||
| CIFC Funding 2016-I, Ltd. | Subordinated Notes | 17.23 | % | 10/21/2031 | 12/9/2016 | 6,500,000 | 5,228,636 | 5,623,402 | 0.9 | % | ||||||||||||||||
| CIFC Funding 2017-I, Ltd. | Subordinated Notes | 14.63 | % | 4/21/2037 | 2/3/2017 | 11,000,000 | 7,369,275 | 6,359,754 | 1.0 | % | ||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Equity Class (Cayman Islands) | ||||||||||||||||||||||||||
| CIFC Funding 2017-IV, Ltd.(6) | Subordinated Notes | — | % | 10/24/2030 | 8/14/2017 | $ | 18,000,000 | $ | 12,184,601 | $ | 10,985,748 | 1.7 | % | |||||||||||||
| CIFC Funding 2018-II, Ltd. | Subordinated Notes | 9.49 | % | 4/20/2031 | 8/11/2022 | 10,000,000 | 6,687,226 | 6,567,627 | 1.0 | % | ||||||||||||||||
| CIFC Funding 2018-IV, Ltd. | Subordinated Notes | 2.14 | % | 10/17/2031 | 6/19/2020 | 6,000,000 | 4,823,876 | 4,476,746 | 0.7 | % | ||||||||||||||||
| CIFC Funding 2020-II, Ltd. | Income Notes | 21.12 | % | 10/20/2034 | 7/20/2020 | 2,000,000 | 1,827,037 | 1,847,920 | 0.3 | % | ||||||||||||||||
| CIFC Funding 2020-III, Ltd. | Subordinated Notes | 18.18 | % | 10/20/2034 | 9/11/2020 | 7,350,000 | 7,305,634 | 7,135,839 | 1.1 | % | ||||||||||||||||
| Columbia Cent CLO 29 Limited | Subordinated Notes | 17.71 | % | 10/20/2034 | 7/10/2020 | 16,000,000 | 13,377,681 | 13,767,180 | 2.1 | % | ||||||||||||||||
| Columbia Cent CLO 31 Limited | Subordinated Notes | 15.13 | % | 4/20/2034 | 2/1/2021 | 12,100,000 | 11,107,963 | 10,352,417 | 1.6 | % | ||||||||||||||||
| Dryden 86 CLO, Ltd. | Subordinated Notes | 14.15 | % | 7/17/2034 | 3/10/2022 | 10,250,000 | 8,496,191 | 6,990,701 | 1.1 | % | ||||||||||||||||
| Dryden 87 CLO, Ltd. | Subordinated Notes | 14.90 | % | 5/22/2034 | 3/10/2022 | 4,000,000 | 3,902,280 | 3,441,374 | 0.5 | % | ||||||||||||||||
| Dryden 95 CLO, Ltd. | Subordinated Notes | 14.25 | % | 8/21/2034 | 4/27/2022 | 10,500,000 | 9,698,195 | 8,392,311 | 1.3 | % | ||||||||||||||||
| Galaxy XIX CLO, Ltd.(6) | Subordinated Notes | — | % | 7/24/2030 | 12/5/2016 | 2,750,000 | 635,981 | 569,950 | 0.1 | % | ||||||||||||||||
| Galaxy XX CLO, Ltd.(6) | Subordinated Notes | — | % | 4/21/2031 | 5/28/2021 | 2,000,000 | 1,321,427 | 1,178,444 | 0.2 | % | ||||||||||||||||
| Galaxy XXI CLO, Ltd.(6) | Subordinated Notes | — | % | 4/21/2031 | 5/28/2021 | 4,775,000 | 2,254,812 | 2,019,686 | 0.3 | % | ||||||||||||||||
| Galaxy XXVII CLO, Ltd.(6) | Subordinated Notes | — | % | 5/16/2031 | 7/23/2021 | 2,212,500 | 740,806 | 661,742 | 0.1 | % | ||||||||||||||||
| Galaxy XXVIII CLO, Ltd.(6) | Subordinated Notes | — | % | 7/15/2031 | 5/30/2014 | 5,295,000 | 1,846,299 | 1,657,108 | 0.3 | % | ||||||||||||||||
| GoldenTree Loan Opportunities IX, Ltd.(6)(7) | Subordinated Notes | — | % | 10/29/2029 | 7/19/2017 | 3,250,000 | — | — | 0.0 | % | ||||||||||||||||
| Halcyon Loan Advisors Funding 2014-2 Ltd.(6)(7) | Subordinated Notes | — | % | 4/28/2025 | 4/14/2014 | 400,000 | — | — | 0.0 | % | ||||||||||||||||
| Halcyon Loan Advisors Funding 2015-3 Ltd.(6) | Subordinated Notes | — | % | 10/18/2027 | 7/27/2015 | 7,000,000 | — | 6,809 | 0.0 | % | ||||||||||||||||
| HarbourView CLO VII-R, Ltd.(6) | Subordinated Notes | — | % | 7/18/2031 | 6/5/2015 | 275,000 | 39,473 | 34,636 | 0.0 | % | ||||||||||||||||
| Jefferson Mill CLO Ltd.(6) | Subordinated Notes | — | % | 10/20/2031 | 6/30/2015 | 6,049,689 | 2,712,243 | 2,458,523 | 0.4 | % | ||||||||||||||||
| LCM XV Limited Partnership(6) | Income Notes | — | % | 7/19/2030 | 1/28/2014 | 250,000 | 31,276 | 28,022 | 0.0 | % | ||||||||||||||||
| LCM XVI Limited Partnership(6) | Income Notes | — | % | 10/15/2031 | 5/12/2014 | 6,814,685 | 2,319,070 | 2,088,460 | 0.3 | % | ||||||||||||||||
| LCM XVII Limited Partnership(6) | Income Notes | — | % | 10/15/2031 | 9/17/2014 | 1,000,000 | 369,581 | 334,617 | 0.1 | % | ||||||||||||||||
| LCM XVIII Limited Partnership(6) | Income Notes | — | % | 7/21/2031 | 10/29/2021 | 12,195,000 | 3,255,492 | 2,949,046 | 0.5 | % | ||||||||||||||||
| LCM 28 Ltd.(6) | Subordinated Notes | — | % | 10/21/2030 | 10/29/2021 | 2,000,000 | 1,046,591 | 945,383 | 0.1 | % | ||||||||||||||||
| LCM 32 Ltd. | Income Notes | 16.79 | % | 7/20/2034 | 3/2/2022 | 10,390,000 | 8,733,883 | 7,568,242 | 1.2 | % | ||||||||||||||||
| LCM 34 Ltd. | Subordinated Notes | 21.35 | % | 10/20/2034 | 8/4/2022 | 2,395,000 | 1,818,536 | 1,706,164 | 0.3 | % | ||||||||||||||||
| Madison Park Funding XIII, Ltd.(6)(7) | Subordinated Notes | — | % | 4/19/2030 | 2/3/2014 | 13,000,000 | — | — | 0.0 | % | ||||||||||||||||
| Madison Park Funding XIV, Ltd.(6) | Subordinated Notes | — | % | 10/22/2030 | 7/3/2014 | 23,750,000 | 14,179,429 | 12,736,304 | 2.0 | % | ||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Equity Class (Cayman Islands) | ||||||||||||||||||||||||||
| Madison Park Funding XL, Ltd. | Subordinated Notes | 1.88 | % | 5/28/2030 | 10/8/2020 | $ | 7,000,000 | $ | 3,021,284 | $ | 2,574,497 | 0.4 | % | |||||||||||||
| Marble Point CLO XXIII Ltd. | Subordinated Notes | 31.22 | % | 1/22/2035 | 3/28/2024 | 6,400,000 | 3,963,098 | 4,018,411 | 0.6 | % | ||||||||||||||||
| Mountain View CLO IX Ltd.(6) | Subordinated Notes | — | % | 7/15/2031 | 5/13/2015 | 8,815,500 | 1,008,493 | 960,319 | 0.1 | % | ||||||||||||||||
| Neuberger Berman CLO XVI-S, Ltd. | Subordinated Notes | 14.83 | % | 4/17/2034 | 2/9/2022 | 16,000,000 | 17,357,719 | 14,054,585 | 2.2 | % | ||||||||||||||||
| Neuberger Berman CLO XXI, Ltd. | Subordinated Notes | 16.80 | % | 4/20/2034 | 2/16/2022 | 8,501,407 | 7,799,832 | 6,836,948 | 1.1 | % | ||||||||||||||||
| Octagon Investment Partners XIV, Ltd.(6) | Income Notes | — | % | 7/16/2029 | 12/1/2017 | 6,150,000 | — | — | 0.0 | % | ||||||||||||||||
| Octagon Investment Partners XV, Ltd.(6) | Income Notes | — | % | 7/19/2030 | 5/23/2019 | 8,937,544 | 3,078,583 | 2,778,395 | 0.4 | % | ||||||||||||||||
| Octagon Investment Partners XVII, Ltd.(6) | Subordinated Notes | — | % | 1/27/2031 | 6/28/2018 | 16,153,000 | 2,431,934 | 2,232,398 | 0.3 | % | ||||||||||||||||
| Octagon Investment Partners 18-R, Ltd.(6) | Subordinated Notes | — | % | 4/16/2031 | 7/30/2015 | 4,568,944 | 788,513 | 720,917 | 0.1 | % | ||||||||||||||||
| Octagon Investment Partners 20-R, Ltd. | Subordinated Notes | 10.02 | % | 8/12/2037 | 4/25/2019 | 7,183,100 | 3,877,393 | 4,530,025 | 0.7 | % | ||||||||||||||||
| Octagon Investment Partners XXI, Ltd.(6) | Subordinated Notes | — | % | 2/14/2031 | 1/6/2016 | 13,822,188 | 6,488,396 | 5,622,133 | 0.9 | % | ||||||||||||||||
| Octagon Investment Partners XXII, Ltd.(6) | Subordinated Notes | — | % | 1/22/2030 | 11/12/2014 | 6,625,000 | 1,605,962 | 1,447,358 | 0.2 | % | ||||||||||||||||
| Octagon Investment Partners 27, Ltd.(6) | Subordinated Notes | — | % | 7/15/2030 | 10/31/2018 | 5,000,000 | 1,470,895 | 1,348,013 | 0.2 | % | ||||||||||||||||
| Octagon Investment Partners 30, Ltd.(6) | Subordinated Notes | — | % | 3/18/2030 | 11/16/2017 | 9,525,000 | 3,295,956 | 2,933,653 | 0.5 | % | ||||||||||||||||
| Octagon Investment Partners 31, Ltd.(6) | Subordinated Notes | — | % | 7/19/2030 | 12/20/2019 | 3,067,500 | 935,325 | 843,129 | 0.1 | % | ||||||||||||||||
| Octagon Investment Partners 33, Ltd.(6)(7) | Subordinated Notes | — | % | 1/20/2031 | 7/9/2018 | 2,850,000 | — | — | 0.0 | % | ||||||||||||||||
| Octagon Investment Partners 36, Ltd.(6) | Subordinated Notes | — | % | 4/15/2031 | 12/20/2019 | 10,400,960 | 5,086,362 | 4,634,312 | 0.7 | % | ||||||||||||||||
| Octagon Investment Partners 37, Ltd.(6) | Subordinated Notes | — | % | 7/25/2030 | 3/17/2021 | 14,500,000 | 8,255,598 | 7,406,760 | 1.2 | % | ||||||||||||||||
| Octagon Investment Partners 39, Ltd.(6) | Subordinated Notes | — | % | 10/21/2030 | 1/9/2020 | 10,250,000 | 6,974,681 | 6,254,195 | 1.0 | % | ||||||||||||||||
| Octagon Loan Funding, Ltd.(6) | Subordinated Notes | — | % | 11/18/2031 | 8/25/2014 | 5,014,526 | 2,197,789 | 1,960,974 | 0.3 | % | ||||||||||||||||
| OZLM VI, Ltd.(6) | Subordinated Notes | — | % | 4/17/2031 | 10/31/2016 | 15,688,991 | 2,207,144 | 2,072,095 | 0.3 | % | ||||||||||||||||
| OZLM VII, Ltd.(6)(7) | Subordinated Notes | — | % | 7/17/2029 | 11/3/2015 | 2,654,467 | 65,084 | 76,338 | 0.0 | % | ||||||||||||||||
| OZLM VIII, Ltd.(6) | Subordinated Notes | — | % | 10/17/2029 | 8/7/2014 | 950,000 | 49,255 | 43,030 | 0.0 | % | ||||||||||||||||
| OZLM IX, Ltd.(6) | Subordinated Notes | — | % | 10/20/2031 | 2/22/2017 | 15,000,000 | 5,895,763 | 5,381,643 | 0.8 | % | ||||||||||||||||
| OZLM XII, Ltd.(6)(7) | Subordinated Notes | — | % | 4/30/2027 | 1/17/2017 | 12,122,952 | — | — | 0.0 | % | ||||||||||||||||
| OZLM XXII, Ltd.(6) | Subordinated Notes | — | % | 1/17/2031 | 5/11/2017 | 27,343,000 | 2,230,496 | 2,113,035 | 0.3 | % | ||||||||||||||||
| Redding Ridge 3 CLO, Ltd.(6) | Preference Shares | — | % | 1/15/2030 | 3/26/2021 | 12,293,000 | 4,176,179 | 3,750,191 | 0.6 | % | ||||||||||||||||
| Redding Ridge 4 CLO, Ltd.(6)(7) | Subordinated Notes | — | % | 4/15/2030 | 1/29/2021 | 14,000,000 | 9,270,581 | 8,305,857 | 1.3 | % | ||||||||||||||||
| Redding Ridge 5 CLO, Ltd. | Subordinated Notes | 10.67 | % | 4/15/2039 | 5/27/2021 | 21,000,000 | 11,718,431 | 9,716,108 | 1.5 | % | ||||||||||||||||
| Rockford Tower CLO 2021-3, Ltd. | Subordinated Notes | 12.89 | % | 10/20/2034 | 2/11/2022 | 8,000,000 | 7,238,608 | 6,892,367 | 1.1 | % | ||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Equity Class (Cayman Islands) | ||||||||||||||||||||||||||
| Romark WM-R, Ltd.(6) | Subordinated Notes | — | % | 4/21/2031 | 4/11/2014 | $ | 490,713 | $ | 174,139 | $ | 158,951 | 0.0 | % | |||||||||||||
| Sound Point CLO II, Ltd.(6) | Subordinated Notes | — | % | 1/26/2031 | 5/16/2019 | 21,053,778 | 3,476,326 | 3,220,192 | 0.5 | % | ||||||||||||||||
| Sound Point CLO VII-R, Ltd.(6) | Subordinated Notes | — | % | 10/23/2031 | 7/31/2019 | 9,002,745 | 1,947,002 | 1,722,582 | 0.3 | % | ||||||||||||||||
| Sound Point CLO XVII, Ltd.(6) | Subordinated Notes | — | % | 10/20/2030 | 7/11/2018 | 20,000,000 | 7,641,045 | 6,816,437 | 1.1 | % | ||||||||||||||||
| Sound Point CLO XVIII, Ltd.(6) | Subordinated Notes | — | % | 1/20/2031 | 10/29/2018 | 15,563,500 | 5,441,957 | 4,948,457 | 0.8 | % | ||||||||||||||||
| Sound Point CLO XIX, Ltd.(6) | Subordinated Notes | — | % | 4/15/2031 | 9/23/2021 | 7,500,000 | 2,953,611 | 2,605,715 | 0.4 | % | ||||||||||||||||
| Sound Point CLO XX, Ltd.(6) | Subordinated Notes | — | % | 7/28/2031 | 11/5/2021 | 8,000,000 | 3,750,862 | 3,358,454 | 0.5 | % | ||||||||||||||||
| Sound Point CLO XXIII, Ltd. | Subordinated Notes | 11.06 | % | 7/17/2034 | 8/27/2021 | 5,915,000 | 4,809,613 | 4,305,796 | 0.7 | % | ||||||||||||||||
| Symphony CLO XIV, Ltd.(6)(7) | Subordinated Notes | — | % | 7/14/2026 | 5/6/2014 | 750,000 | 18,880 | 18,777 | 0.0 | % | ||||||||||||||||
| Symphony CLO XVI, Ltd.(6) | Subordinated Notes | — | % | 10/15/2031 | 7/1/2015 | 5,000,000 | 3,275,397 | 2,584,741 | 0.4 | % | ||||||||||||||||
| Symphony CLO XIX, Ltd. | Subordinated Notes | 8.22 | % | 4/16/2031 | 5/6/2021 | 2,000,000 | 1,100,574 | 901,421 | 0.1 | % | ||||||||||||||||
| TCI-Symphony CLO 2017-1, Ltd. | Income Notes | 2.48 | % | 7/15/2030 | 9/15/2020 | 3,000,000 | 1,518,398 | 1,302,030 | 0.2 | % | ||||||||||||||||
| TCW CLO 2021-2, Ltd. | Subordinated Notes | 19.88 | % | 7/25/2034 | 8/17/2022 | 5,000,000 | 4,215,653 | 4,095,619 | 0.6 | % | ||||||||||||||||
| TCW CLO 2024-2, Ltd. | Subordinated Notes | 21.14 | % | 7/17/2037 | 7/12/2024 | 10,000,000 | 7,976,496 | 8,098,436 | 1.3 | % | ||||||||||||||||
| THL Credit Wind River 2013-1 CLO, Ltd.(6) | Subordinated Notes | — | % | 7/19/2030 | 11/1/2017 | 10,395,000 | 1,311,180 | 1,150,162 | 0.2 | % | ||||||||||||||||
| THL Credit Wind River 2013-2 CLO, Ltd.(6) | Income Notes | — | % | 10/18/2030 | 12/27/2017 | 3,250,000 | 627,573 | 561,847 | 0.1 | % | ||||||||||||||||
| THL Credit Wind River 2014-1 CLO, Ltd.(6) | Subordinated Notes | — | % | 7/18/2031 | 7/11/2018 | 11,800,000 | 591,922 | 520,617 | 0.1 | % | ||||||||||||||||
| THL Credit Wind River 2014-2 CLO, Ltd.(6) | Income Notes | — | % | 1/15/2031 | 1/22/2021 | 7,550,000 | 193,961 | 185,048 | 0.0 | % | ||||||||||||||||
| THL Credit Wind River 2017-4 CLO, Ltd.(6)(7) | Subordinated Notes | — | % | 11/20/2030 | 6/25/2020 | 3,765,400 | 100,341 | 94,984 | 0.0 | % | ||||||||||||||||
| THL Credit Wind River 2018-2 CLO, Ltd.(6) | Subordinated Notes | — | % | 7/15/2030 | 3/11/2019 | 8,884,000 | 5,402,139 | 4,855,811 | 0.8 | % | ||||||||||||||||
| THL Credit Wind River 2018-3 CLO, Ltd.(6) | Subordinated Notes | — | % | 1/20/2031 | 6/28/2019 | 13,000,000 | 11,012,943 | 9,841,139 | 1.5 | % | ||||||||||||||||
| Venture XVIII CLO, Ltd.(6) | Subordinated Notes | — | % | 10/15/2029 | 7/16/2018 | 4,750,000 | — | — | 0.0 | % | ||||||||||||||||
| Venture 28A CLO, Ltd. | Subordinated Notes | 7.46 | % | 10/20/2034 | 7/16/2018 | 17,715,000 | 14,238,115 | 12,019,663 | 1.9 | % | ||||||||||||||||
| Venture XXX CLO, Ltd.(6) | Subordinated Notes | — | % | 1/15/2031 | 7/16/2018 | 5,100,000 | 2,059,237 | 1,877,144 | 0.3 | % | ||||||||||||||||
| Venture XXXII CLO, Ltd.(6) | Subordinated Notes | — | % | 7/18/2031 | 10/9/2018 | 7,929,328 | 3,118,040 | 2,942,459 | 0.5 | % | ||||||||||||||||
| Venture XXXIV CLO, Ltd.(6) | Subordinated Notes | — | % | 10/15/2031 | 7/30/2019 | 13,903,000 | 8,764,778 | 7,933,156 | 1.2 | % | ||||||||||||||||
| Venture 41 CLO, Ltd. | Subordinated Notes | 16.36 | % | 1/20/2034 | 1/26/2021 | 8,249,375 | 7,704,409 | 7,175,644 | 1.1 | % | ||||||||||||||||
| Venture 42 CLO, Ltd. | Subordinated Notes | 15.25 | % | 4/17/2034 | 11/5/2021 | 15,000,000 | 13,511,647 | 11,851,757 | 1.8 | % | ||||||||||||||||
| Venture 43 CLO, Ltd. | Subordinated Notes | 15.08 | % | 4/17/2034 | 9/1/2021 | 12,000,000 | 10,380,731 | 9,522,339 | 1.5 | % | ||||||||||||||||
| Voya IM CLO 2013-1, Ltd.(6) | Income Notes | — | % | 10/15/2030 | 6/9/2016 | 4,174,688 | 1,056,653 | 950,823 | 0.1 | % | ||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Equity Class (Cayman Islands) | ||||||||||||||||||||||||||
| Voya IM CLO 2013-3, Ltd.(6) | Subordinated Notes | — | % | 10/18/2031 | 2/13/2015 | $ | 4,000,000 | $ | 877,333 | $ | 788,924 | 0.1 | % | |||||||||||||
| Voya IM CLO 2014-1, Ltd.(6) | Subordinated Notes | — | % | 4/18/2031 | 2/5/2014 | 314,774 | 60,842 | 54,905 | 0.0 | % | ||||||||||||||||
| Voya CLO 2014-3, Ltd.(6)(7) | Subordinated Notes | — | % | 7/24/2026 | 4/10/2015 | 7,000,000 | — | — | 0.0 | % | ||||||||||||||||
| Voya CLO 2014-4, Ltd.(6) | Subordinated Notes | — | % | 7/14/2031 | 11/10/2014 | 1,000,000 | 253,121 | 227,791 | 0.0 | % | ||||||||||||||||
| Voya CLO 2015-2, Ltd.(6)(7) | Subordinated Notes | — | % | 7/23/2027 | 6/24/2015 | 13,712,000 | — | — | 0.0 | % | ||||||||||||||||
| Voya CLO 2016-1, Ltd.(6) | Subordinated Notes | — | % | 1/21/2031 | 1/22/2016 | 7,750,000 | 3,050,766 | 2,758,293 | 0.4 | % | ||||||||||||||||
| Voya CLO 2016-3, Ltd.(6) | Subordinated Notes | — | % | 10/20/2031 | 9/30/2016 | 10,225,000 | 6,700,289 | 5,809,007 | 0.9 | % | ||||||||||||||||
| Voya CLO 2017-3, Ltd. | Subordinated Notes | 4.66 | % | 4/20/2034 | 6/15/2017 | 5,750,000 | 6,252,045 | 5,112,526 | 0.8 | % | ||||||||||||||||
| Voya CLO 2017-4, Ltd.(6)(7) | Subordinated Notes | — | % | 10/15/2030 | 3/25/2021 | 2,500,000 | 107,479 | 106,837 | 0.0 | % | ||||||||||||||||
| Voya CLO 2018-1, Ltd.(6) | Subordinated Notes | — | % | 4/21/2031 | 2/23/2018 | 20,000,000 | 10,582,801 | 9,613,585 | 1.5 | % | ||||||||||||||||
| Voya CLO 2018-2, Ltd.(6) | Subordinated Notes | — | % | 7/15/2031 | 4/27/2021 | 6,778,666 | 2,723,173 | 2,473,775 | 0.4 | % | ||||||||||||||||
| Voya CLO 2018-4, Ltd. | Subordinated Notes | 13.18 | % | 10/15/2037 | 8/9/2021 | 7,237,100 | 3,519,730 | 4,722,947 | 0.7 | % | ||||||||||||||||
| Voya CLO 2019-1, Ltd. | Subordinated Notes | 14.28 | % | 4/15/2031 | 1/27/2020 | 55,757,000 | 21,712,178 | 31,049,286 | 4.9 | % | ||||||||||||||||
| Voya CLO 2020-1, Ltd. | Subordinated Notes | 14.30 | % | 7/17/2034 | 3/3/2022 | 6,500,000 | 5,636,597 | 4,996,366 | 0.8 | % | ||||||||||||||||
| Voya CLO 2022-1, Ltd. | Subordinated Notes | 19.07 | % | 4/20/2035 | 3/18/2022 | 17,600,000 | 16,058,544 | 16,179,321 | 2.5 | % | ||||||||||||||||
| Total Collateralized Loan Obligation - Equity Class | $ | 717,889,268 | $ | 664,989,457 | 103.3 | % | ||||||||||||||||||||
| Collateralized Loan Obligation - Debt Class (Cayman Islands)(4) | ||||||||||||||||||||||||||
| ABPCI Direct Lending Fund CLO XVII, Ltd. | Class E Notes | 13.20% (SOFR + 8.00%) | 8/1/2036 | 5/2/2024 | $ | 3,500,000 | $ | 3,484,847 | $ | 3,476,376 | 0.5 | % | ||||||||||||||
| AGL CLO 5, Ltd. | Class E-R Notes | 11.01% (SOFR + 6.45%) | 7/20/2034 | 6/13/2023 | 2,500,000 | 2,213,471 | 2,481,111 | 0.4 | % | |||||||||||||||||
| Apidos CLO XII | Class E-R Notes | 9.96% (SOFR + 5.40%) | 4/15/2031 | 4/11/2023 | 6,775,000 | 5,730,641 | 6,449,476 | 1.0 | % | |||||||||||||||||
| Apidos CLO XXIV | Class E-R Notes | 12.41% (SOFR + 7.86%) | 10/21/2030 | 3/10/2020 | 2,000,000 | 1,615,724 | 1,985,554 | 0.3 | % | |||||||||||||||||
| Bain Capital Credit CLO 2019-4, Ltd. | Class E-R Notes | 12.29% (SOFR + 7.99%) | 4/23/2035 | 11/8/2023 | 1,000,000 | 913,837 | 1,011,419 | 0.2 | % | |||||||||||||||||
| Bain Capital Credit CLO 2021-2, Ltd. | Class E Notes | 11.29% (SOFR + 6.73%) | 7/16/2034 | 6/14/2023 | 2,500,000 | 2,151,549 | 2,337,096 | 0.4 | % | |||||||||||||||||
| Barings CLO Ltd. 2015-I | Class E-R Notes | 10.78% (SOFR + 6.86%) | 1/20/2031 | 1/5/2024 | 1,800,000 | 1,495,005 | 1,596,821 | 0.2 | % | |||||||||||||||||
| BlueMountain CLO 2015-3 Ltd. | Class E-R Notes | 12.64% (SOFR + 8.08%) | 4/21/2031 | 8/5/2022 | 2,500,000 | 1,857,174 | 2,028,743 | 0.3 | % | |||||||||||||||||
| BlueMountain CLO XXIII Ltd. | Class E-R Notes | 13.26% (SOFR + 7.98%) | 7/20/2037 | 7/12/2024 | 4,300,000 | 4,157,533 | 4,025,615 | 0.6 | % | |||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Debt Class (Cayman Islands)(4) | ||||||||||||||||||||||||||
| BlueMountain CLO XXV Ltd. | Class E-R Notes | 11.81% (SOFR + 7.25%) | 7/15/2036 | 4/24/2023 | $ | 4,275,000 | $ | 3,704,198 | $ | 4,169,401 | 0.6 | % | ||||||||||||||
| BlueMountain CLO XXXIII Ltd. | Class E Notes | 11.25% (SOFR + 6.83%) | 11/20/2034 | 7/19/2023 | 5,000,000 | 4,490,689 | 4,886,080 | 0.8 | % | |||||||||||||||||
| BlueMountain Fuji US CLO III Ltd. | Class E Notes | 9.76% (SOFR + 5.20%) | 1/15/2030 | 9/9/2022 | 2,000,000 | 1,705,958 | 1,863,219 | 0.3 | % | |||||||||||||||||
| California Street CLO IX, Ltd. | Class F-R2 Notes | 13.08% (SOFR + 8.52%) | 7/16/2032 | 9/2/2020 | 2,000,000 | 1,650,751 | 2,022,051 | 0.3 | % | |||||||||||||||||
| Carlyle CLO 17, Ltd. | Class E-R Notes | 12.91% (SOFR + 8.35%) | 4/30/2031 | 3/5/2019 | 3,000,000 | 2,827,913 | 2,420,556 | 0.4 | % | |||||||||||||||||
| Carlyle Global Market Strategies CLO 2013-3, Ltd. | Class D-R Notes | 10.06% (SOFR + 5.50%) | 10/15/2030 | 11/13/2023 | 2,400,000 | 2,046,734 | 2,287,861 | 0.4 | % | |||||||||||||||||
| Carlyle Global Market Strategies CLO 2014-2-R, Ltd. | Class E Notes | 12.42% (SOFR + 8.00%) | 5/15/2031 | 3/6/2019 | 7,500,000 | 6,969,534 | 6,270,096 | 1.0 | % | |||||||||||||||||
| Carlyle Global Market Strategies CLO 2015-1, Ltd. | Class E-R Notes | 11.50% (SOFR + 6.94%) | 7/21/2031 | 12/14/2023 | 1,000,000 | 882,302 | 987,055 | 0.2 | % | |||||||||||||||||
| Carlyle Global Market Strategies CLO 2016-1, Ltd. | Class D-R2 Notes | 11.16% (SOFR + 6.60%) | 4/20/2034 | 10/20/2023 | 1,000,000 | 883,241 | 946,004 | 0.1 | % | |||||||||||||||||
| Carlyle Global Market Strategies CLO 2019-1, Ltd. | Class D Notes | 11.26% (SOFR + 6.70%) | 4/21/2031 | 7/14/2023 | 4,605,000 | 4,133,906 | 4,426,759 | 0.7 | % | |||||||||||||||||
| Cedar Funding II CLO, Ltd. | Class F Notes | 13.91% (SOFR + 8.37%) | 4/20/2034 | 7/16/2024 | 4,000,000 | 3,693,266 | 3,889,198 | 0.6 | % | |||||||||||||||||
| Cent CLO 21 Limited | Class D-R2 Notes | 10.86% (SOFR + 6.30%) | 7/26/2030 | 7/29/2022 | 7,000,000 | 5,936,208 | 6,386,853 | 1.0 | % | |||||||||||||||||
| Cent CLO 21 Limited(8) | Class E-R2 Notes | 13.21% (SOFR + 8.65%) | 7/26/2030 | 7/12/2018 | 134,744 | 130,089 | 77,777 | 0.0 | % | |||||||||||||||||
| Churchill Middle Market CLO IV, Ltd. | Class E-R Notes | 13.34% (SOFR + 8.14%) | 4/23/2036 | 3/8/2024 | 3,500,000 | 3,413,478 | 3,563,093 | 0.6 | % | |||||||||||||||||
| CIFC Funding 2013-III-R, Ltd. | Class D Notes | 10.46% (SOFR + 5.90%) | 4/24/2031 | 9/9/2022 | 1,675,000 | 1,449,948 | 1,574,443 | 0.2 | % | |||||||||||||||||
| CIFC Funding 2013-III-R, Ltd. | Class E Notes | 12.34% (SOFR + 7.78%) | 4/24/2031 | 10/2/2020 | 3,000,000 | 2,428,945 | 2,929,005 | 0.5 | % | |||||||||||||||||
| CIFC Funding 2014-III, Ltd. | Class E-R2 Notes | 10.66% (SOFR + 6.10%) | 10/22/2031 | 9/16/2022 | 1,125,000 | 967,178 | 1,112,785 | 0.2 | % | |||||||||||||||||
| CIFC Funding 2014-III, Ltd. | Class F-R2 Notes | 12.81% (SOFR + 8.25%) | 10/22/2031 | 11/5/2021 | 1,500,000 | 1,387,920 | 1,470,708 | 0.2 | % | |||||||||||||||||
| CIFC Funding 2014-IV-R, Ltd. | Class E-R Notes | 13.74% (SOFR + 9.18%) | 1/17/2035 | 12/20/2021 | 778,684 | 740,923 | 787,701 | 0.1 | % | |||||||||||||||||
| CIFC Funding 2015-I, Ltd. | Class E-RR Notes | 10.56% (SOFR + 6.00%) | 1/22/2031 | 9/9/2022 | 2,562,500 | 2,220,878 | 2,515,180 | 0.4 | % | |||||||||||||||||
| CIFC Funding 2015-I, Ltd. | Class F-RR Notes | 12.41% (SOFR + 7.85%) | 1/22/2031 | 10/31/2019 | 5,000,000 | 4,290,626 | 4,835,774 | 0.8 | % | |||||||||||||||||
| CIFC Funding 2016-I, Ltd. | Class F-R Notes | 14.71% (SOFR + 10.15%) | 10/21/2031 | 9/16/2019 | 3,750,000 | 3,607,668 | 3,957,671 | 0.6 | % | |||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Debt Class (Cayman Islands)(4) | ||||||||||||||||||||||||||
| CIFC Funding 2017-IV, Ltd. | Class D Notes | 10.66% (SOFR + 6.10%) | 10/24/2030 | 4/21/2023 | $ | 2,500,000 | $ | 2,216,872 | $ | 2,507,505 | 0.4 | % | ||||||||||||||
| Dryden 41 CLO, Ltd. | Class E-R Notes | 9.86% (SOFR + 5.30%) | 4/15/2031 | 8/25/2023 | 3,015,000 | 2,488,434 | 2,869,304 | 0.4 | % | |||||||||||||||||
| Dryden 49 CLO, Ltd. | Class E Notes | 10.86% (SOFR + 6.30%) | 7/18/2030 | 8/15/2023 | 5,850,000 | 5,040,726 | 5,575,530 | 0.9 | % | |||||||||||||||||
| Dryden 57 CLO, Ltd. | Class E Notes | 9.62% (SOFR + 5.20%) | 5/15/2031 | 4/11/2023 | 4,000,000 | 3,323,501 | 3,586,573 | 0.6 | % | |||||||||||||||||
| Dryden 65 CLO, Ltd. | Class E Notes | 10.31% (SOFR + 5.75%) | 7/18/2030 | 10/11/2023 | 1,750,000 | 1,561,081 | 1,644,584 | 0.3 | % | |||||||||||||||||
| Dryden 92 CLO, Ltd. | Class E Notes | 10.92% (SOFR + 6.50%) | 11/20/2034 | 7/10/2023 | 2,230,129 | 1,944,198 | 2,050,729 | 0.3 | % | |||||||||||||||||
| Galaxy XXI CLO, Ltd. | Class F-R Notes | 11.81% (SOFR + 7.25%) | 4/21/2031 | 3/8/2019 | 6,000,000 | 5,241,819 | 5,560,444 | 0.9 | % | |||||||||||||||||
| Galaxy XXII CLO, Ltd. | Class F-RR Notes | 13.36% (SOFR + 8.80%) | 4/17/2034 | 8/8/2022 | 1,500,000 | 1,208,053 | 1,528,230 | 0.2 | % | |||||||||||||||||
| Galaxy XXVII CLO, Ltd. | Class F Junior Notes | 12.48% (SOFR + 8.06%) | 5/16/2031 | 3/5/2019 | 1,500,000 | 1,380,314 | 1,407,649 | 0.2 | % | |||||||||||||||||
| Galaxy XXVIII CLO, Ltd. | Class F Junior Notes | 13.04% (SOFR + 8.48%) | 7/15/2031 | 6/29/2018 | 41,713 | 39,654 | 40,555 | 0.0 | % | |||||||||||||||||
| HarbourView CLO VII-R, Ltd.(8) | Class F Notes | 12.83% (SOFR + 8.27%) | 7/18/2031 | 10/29/2018 | 6,077,936 | 5,803,601 | 3,591,676 | 0.6 | % | |||||||||||||||||
| LCM XVI Limited Partnership | Class E-R2 Notes | 11.66% (SOFR + 6.38%) | 10/15/2031 | 3/28/2024 | 2,800,000 | 2,572,981 | 2,627,318 | 0.4 | % | |||||||||||||||||
| LCM XXIII Limited Partnership | Class D Notes | 11.61% (SOFR + 7.05%) | 10/19/2029 | 8/19/2022 | 6,000,000 | 5,236,740 | 5,203,315 | 0.8 | % | |||||||||||||||||
| LCM 26 Ltd. | Class E Notes | 9.86% (SOFR + 5.56%) | 1/20/2031 | 8/23/2023 | 4,000,000 | 2,981,652 | 3,271,777 | 0.5 | % | |||||||||||||||||
| LCM 30 Ltd. | Class E-R Notes | 11.06% (SOFR + 6.50%) | 4/21/2031 | 7/13/2023 | 5,000,000 | 4,306,075 | 4,692,217 | 0.7 | % | |||||||||||||||||
| LCM 31 Ltd. | Class E-R Notes | 12.53% (SOFR + 7.25%) | 7/20/2034 | 7/1/2024 | 5,000,000 | 4,738,634 | 4,884,634 | 0.8 | % | |||||||||||||||||
| LCM 31 Ltd. | Class F Notes | 13.26% (SOFR + 7.98%) | 7/20/2034 | 7/1/2024 | 2,500,000 | 2,221,454 | 2,334,813 | 0.4 | % | |||||||||||||||||
| LCM 32 Ltd. | Class E Notes | 10.95% (SOFR + 6.39%) | 7/20/2034 | 10/13/2023 | 4,750,000 | 4,025,424 | 4,496,054 | 0.7 | % | |||||||||||||||||
| LCM 33 Ltd. | Class E Notes | 11.88% (SOFR + 6.35%) | 7/20/2034 | 5/20/2024 | 1,500,000 | 1,311,663 | 1,385,703 | 0.2 | % | |||||||||||||||||
| LCM 34 Ltd. | Class E Notes | 11.10% (SOFR + 6.80%) | 10/20/2034 | 9/6/2023 | 5,250,000 | 4,497,834 | 4,863,299 | 0.8 | % | |||||||||||||||||
| LCM 37 Ltd. | Class E Notes | 11.93% (SOFR + 7.63%) | 4/17/2034 | 8/30/2023 | 3,000,000 | 2,649,150 | 2,930,605 | 0.5 | % | |||||||||||||||||
| Madison Park Funding XIV, Ltd. | Class E-R Notes | 10.36% (SOFR + 5.80%) | 10/22/2030 | 6/2/2023 | 2,375,000 | 2,041,266 | 2,356,360 | 0.4 | % | |||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Debt Class (Cayman Islands)(4) | ||||||||||||||||||||||||||
| Madison Park Funding XIV, Ltd. | Class F-R Notes | 12.33% (SOFR + 7.77%) | 10/22/2030 | 3/13/2020 | $ | 4,500,000 | $ | 3,437,894 | $ | 4,379,743 | 0.7 | % | ||||||||||||||
| Madison Park Funding XL, Ltd. | Class E-R Notes | 10.87% (SOFR + 6.45%) | 5/28/2030 | 9/9/2022 | 3,460,000 | 3,079,483 | 3,365,027 | 0.5 | % | |||||||||||||||||
| Marble Point 8, Ltd. | Class E-RR Notes | 12.75% (SOFR + 7.22%) | 4/28/2034 | 4/23/2024 | 1,500,000 | 1,409,587 | 1,491,767 | 0.2 | % | |||||||||||||||||
| Marble Point 18, Ltd. | Class E-R Notes | 13.23% (SOFR + 7.70%) | 10/15/2034 | 4/19/2024 | 1,375,000 | 1,312,998 | 1,387,760 | 0.2 | % | |||||||||||||||||
| Mountain View CLO IX Ltd. | Class D-R Notes | 11.36% (SOFR + 6.08%) | 7/15/2031 | 1/11/2024 | 4,395,954 | 3,643,333 | 3,798,044 | 0.6 | % | |||||||||||||||||
| Mountain View CLO IX Ltd. | Class E Notes | 12.58% (SOFR + 8.02%) | 7/15/2031 | 10/29/2018 | 3,625,000 | 3,515,972 | 1,422,576 | 0.2 | % | |||||||||||||||||
| Mountain View CLO XIV, Ltd. | Class E-R Notes | 12.89% (SOFR + 7.36%) | 10/15/2034 | 4/10/2024 | 2,000,000 | 1,866,890 | 2,014,224 | 0.3 | % | |||||||||||||||||
| Mountain View CLO XV, Ltd. | Class E-R Notes | 13.34% (SOFR + 8.07%) | 7/15/2037 | 5/9/2024 | 3,500,000 | 3,398,515 | 3,554,441 | 0.6 | % | |||||||||||||||||
| Neuberger Berman CLO XV, Ltd. | Class E-R Notes | 11.31% (SOFR + 6.75%) | 10/15/2029 | 9/14/2022 | 1,375,000 | 1,254,420 | 1,386,654 | 0.2 | % | |||||||||||||||||
| Newark BSL CLO 2, Ltd. | Class D Notes | 10.86% (SOFR + 6.30%) | 7/25/2030 | 7/27/2022 | 3,000,000 | 2,699,301 | 2,946,855 | 0.5 | % | |||||||||||||||||
| Octagon Investment Partners XVII, Ltd. | Class F-R2 Notes | 11.76% (SOFR + 7.20%) | 1/27/2031 | 10/15/2019 | 5,362,500 | 4,516,154 | 3,991,798 | 0.6 | % | |||||||||||||||||
| Octagon Investment Partners 18-R, Ltd. | Class E Notes | 12.81% (SOFR + 8.25%) | 4/16/2031 | 10/15/2019 | 6,080,742 | 5,232,536 | 5,396,067 | 0.8 | % | |||||||||||||||||
| Octagon Investment Partners XXI, Ltd. | Class D-RR Notes | 11.42% (SOFR + 7.00%) | 2/14/2031 | 8/30/2023 | 2,750,000 | 2,485,372 | 2,686,655 | 0.4 | % | |||||||||||||||||
| Octagon Investment Partners XXII, Ltd. | Class E-RR Notes | 10.01% (SOFR + 5.45%) | 1/22/2030 | 8/24/2023 | 1,500,000 | 1,293,436 | 1,401,373 | 0.2 | % | |||||||||||||||||
| Octagon Investment Partners XXII, Ltd. | Class F-RR Notes | 12.31% (SOFR + 7.75%) | 1/22/2030 | 11/25/2019 | 5,500,000 | 4,620,864 | 4,675,825 | 0.7 | % | |||||||||||||||||
| Octagon Investment Partners 26, Ltd. | Class E-R Notes | 10.68% (SOFR + 5.40%) | 7/15/2030 | 1/18/2024 | 1,900,000 | 1,683,409 | 1,808,786 | 0.3 | % | |||||||||||||||||
| Octagon Investment Partners 36, Ltd. | Class E Notes | 9.99% (SOFR + 5.43%) | 4/15/2031 | 11/15/2023 | 3,000,000 | 2,574,269 | 2,869,107 | 0.4 | % | |||||||||||||||||
| Octagon Investment Partners 44, Ltd. | Class E-R Notes | 12.28% (SOFR + 6.75%) | 10/15/2034 | 4/19/2024 | 1,375,000 | 1,234,638 | 1,317,123 | 0.2 | % | |||||||||||||||||
| Octagon Investment Partners 45, Ltd. | Class E-R Notes | 11.12% (SOFR + 6.82%) | 4/16/2035 | 12/13/2023 | 2,500,000 | 2,196,690 | 2,415,054 | 0.4 | % | |||||||||||||||||
| Octagon Investment Partners 59, Ltd. | Class E Notes | 11.76% (SOFR + 7.60%) | 5/15/2035 | 4/19/2023 | 2,500,000 | 2,227,141 | 2,319,947 | 0.4 | % | |||||||||||||||||
| OZLM VIII, Ltd. | Class E-RR Notes | 12.73% (SOFR + 8.17%) | 10/17/2029 | 11/6/2018 | 8,400,000 | 8,190,203 | 8,305,108 | 1.3 | % | |||||||||||||||||
| Rockford Tower CLO 2021-3, Ltd. | Class E Notes | 11.28% (SOFR + 6.72%) | 10/20/2034 | 9/15/2023 | 4,535,000 | 4,075,470 | 4,253,080 | 0.7 | % | |||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Debt Class (Cayman Islands)(4) | ||||||||||||||||||||||||||
| Romark WM-R, Ltd. | Class E Notes | 10.54% (SOFR + 5.26%) | 4/21/2031 | 1/16/2024 | $ | 5,534,750 | $ | 4,840,164 | $ | 5,180,619 | 0.8 | % | ||||||||||||||
| Shackleton 2017-XI CLO, Ltd. | Class E Notes | 11.49% (SOFR + 6.30%) | 8/15/2030 | 3/1/2024 | 5,050,000 | 4,283,976 | 4,637,357 | 0.7 | % | |||||||||||||||||
| Sound Point CLO IV-R, Ltd.(8) | Class F Notes | 12.66% (SOFR + 8.10%) | 4/18/2031 | 3/18/2019 | 3,746,136 | 3,435,801 | 1,453,415 | 0.2 | % | |||||||||||||||||
| Sound Point CLO XX, Ltd. | Class E Notes | 10.56% (SOFR + 6.26%) | 7/28/2031 | 8/14/2023 | 5,000,000 | 3,539,899 | 3,912,471 | 0.6 | % | |||||||||||||||||
| Sound Point CLO XXIII, Ltd. | Class E-R Notes | 11.75% (SOFR + 6.47%) | 7/17/2034 | 2/9/2024 | 3,500,000 | 2,988,201 | 3,354,282 | 0.5 | % | |||||||||||||||||
| Sound Point CLO XXIV, Ltd. | Class E-R Notes | 12.25% (SOFR + 6.72%) | 10/25/2034 | 4/24/2024 | 2,100,000 | 1,738,138 | 1,777,891 | 0.3 | % | |||||||||||||||||
| Sound Point CLO XXV, Ltd. | Class E-R Notes | 11.55% (SOFR + 7.25%) | 4/25/2033 | 9/9/2022 | 3,000,000 | 2,576,117 | 2,886,901 | 0.4 | % | |||||||||||||||||
| Sound Point CLO XXVII, Ltd. | Class E-R Notes | 11.84% (SOFR + 6.56%) | 10/25/2034 | 3/7/2024 | 1,600,000 | 1,400,638 | 1,531,493 | 0.2 | % | |||||||||||||||||
| Sound Point CLO XXXI, Ltd. | Class E Notes | 11.89% (SOFR + 6.61%) | 10/25/2034 | 2/6/2024 | 3,600,000 | 3,178,552 | 3,464,706 | 0.5 | % | |||||||||||||||||
| Sound Point CLO XXXIII, Ltd. | Class E Notes | 11.00% (SOFR + 6.70%) | 4/25/2035 | 6/13/2023 | 1,500,000 | 1,213,612 | 1,379,836 | 0.2 | % | |||||||||||||||||
| TCW CLO 2019-2, Ltd. | Class E-R Notes | 10.95% (SOFR + 6.65%) | 10/20/2032 | 10/12/2023 | 3,000,000 | 2,697,947 | 2,867,919 | 0.4 | % | |||||||||||||||||
| THL Credit Wind River 2014-2 CLO, Ltd.(8) | Class F-R Notes | 12.43% (SOFR + 7.87%) | 1/15/2031 | 8/16/2022 | 3,000,000 | 2,338,760 | 1,164,364 | 0.2 | % | |||||||||||||||||
| THL Credit Wind River 2016-1 CLO, Ltd. | Class E-R2 Notes | 12.63% (SOFR + 7.35%) | 10/15/2034 | 1/10/2024 | 1,500,000 | 1,314,532 | 1,412,235 | 0.2 | % | |||||||||||||||||
| THL Credit Wind River 2017-1 CLO, Ltd. | Class E-R Notes | 12.34% (SOFR + 7.06%) | 4/18/2036 | 1/12/2024 | 1,950,000 | 1,801,878 | 1,933,209 | 0.3 | % | |||||||||||||||||
| THL Credit Wind River 2017-3 CLO, Ltd. | Class E-R Notes | 11.61% (SOFR + 7.05%) | 4/15/2035 | 6/8/2023 | 2,000,000 | 1,717,387 | 1,916,327 | 0.3 | % | |||||||||||||||||
| THL Credit Wind River 2019-1 CLO, Ltd. | Class E-R Notes | 11.88% (SOFR + 6.60%) | 7/20/2034 | 2/13/2024 | 1,590,000 | 1,366,683 | 1,524,872 | 0.2 | % | |||||||||||||||||
| THL Credit Wind River 2022-2 CLO, Ltd. | Class E Notes | 13.59% (SOFR + 8.57%) | 7/20/2035 | 1/17/2024 | 7,300,000 | 6,876,134 | 7,203,994 | 1.1 | % | |||||||||||||||||
| Venture XIX CLO, Ltd. | Class E-RR Notes | 11.64% (SOFR + 6.36%) | 1/15/2032 | 3/14/2024 | 1,500,000 | 1,227,703 | 1,438,542 | 0.2 | % | |||||||||||||||||
| Venture XIX CLO, Ltd. | Class F-RR Notes | 13.06% (SOFR + 8.50%) | 1/15/2032 | 11/16/2018 | 7,900,000 | 7,698,773 | 4,731,997 | 0.7 | % | |||||||||||||||||
| Venture XXXIII CLO, Ltd. | Class F Notes | 12.56% (SOFR + 8.00%) | 7/15/2031 | 12/3/2019 | 2,500,000 | 2,032,523 | 1,150,770 | 0.2 | % | |||||||||||||||||
| Venture 37 CLO, Ltd. | Class E Notes | 12.23% (SOFR + 6.95%) | 7/15/2032 | 2/20/2024 | 3,000,000 | 2,430,027 | 3,005,122 | 0.5 | % | |||||||||||||||||
Notes to Schedule of Investments
September 30, 2024
(unaudited)
| Portfolio Investments(1)(5) | Investment | Estimated Yield(2) /Interest Rate | Legal Maturity | Acquisition date | Principal Amount | Amortized Cost | Fair Value(3) Level 3 | % of Net Assets | ||||||||||||||||||
| Collateralized Loan Obligation - Debt Class (Cayman Islands)(4) | ||||||||||||||||||||||||||
| Voya IM CLO 2012-4, Ltd.(8) | Class E-R-R Notes | 15.41% (SOFR + 10.85%) | 10/15/2030 | 10/11/2019 | $ | 3,302,286 | $ | 3,121,026 | $ | 3,337,958 | 0.5 | % | ||||||||||||||
| Voya IM CLO 2013-3, Ltd. | Class D-R Notes | 10.46% (SOFR + 5.90%) | 10/18/2031 | 10/17/2023 | 2,500,000 | 2,066,701 | 2,319,423 | 0.4 | % | |||||||||||||||||
| Voya IM CLO 2014-1, Ltd. | Class E-R2 Notes | 12.91% (SOFR + 8.61%) | 4/18/2031 | 4/11/2019 | 8,787,500 | 6,989,247 | 5,051,706 | 0.8 | % | |||||||||||||||||
| Voya CLO 2016-1, Ltd. | Class D-R Notes | 10.53% (SOFR + 5.25%) | 1/21/2031 | 2/2/2024 | 1,500,000 | 1,243,169 | 1,397,125 | 0.2 | % | |||||||||||||||||
| Voya CLO 2016-3, Ltd. | Class D-R Notes | 10.64% (SOFR + 6.08%) | 10/20/2031 | 7/20/2023 | 3,000,000 | 2,193,827 | 2,888,092 | 0.4 | % | |||||||||||||||||
| Voya CLO 2017-1, Ltd. | Class D Notes | 10.66% (SOFR + 6.10%) | 4/17/2030 | 9/9/2022 | 2,500,000 | 2,130,876 | 2,373,391 | 0.4 | % | |||||||||||||||||
| Wellfleet CLO 2019-1, Ltd. | Class D Notes | 12.44% (SOFR + 6.90%) | 7/20/2032 | 9/12/2024 | 3,250,000 | 2,951,801 | 3,131,196 | 0.5 | % | |||||||||||||||||
| Wellfleet CLO X, Ltd. | Class D-R Notes | 12.14% (SOFR + 6.61%) | 7/20/2032 | 4/10/2024 | 3,000,000 | 2,732,079 | 2,890,751 | 0.4 | % | |||||||||||||||||
| Total Collateralized Loan Obligation - Debt Class | $ | 300,088,006 | $ | 306,685,333 | 47.6 | % | ||||||||||||||||||||
| Total Portfolio Investments | $ | 1,017,977,274 | $ | 971,674,790 | 150.9 | % | ||||||||||||||||||||
| Other liabilities in excess of assets | (327,917,458 | ) | (50.9 | )% | ||||||||||||||||||||||
| Net assets (61,372,738 shares issued and outstanding) | $ | 643,757,332 | 100.0 | % | ||||||||||||||||||||||
| Net asset value per share | $ | 10.49 | ||||||||||||||||||||||||
| (1) The Company does not "control" and is not an "affiliate" of any of the portfolio investments, each term as defined in the Investment Company Act of 1940, as amended (the "1940 Act"). In general, under the 1940 Act, the Company would be presumed to "control" a portfolio company if the Company owned 25% or more of its voting securities and would be an "affiliate" of a portfolio company if the Company owned 5% or more of its voting securities. |
| (2) The CLO subordinated notes, income notes and preference shares are considered equity positions in the CLOs. The CLO equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to senior debt holders and CLO expenses. The current estimated yield, calculated using amortized cost, is based on the current projections of this excess cash flow taking into account assumptions which have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions. |
| (3) Fair value is determined by or under the direction of the Company’s Board of Directors. For intra-quarter end periods, the Company’s Board of Directors has designated the Advisor to fair value the Company’s investments. As of September 30, 2024, all of the Company’s investments were classified as Level 3. ASC 820 classifies such unobservable inputs used to measure fair value as Level 3 within the valuation hierarchy. See Note 1 within the accompanying notes to schedule of investments for further discussion. |
| (4) The interest rate on these investments is subject to the base rate of 3-Month Term SOFR, which was 4.59211% at September 30, 2024. The current base rate for each investment may be different from the reference rate on September 30, 2024. |
| (5) The securities in which the Company has invested were acquired in transactions that were exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). These securities may be resold only in transactions that are exempt from registration under the Securities Act. |
| (6) The effective yield has been estimated to be 0% as expected future cash flows are anticipated to not be sufficient to repay the investment at cost. If the expected investment proceeds increase, there is a potential for future investment income from the investment. Distributions, once received, will be recognized as return of capital, and when called, any remaining unamortized investment costs will be written off if the actual distributions are less than the amortized investment cost. To the extent that the cost basis of the senior secured notes is fully recovered, any future distributions will be recorded as realized gains. |
| (7) Security was called for redemption and the liquidation of the underlying loan portfolio is ongoing. |
| (8) This investment has contractual payment-in-kind (“PIK”) interest. PIK interest computed at the contractual rate is accrued into income and reflected as receivable up to the capitalization date. |
| See accompanying notes to schedule of investments. |
Notes to Schedule of Investments
September 30, 2024
(unaudited)
Note 1. Investments
Investment Valuation
Priority Income Fund, Inc. (the “Company”) follows guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurement ("ASC 820"), which classifies the inputs used to measure fair values into the following hierarchy:
Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access at the measurement date.
Level 2. Quoted prices for similar assets or liabilities in active markets, or quoted prices for identical or similar assets or liabilities on an inactive market, or other observable inputs other than quoted prices.
Level 3. Unobservable inputs for the asset or liability.
In all cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each investment.
Investments for which market quotations are readily available are valued at such market quotations and are classified in Level 1 of the fair value hierarchy.
U.S. government securities for which market quotations are available are valued at a price provided by an independent pricing agent or primary dealer. The pricing agent or primary dealer provides these prices usually after evaluating inputs including yield curves, credit rating, yield spreads, default rates, cash flows, broker quotes and reported trades. U.S. government securities are categorized in Level 1 of the fair value hierarchy.
The SEC adopted Rule 2a-5 under the Investment Company Act of 1940, as amended (the “1940 Act”) which established a consistent, principles-based framework for boards of directors to use in creating their own specific processes in order to determine fair values in good faith. Rule 2a-5's adoption did not have a significant impact on the Company’s schedule of investments and disclosures as our Board of Directors (the “Board”) has chosen to continue to determine fair value in good faith for quarter end valuations. The Board has designated Priority Senior Secured Income Management, LLC (the “Adviser”) as the valuation designee (the “Valuation Designee”) for intra-quarter investment valuations.
With respect to investments for which market quotations are not readily available, or when such market quotations are deemed not to represent fair value, the Board has approved a multi-step valuation process for each quarter, as described below, and such investments are classified in Level 3 of the fair value hierarchy:
| 1. | Each portfolio investment is reviewed by investment professionals of the Adviser with the independent valuation firm engaged by the Board. | |
| 2. | The independent valuation firm prepares independent valuations based on its own independent assessments and issues its valuation report. | |
| 3. | The Audit Committee of the Board (the “Audit Committee”) reviews and discusses with the independent valuation firm the valuation report, and then makes a recommendation to the Board as to the value for each investment. | |
| 4. | The Board discusses valuations and determines the fair value of such investments in the Company’s portfolio in good faith based on the input of the Adviser, the independent valuation firm, and the Audit Committee. |
Notes to Schedule of Investments
September 30, 2024
(unaudited)
For intra-quarter periods and pursuant to Rule 2a-5, the Board has designated the Adviser as the Valuation Designee for the purpose of performing fair value determinations for investments for which market quotations are not readily available, or when such market quotations are deemed not to represent fair value. The Board has approved a multi-step valuation process for such intra-quarter investment valuations, as described below, and such investments are classified in Level 3 of the fair value hierarchy:
| 1. | Each portfolio investment is reviewed by investment professionals of the Adviser with the independent valuation firm engaged by the Board. | |
| 2. | The independent valuation firm prepares independent valuations based on its own independent assessments and issues its report. | |
| 3. | The Adviser, as the Company’s Valuation Designee, reviews and approves the independent valuation firm’s valuation report. |
The Company's investments in collateralized loan obligations (“CLOs”) are classified as Level 3 fair value measured securities under ASC 820 and are valued using a discounted multi-path cash flow model. The CLO structures are analyzed to identify the risk exposures and to determine an appropriate call date (i.e., expected maturity). These risk factors are sensitized in the multi-path cash flow model using Monte Carlo simulations, which is a simulation used to model the probability of different outcomes, to generate probability-weighted (i.e., multi-path) cash flows from the underlying assets and liabilities. These cash flows are discounted using appropriate market discount rates, and relevant data in the CLO market as well as certain benchmark credit indices are considered, to determine the value of each CLO investment. In addition, we generate a single-path cash flow utilizing our best estimate of expected cash receipts, and assess the reasonableness of the implied discount rate that would be effective for the value derived from the multi-path cash flows. We are not responsible for and have no influence over the asset management of the portfolios underlying the CLO investments we hold, as those portfolios are managed by non-affiliated third-party CLO collateral managers. The main risk factors are default risk, prepayment risk, interest rate risk, downgrade risk and credit spread risk.
The types of factors that are taken into account in fair value determination include, as relevant, market changes in expected returns for similar investments, performance improvement or deterioration, the nature and realizable value of any collateral, the issuer’s ability to make payments and its earnings and cash flows, the markets in which the issuer does business, comparisons to traded securities, and other relevant factors.
Investments Transactions
Investments are recognized when we assume an obligation to acquire a financial instrument and assume the risks for gains or losses related to that instrument. Investments are derecognized when we assume an obligation to sell a financial instrument and forego the risks for gains or losses related to that instrument. Specifically, we record all security transactions on a trade date basis and changes in fair value are recognized in unrealized gain (loss) on investments. Realized gains or losses on investments are calculated by using the specific identification method.
Paid-In-Kind Interest
The Company has certain investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision, which represents contractual interest or dividends that are added to the principal balance and recorded as income. For the three months ended September 30, 2024, PIK interest included in interest income totaled $1,754,724. For the three months ended September 30, 2024, $232,041 of previous PIK interest was repaid which reduced the principal balance. The Company stops accruing PIK interest when it is determined that PIK interest is no longer collectible. To maintain regulated investment company (“RIC”) tax treatment, and to avoid corporate tax, substantially all of this income must be paid out to the stockholders in the form of distributions, even though the Company has not yet collected the cash.
Recent Accounting Pronouncements
The Company considers the applicability and impact of all accounting standard updates (“ASU”) issued by the Financial Accounting Standards Board. The Company has assessed currently issued ASUs and has determined that they are not applicable or expected to have minimal impact on its financial statements.
Notes to Schedule of Investments
September 30, 2024
(unaudited)
Portfolio Investments
During the three months ended September 30, 2024, the Company purchased $49,141,482 of investment securities (excluding short-term securities). During the three months ended September 30, 2024, two debt investments were called resulting in proceeds of $2,500,000.
The following table shows the fair value of the Company's investments disaggregated into the three levels of the ASC 820 valuation hierarchy as of September 30, 2024:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Collateralized Loan Obligations - Equity Class | $ | — | $ | — | $ | 664,989,457 | $ | 664,989,457 | ||||||||
| Collateralized Loan Obligations - Debt Class | — | — | 306,685,333 | 306,685,333 | ||||||||||||
| $ | — | $ | — | $ | 971,674,790 | $ | 971,674,790 | |||||||||
The following table shows the aggregate changes in fair value of our Level 3 investments during the three months ended September 30, 2024:
| Collateralized Loan Obligation - Equity Class | Collateralized Loan Obligation - Debt Class | Total | ||||||||||
| Fair value at June 30, 2024 | $ | 664,286,955 | $ | 290,660,354 | $ | 954,947,309 | ||||||
| Net realized gain (loss) on investments | (51,610,808 | ) | — | (51,610,808 | ) | |||||||
| Net change in unrealized gain (loss) on investments | 37,591,920 | 1,201,281 | 38,793,201 | |||||||||
| Purchases of investments | 31,338,232 | 17,803,250 | 49,141,482 | |||||||||
| Payment-in-kind interest | — | (1,522,683 | ) | (1,522,683 | ) | |||||||
| Repayments from investments | (15,220,281 | ) | (2,500,000 | ) | (17,720,281 | ) | ||||||
| Proceeds from sales of investments | — | — | — | |||||||||
| Accretion of purchase discount, net | (1,396,561 | ) | 43,131 | (1,353,430 | ) | |||||||
| Transfers into Level 3(1) | — | — | — | |||||||||
| Transfers out of Level 3(1) | — | — | — | |||||||||
| Fair value at September 30, 2024 | $ | 664,989,457 | $ | 305,685,333 | $ | 970,674,790 | ||||||
| Net increase in unrealized loss attributable to Level 3 investments still held at the end of the period | $ | 37,591,920 | $ | 1,327,943 | $ | 38,919,863 | ||||||
(1) Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred. There were no transfers in or out of Level 3 during the three months ended September 30, 2024.
Notes to Schedule of Investments
September 30, 2024
(unaudited)
The following table provides quantitative information about significant unobservable inputs used in the fair value measurement of Level 3 investments as of September 30, 2024:
| Primary | Unobservable Input | |||||||||||||||
| Asset Category | Fair Value | Valuation Technique | Input | Range(1)(2) | Weighted Average(1)(2) | |||||||||||
| Collateral Loan Obligations - Equity Class | $ | 664,989,457 | Discounted Cash Flow | Discount Rate | 5.61% - 38.67% | 13.36 | % | |||||||||
| Collateral Loan Obligations - Debt Class | 306,685,333 | Discounted Cash Flow | Discount Rate | 10.23% - 39.82% | 13.50 | % | ||||||||||
| Total Level 3 Investments | $ | 971,674,790 | ||||||||||||||
(1) Excludes investments that have been called for redemption.
(2) Represents the implied discount rate based on our internally generated single-path cash flows that are derived from the fair value estimated by the corresponding multi-path cash flow model utilized by the independent valuation firm.
In determining the range of values for our investments in CLOs, the independent valuation firm uses a discounted multi-path cash flow model. The valuations were accomplished through the analysis of the CLO deal structures to identify the risk exposures from the modeling point of view as well as to determine an appropriate call date (i.e., expected maturity). These risk factors are sensitized in the multi-path cash flow model using Monte Carlo simulations to generate probability-weighted (i.e., multi-path) cash flows for the underlying assets and liabilities. These cash flows are discounted using appropriate market discount rates, and relevant data in the CLO market and certain benchmark credit indices are considered, to determine the value of each CLO investment. In addition, we generate a single-path cash flow utilizing our best estimate of expected cash receipts, and assess the reasonableness of the implied discount rate that would be effective for the value derived from the corresponding multi-path cash flow model.
The significant unobservable input used to value the CLOs is the discount rate applied to the estimated future cash flows expected to be received from the underlying investment, which includes both future principal and interest payments. Included in the consideration and selection of the discount rate are the following factors: risk of default, comparable investments, and call provisions. An increase or decrease in the discount rate applied to projected cash flows, where all other inputs remain constant, would result in a decrease or increase, respectively, in the fair value measurement.
The Company is not responsible for and has no influence over the management of the portfolios underlying the CLO investments the Company holds as those portfolios are managed by non-affiliated third party CLO collateral managers. CLO investments may be riskier and less transparent to the Company than direct investments in underlying companies. CLOs typically will have no significant assets other than their underlying senior secured loans. Therefore, payments on CLO investments are and will be payable solely from the cash flows from such senior secured loans.
The Company’s portfolio primarily consists of residual interests investments in CLOs, which involve a number of significant risks. CLOs are typically highly levered (10 - 14 times), and therefore the residual interest tranches that the Company invests in are subject to a higher degree of risk of total loss. In particular, investors in CLO residual interests indirectly bear risks of the underlying loan investments held by such CLOs. The Company generally has the right to receive payments only from the CLOs, and generally do not have direct rights against the underlying borrowers or the entity that sponsored the CLO. While the CLOs the Company targets generally enable the investor to acquire interests in a pool of senior loans without the expenses associated with directly holding the same investments, the Company’s prices of indices and securities underlying CLOs will rise or fall. These prices (and, therefore, the values of the CLOs) will be influenced by the same types of political and economic events that affect issuers of securities and capital markets generally. The failure by a CLO investment in which the Company invests to satisfy financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could lead to reductions in its payments to the Company. In the event that a CLO fails certain tests, holders of debt senior to the Company may be entitled to additional payments that would, in turn, reduce the payments the Company would otherwise be entitled to receive. Separately, the Company may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO or any other investment the Company may make. If any of these occur, it could materially and adversely affect the Company’s operating results and cash flows.
Notes to Schedule of Investments
September 30, 2024
(unaudited)
The interests the Company has acquired in CLOs are generally thinly traded or have only a limited trading market. CLOs are typically privately offered and sold, even in the secondary market. As a result, investments in CLOs may be characterized as illiquid securities. In addition to the general risks associated with investing in debt securities, CLO residual interests carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the fact that the Company’s investments in CLO tranches will likely be subordinate to other senior classes of note tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the CLO investment or unexpected investment results. The Company’s net asset value may also decline over time if the Company’s principal recovery with respect to CLO residual interests is less than the price that the Company paid for those investments. The Company’s CLO investments and/or the underlying senior secured loans may prepay more quickly than expected, which could have an adverse impact on its value.
An increase in interest rates would materially increase the CLO’s financing costs. Since most of the collateral positions within the CLOs have interest rate floors, there may not be corresponding increases in investment income (if interest rates increase but stay below the interest rate floors of such investments) resulting in materially smaller distribution payments to the residual interest investors.
If the Company owns more than 10% of the shares in a foreign corporation that is treated as a Controlled Foreign Corporation (“CFC”) (including residual interest tranche investments in a CLO investment treated as a CFC), for which the Company is treated as receiving a deemed distribution (taxable as ordinary income) each year from such foreign corporation in an amount equal to its pro rata share of the corporation’s income for the tax year (including both ordinary earnings and capital gains), the Company is required to include such deemed distributions from a CFC in its income and the Company is required to distribute such income to maintain its RIC tax treatment regardless of whether or not the CFC makes an actual distribution during such year.
The Company owns shares in Passive Foreign Investment Companies (“PFICs”) (including residual interest tranche investments in CLOs that are PFICs), therefore the Company may be subject to federal income tax on a portion of any “excess distribution” or gain from the disposition of such shares even if such income is distributed as a taxable dividend to its common stockholders. Certain elections may be available to mitigate or eliminate such tax on excess distributions, but such elections (if available) will generally require the Company to recognize its share of the PFICs income for each year regardless of whether the Company receives any distributions from such PFICs. The Company must nonetheless distribute at least 90% of such income to maintain its tax treatment as a RIC.
If the Company is required to include amounts in income prior to receiving distributions representing such income, the Company may have to sell some of its investments at times and/or at prices management would not consider advantageous, raise additional debt or equity capital or forgo new investment opportunities for this purpose. If the Company is not able to obtain cash from other sources, it may fail to qualify for RIC tax treatment and thus become subject to corporate-level income tax.
The Company’s portfolio is concentrated in CLO vehicles, which is subject to a risk of loss if that sector experiences a market downturn. The Company is subject to credit risk in the normal course of pursuing its investment objectives. The Company’s maximum risk of loss from credit risk for its portfolio investments is the inability of the CLO collateral managers to return up to the cost value due to defaults occurring in the underlying loans of the CLOs.
Investments in CLO residual interests generally offer less liquidity than other investment grade or high-yield corporate debt, and may be subject to certain transfer restrictions. The Company’s ability to sell certain investments quickly in response to changes in economic and other conditions and to receive a fair price when selling such investments may be limited, which could prevent the Company from making sales to mitigate losses on such investments. In addition, CLOs are subject to the possibility of liquidation upon an event of default of certain minimum required coverage ratios, which could result in full loss of value to the CLO residual interests and junior debt investors.
Notes to Schedule of Investments
September 30, 2024
(unaudited)
The fair value of the Company’s investments may be significantly affected by changes in interest rates. The Company’s investments in senior secured loans through CLOs are sensitive to interest rate levels and volatility. In the event of a significant rising interest rate environment and/or economic downturn, loan defaults may increase and result in credit losses which may adversely affect the Company’s cash flow, fair value of its investments and operating results. In the event of a declining interest rate environment, a faster than anticipated rate of prepayments is likely to result in a lower than anticipated yield.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Company’s investments may fluctuate from period to period. Additionally, the fair value of the Company’s investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that we may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If the Company was required to liquidate a portfolio investment in a forced or liquidation sale, the Company could realize significantly less than the value at which the Company has recorded it.
In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected in the currently assigned valuations.
Co-Investments
On January 13, 2020, (amended on August 2, 2022), the parent company of the Adviser received an exemptive order from the SEC (the “Order”), which superseded a prior co-investment exemptive order granted on February 10, 2014, granting the parent company the ability to negotiate terms other than price and quantity of co-investment transactions with other funds managed by the Adviser or certain affiliates, including Prospect Capital Corporation and Prospect Floating Rate and Alternative Income Fund, Inc., where co-investing would otherwise be prohibited under the 1940 Act, subject to the conditions included therein.
Under the terms of the relief permitting us to co-invest with other funds managed by our Investment Adviser or its affiliates, a “required majority” (as defined in Section 57(o) of the 1940 Act) of the Company’s independent directors must make certain conclusions in connection with a co-investment transaction, including that (1) the terms of the proposed transaction, including the consideration to be paid, are reasonable and fair to the Company and its stockholders and do not involve overreaching of the Company or its stockholders on the part of any person concerned and (2) the transaction is consistent with the interests of the Company’s stockholders and is consistent with the Company’s investment objective and strategies. In certain situations where co-investment with one or more funds managed by the Adviser or its affiliates is not covered by the Order, such as when there is an opportunity to invest in different securities of the same issuer, the personnel of the Adviser or its affiliates will need to decide which fund will proceed with the investment. Such personnel will make these determinations based on policies and procedures, which are designed to reasonably ensure that investment opportunities are allocated fairly and equitably among affiliated funds over time and in a manner that is consistent with applicable laws, rules and regulations. Moreover, except in certain circumstances, when relying on the Order, the Company will be unable to invest in any issuer in which one or more funds managed or owned by the Adviser or its affiliates has previously invested.
Note 2. Income Taxes
As of September 30, 2024, the cost basis of investments for tax purposes was as follows:
| Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/(Depreciation) | |||||||||||
| $ | 990,264,822 | $ | 109,330,260 | $ | (127,920,292 | ) | $ | (18,590,032 | ) | |||||
Tax balances are estimates and the final determination for this year will not be made until the Company files its tax return for the tax year ended June 30, 2025.
1 Year Priority Income Chart |
1 Month Priority Income Chart |
It looks like you are not logged in. Click the button below to log in and keep track of your recent history.
Support: +44 (0) 203 8794 460 | support@advfn.com
By accessing the services available at ADVFN you are agreeing to be bound by ADVFN's Terms & Conditions
Hot Features
Premium
