Fund Performance | ||||||||||||||||||||||||||
Average Annual Total Returns as of June 30, 2022 | |||||||||||||||||||||||||||||
Inception Date | 1 Year | 5 Year | From Inception | ||||||||||||||||||||||||||
Priority Income Fund, Inc. | |||||||||||||||||||||||||||||
with maximum sales charge | 1/3/2014 | 3.51 | % | 5.25 | % | 8.89 | % | ||||||||||||||||||||||
without sales charge | 1/3/2014 | 11.03 | % | 7.03 | % | 9.96 | % | ||||||||||||||||||||||
Bloomberg Barclays US Aggregate Bond Index | 1/3/2014 | (10.30) | % | 0.88 | % | 1.85 | % | * | |||||||||||||||||||||
Credit Suisse Leveraged Loan Index | 1/3/2014 | (2.68) | % | 2.97 | % | 3.30 | % | * | |||||||||||||||||||||
S&P 500 Index | 1/3/2014 | (10.60) | % | 11.31 | % | 11.03 | % | * | |||||||||||||||||||||
Portfolio Composition - At a Glance | ||||||||||||||||||||||||||
Top Ten Holdings | ||||||||||||||||||||||||||
As of June 30, 2022 | ||||||||||||||||||||||||||
Portfolio Investment | Investment | Legal Maturity | Fair Value | % of Net Assets | ||||||||||||||||||||||
Cedar Funding IV CLO, Ltd. | Subordinated Notes | 7/23/2030 | $ | 19,597,526 | 3.7 | % | ||||||||||||||||||||
CIFC Funding 2017-IV, Ltd. | Subordinated Notes | 10/24/2030 | $ | 15,349,902 | 2.9 | % | ||||||||||||||||||||
Voya CLO 2022-1, Ltd. | Subordinated Notes | 4/20/2035 | $ | 15,188,944 | 2.9 | % | ||||||||||||||||||||
Voya CLO 2018-1, Ltd. | Subordinated Notes | 4/18/2031 | $ | 14,842,975 | 2.8 | % | ||||||||||||||||||||
Neuberger Berman CLO XVI-S, Ltd. | Subordinated Notes | 4/17/2034 | $ | 14,114,980 | 2.7 | % | ||||||||||||||||||||
Cedar Funding XI CLO, Ltd. | Subordinated Notes | 5/28/2032 | $ | 13,790,274 | 2.6 | % | ||||||||||||||||||||
Madison Park Funding XIV, Ltd. | Subordinated Notes | 10/22/2030 | $ | 13,680,997 | 2.6 | % | ||||||||||||||||||||
Columbia Cent CLO 29 Limited | Subordinated Notes | 7/21/2031 | $ | 13,651,421 | 2.6 | % | ||||||||||||||||||||
Sound Point CLO XVII, Ltd. | Subordinated Notes | 10/20/2030 | $ | 13,631,175 | 2.6 | % | ||||||||||||||||||||
Voya CLO 2019-1, Ltd. | Subordinated Notes | 4/15/2031 | $ | 13,494,103 | 2.5 | % |
Number of Loans Underlying the Company’s CLO Investments | 2,076 | ||||
Dollar Amount of Loans Underlying the Company’s CLO Investments | $81.2 billion | ||||
Percentage of Collateral Underlying the Company’s CLO Investments that are in Default | 0.25 | % | |||
Last Twelve Months Default Rate of Collateral Underlying the Company’s CLO Investments | 0.22 | % |
Number of loans underlying the Company’s CLO investments | 2,076 | ||||
Largest exposure to any individual borrower | 0.97 | % | |||
Average individual borrower exposure | 0.06 | % | |||
Aggregate exposure to 10 largest borrowers | 6.39 | % | |||
Aggregate exposure to senior secured loans | 100 | % | |||
Weighted average stated spread | 3.5 | % | |||
Weighted average LIBOR floor | 0.70 | % | |||
Weighted average percentage of floating rate loans with LIBOR floors | 54.59 | % | |||
Weighted average credit rating of underlying collateral based on average Moody’s rating | B1/B2 | ||||
Weighted average maturity of underlying collateral | 4.6 years | ||||
U.S. dollar currency exposure | 100 | % |
Underlying Secured Loan Rating Distribution (Moody’s / S&P)(1) | ||||||||||||||||||||||||||
Quarter-End | Aaa/AAA | Aa/AA | A/A | Baa/BBB | Ba/BB | B/B | Caa/CCC and Lower | Unrated | ||||||||||||||||||
June 30, 2022 | 0.00% / 0.00% | 0.00% / 0.00% | 0.08% / 0.01% | 1.96% / 1.24% | 26.50% / 22.22% | 66.94% / 70.02% | 4.03% / 5.02% | 0.61% / 1.64% | ||||||||||||||||||
(1)Excludes structured product assets and newly issued transactions for which collateral data is not yet available. | ||||||||||||||||||||||||||
Cash is included within the denominator of the above calculations, but is not rated by Moody’s/S&P. |
Statement of Assets and Liabilities | ||||||||||||||||||||
As of June 30, 2022 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at fair value (amortized cost $947,852,542) | $ | 846,193,494 | ||||||||||||||||||
Cash | 8,599,000 | |||||||||||||||||||
Interest receivable | 2,073,052 | |||||||||||||||||||
Deferred common stock offering costs (Note 5) | 489,541 | |||||||||||||||||||
Deferred financing costs on Revolving Credit Facility (Note 11) | 360,625 | |||||||||||||||||||
Prepaid expenses | 255,278 | |||||||||||||||||||
Due from affiliate (Note 5) | 162,748 | |||||||||||||||||||
Receivable for capital shares sold | 20,758 | |||||||||||||||||||
Total assets | 858,154,496 | |||||||||||||||||||
Liabilities | ||||||||||||||||||||
Mandatorily redeemable Term Preferred Stock; ($0.01 par value; 50,000,000 shares authorized; 1,094,065 Series D Term Preferred Stock outstanding with net offering costs of $450,739 and unamortized discount of $654,024; 1,233,428 Series F Term Preferred Stock outstanding with net offering costs of $129,501 and unamortized discount of $708,097; 1,472,000 Series G Term Preferred Stock outstanding with net offering costs of $229,827 and unamortized discount of $915,904; 1,196,000 Series H Term Preferred Stock outstanding with net offering costs of $245,194 and unamortized discount of $770,295; 1,600,000 Series I Term Preferred Stock outstanding with net offering costs of $219,288 and unamortized discount of $1,106,097; 1,580,000 Series J Term Preferred Stock outstanding with net offering costs of $245,439 and unamortized discount of $1,119,327; 1,100,000 Series L Term Preferred Stock outstanding with net offering costs of $297,025 and unamortized discount of $830,178) (Note 7) | 223,966,390 | |||||||||||||||||||
Notes payable (less unamortized discount and debt issuance costs of $1,143,413) (Note 12) | 28,856,587 | |||||||||||||||||||
Revolving Credit Facility (Note 11) | 24,800,000 | |||||||||||||||||||
Due to Adviser (Note 5) | 9,589,867 | |||||||||||||||||||
Accrued expenses | 1,368,692 | |||||||||||||||||||
Due to administrator (Note 5) | 690,978 | |||||||||||||||||||
Due to affiliate (Note 5) | 333,684 | |||||||||||||||||||
Interest payable | 200,968 | |||||||||||||||||||
Director fees payable | 75,000 | |||||||||||||||||||
Preferred dividend payable | 4,873 | |||||||||||||||||||
Dividends payable | 3,348 | |||||||||||||||||||
Total liabilities | 289,890,387 | |||||||||||||||||||
Cumulative Preferred Stock, par value $0.01 per share (50,000,000 shares authorized; 1,600,000 Series K Cumulative Preferred Stock outstanding as of June 30, 2022) (Note 7) | 38,434,574 | |||||||||||||||||||
Commitments and contingencies (Note 10) | ||||||||||||||||||||
Net Assets Applicable to Common Shares | $ | 529,829,535 | ||||||||||||||||||
Components of net assets: | ||||||||||||||||||||
Common stock, $0.01 par value; 150,000,000 shares authorized; 43,996,704 shares issued and | ||||||||||||||||||||
outstanding (Note 4) | $ | 439,967 | ||||||||||||||||||
Paid-in capital in excess of par (Note 4) | 506,129,345 | |||||||||||||||||||
Total distributable earnings (Note 8) | 23,260,223 | |||||||||||||||||||
Net Assets Applicable to Common Shares | $ | 529,829,535 | ||||||||||||||||||
Net asset value per Common Share | $ | 12.04 | ||||||||||||||||||
See accompanying notes to financial statements. |
Statement of Operations | ||||||||||||||||||||
For the year ended June 30, 2022 | ||||||||||||||||||||
Investment income | ||||||||||||||||||||
Interest income from investments | $ | 133,711,657 | ||||||||||||||||||
Total investment income | 133,711,657 | |||||||||||||||||||
Expenses | ||||||||||||||||||||
Incentive fee (Note 5) | 17,991,301 | |||||||||||||||||||
Base management fee (Note 5) | 15,991,217 | |||||||||||||||||||
Total investment advisory fees | 33,982,518 | |||||||||||||||||||
Preferred dividend expense | 15,008,922 | |||||||||||||||||||
Interest expense and credit facility expense | 2,420,296 | |||||||||||||||||||
Administrator costs (Note 5) | 2,283,554 | |||||||||||||||||||
Transfer agent fees and expenses | 1,687,948 | |||||||||||||||||||
Valuation services | 1,284,333 | |||||||||||||||||||
Adviser shared service expense (Note 5) | 722,014 | |||||||||||||||||||
Amortization of common stock offering costs (Note 5) | 620,085 | |||||||||||||||||||
Report and notice to shareholders | 587,813 | |||||||||||||||||||
Audit and tax expense | 536,679 | |||||||||||||||||||
General and administrative | 379,571 | |||||||||||||||||||
Legal expense | 332,347 | |||||||||||||||||||
Insurance expense | 253,101 | |||||||||||||||||||
Director fees | 206,250 | |||||||||||||||||||
Total expenses | 60,305,431 | |||||||||||||||||||
Net investment income | 73,406,226 | |||||||||||||||||||
Net realized loss and net change in unrealized appreciation (depreciation) on investments | ||||||||||||||||||||
Net realized loss on investments | (8,358,797) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (14,484,658) | |||||||||||||||||||
Net realized loss and net change in unrealized appreciation (depreciation) on investments | (22,843,455) | |||||||||||||||||||
Net realized loss on repurchase of preferred stock | (1,668,530) | |||||||||||||||||||
Net increase in net assets resulting from operations | $ | 48,894,241 | ||||||||||||||||||
Dividends declared on Cumulative Preferred Stock | (2,061,104) | |||||||||||||||||||
Net Increase in Net Assets Resulting from Operations applicable to Common Stockholders | $ | 46,833,137 | ||||||||||||||||||
See accompanying notes to financial statements. |
Statements of Changes in Net Assets and Temporary Equity | ||||||||||||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2022 | June 30, 2021 | |||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations applicable to Common Stockholders: | ||||||||||||||||||||||||||
Net investment income | $ | 73,406,226 | $ | 63,820,766 | ||||||||||||||||||||||
Net realized loss on investments | (8,358,797) | (1,305,864) | ||||||||||||||||||||||||
Net change in unrealized (depreciation) appreciation on investments | (14,484,658) | 38,454,444 | ||||||||||||||||||||||||
Net realized loss on repurchase of preferred stock | (1,668,530) | (1,600,048) | ||||||||||||||||||||||||
Net increase in net assets resulting from operations applicable to Common Stockholders | 48,894,241 | 99,369,298 | ||||||||||||||||||||||||
Distributions to common stockholders: | ||||||||||||||||||||||||||
Dividends from earnings (Notes 6 and 8) | (53,587,685) | (20,598,582) | ||||||||||||||||||||||||
Return of capital (Notes 6 and 8) | — | (23,287,387) | ||||||||||||||||||||||||
Total distributions to common stockholders | (53,587,685) | (43,885,969) | ||||||||||||||||||||||||
Distributions to Series K Cumulative Preferred stockholders: | ||||||||||||||||||||||||||
Dividends from earnings (Notes 6 and 8) | (2,061,104) | — | ||||||||||||||||||||||||
Total distributions to Series K Cumulative Preferred stockholders | (2,061,104) | — | ||||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||
Gross proceeds from shares sold (Note 4) | 103,968,590 | 47,608,280 | ||||||||||||||||||||||||
Commissions and fees on shares sold (Note 5) | (6,229,141) | (2,940,372) | ||||||||||||||||||||||||
Repurchase of common shares (Note 4) | (30,291,138) | (17,333,315) | ||||||||||||||||||||||||
Reinvestment of distributions (Note 4) | 20,851,185 | 17,666,417 | ||||||||||||||||||||||||
Net increase in net assets from capital transactions | 88,299,496 | 45,001,010 | ||||||||||||||||||||||||
Total increase in net assets | 81,544,948 | 100,484,339 | ||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||
Beginning of year | 448,284,587 | 347,800,248 | ||||||||||||||||||||||||
End of year | $ | 529,829,535 | $ | 448,284,587 |
Year Ended | Year Ended | ||||||||||||||||||||||
June 30, 2022 | June 30, 2021 | ||||||||||||||||||||||
Preferred Stock Classified as Temporary Equity: | |||||||||||||||||||||||
Proceeds from the issuance of Cumulative Preferred Stock (Note 7) | $ | 38,750,000 | $ | — | |||||||||||||||||||
Cumulative Preferred Stock issuance costs, paid and deferred | (315,426) | — | |||||||||||||||||||||
Net increase in Temporary Equity from Cumulative Preferred Stock transactions | 38,434,574 | — | |||||||||||||||||||||
Temporary Equity: | |||||||||||||||||||||||
Beginning of year | — | — | |||||||||||||||||||||
End of year | $ | 38,434,574 | $ | — | |||||||||||||||||||
See accompanying notes to financial statements. |
Statement of Cash Flows | ||||||||||||||||||||
For the year ended June 30, 2022 | ||||||||||||||||||||
Cash flows used in operating activities: | ||||||||||||||||||||
Net increase in net assets resulting from operations | $ | 48,894,241 | ||||||||||||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | ||||||||||||||||||||
Amortization of common stock offering costs (Note 5) | 620,085 | |||||||||||||||||||
Accretion of purchase discount, net | 28,826,200 | |||||||||||||||||||
Amortization of term preferred stock deferred offering costs | 252,496 | |||||||||||||||||||
Amortization of term preferred stock discount | 841,908 | |||||||||||||||||||
Amortization of notes payable debt issuance costs | 10,003 | |||||||||||||||||||
Amortization of notes payable discount | 24,636 | |||||||||||||||||||
Amortization of deferred financing costs on Revolving Credit Facility (Note 11) | 207,899 | |||||||||||||||||||
Purchases of investments | (218,310,755) | |||||||||||||||||||
Repayments from investments | 21,251,054 | |||||||||||||||||||
Payment-in-kind interest | (593,236) | |||||||||||||||||||
Net realized loss on investments | 8,358,797 | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 14,484,658 | |||||||||||||||||||
Net realized loss on repurchase of preferred stock | 1,668,530 | |||||||||||||||||||
(Increase) Decrease in operating assets: | ||||||||||||||||||||
Deferred common stock offering costs (Note 5) | (898,724) | |||||||||||||||||||
Interest receivable | (309,388) | |||||||||||||||||||
Due from affiliate (Note 5) | 9,638 | |||||||||||||||||||
Prepaid expenses | (227,302) | |||||||||||||||||||
Increase (Decrease) in operating liabilities: | ||||||||||||||||||||
Due to adviser (Note 5) | 1,607,378 | |||||||||||||||||||
Accrued expenses | (316,551) | |||||||||||||||||||
Due to administrator (Note 5) | (125,807) | |||||||||||||||||||
Due to affiliate (Note 5) | 333,684 | |||||||||||||||||||
Preferred dividend payable | (359,095) | |||||||||||||||||||
Interest payable | 107,426 | |||||||||||||||||||
Director fees payable | 75,000 | |||||||||||||||||||
Net cash used in operating activities | (93,567,225) | |||||||||||||||||||
Cash flows provided by financing activities: | ||||||||||||||||||||
Gross proceeds from shares sold (Note 4) | 103,937,832 | |||||||||||||||||||
Commissions and fees on shares sold (Note 5) | (6,228,466) | |||||||||||||||||||
Distributions paid to common stockholders | (32,733,448) | |||||||||||||||||||
Repurchase of common shares (Note 4) | (30,291,138) | |||||||||||||||||||
Term Preferred Stock issuance costs, paid and deferred | (749,015) | |||||||||||||||||||
Cumulative Preferred Stock issuance costs, paid and deferred | (315,426) | |||||||||||||||||||
Proceeds from the issuance of Term Preferred Stock (Note 7) | 64,906,250 | |||||||||||||||||||
Proceeds from the issuance of Cumulative Preferred Stock (Note 7) | 38,750,000 | |||||||||||||||||||
Repurchases of Term Preferred Stock (Note 7) | (62,248,475) | |||||||||||||||||||
Distributions paid to Cumulative Preferred Stockholders | (2,061,104) | |||||||||||||||||||
Borrowings under Revolving Credit Facility (Note 11) | 120,100,000 | |||||||||||||||||||
Repayments of Revolving Credit Facility (Note 11) | (111,500,000) | |||||||||||||||||||
Deferred financing costs on Revolving Credit Facility (Note 11) | (154,995) | |||||||||||||||||||
Proceeds from the issuance of notes payable (Note 12) | 14,531,250 | |||||||||||||||||||
Notes payable debt issuance costs, paid and deferred | (52,159) | |||||||||||||||||||
Net cash provided by financing activities | 95,891,106 | |||||||||||||||||||
Net increase in cash | 2,323,881 | |||||||||||||||||||
Cash, beginning of year | 6,275,119 | |||||||||||||||||||
Cash, end of year | $ | 8,599,000 | ||||||||||||||||||
Non-cash financing activity: | ||||||||||||||||||||
Value of shares issued through reinvestment of distributions | $ | 20,851,185 | ||||||||||||||||||
Supplemental disclosure: | ||||||||||||||||||||
Cash paid for interest | $ | 2,240,956 | ||||||||||||||||||
Cash paid for Term Preferred Stock and Cumulative Preferred Stock | $ | 16,334,718 | ||||||||||||||||||
See accompanying notes to financial statements. |
Schedule of Investments | ||||||||||||||||||||||||||||||||||||||||||||
As of June 30, 2022 |
Portfolio Investments(1)(5)(9) | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Adams Mill CLO Ltd.(6)(7) | Subordinated Notes | — | % | 7/15/2026 | 7/3/2014 | $ | 500,000 | $ | — | $ | — | — | % | |||||||||||||||||||||||||||||||||||||
AIMCO CLO 11, Ltd. | Subordinated Notes | 22.07 | % | 10/17/2034 | 4/4/2022 | 5,000,000 | 4,872,394 | 4,863,387 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
Apidos CLO XVIII-R | Subordinated Notes | 12.25 | % | 10/22/2030 | 9/26/2018 | 410,000 | 496,976 | 390,154 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||
Apidos CLO XX | Subordinated Notes | 29.05 | % | 7/16/2031 | 3/4/2020 | 12,500,000 | 6,799,271 | 7,551,592 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Apidos CLO XXI(6)(7) | Subordinated Notes | — | % | 7/19/2027 | 5/13/2015 | 5,000,000 | 3,070,605 | — | — | % | ||||||||||||||||||||||||||||||||||||||||
Apidos CLO XXII | Subordinated Notes | 20.69 | % | 4/21/2031 | 9/17/2015 | 9,894,611 | 6,403,429 | 6,986,707 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
Apidos CLO XXIV | Subordinated Notes | 27.84 | % | 10/21/2030 | 5/17/2019 | 12,214,397 | 6,715,689 | 7,472,318 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Apidos CLO XXVI | Subordinated Notes | 17.82 | % | 7/18/2029 | 7/25/2019 | 6,000,000 | 4,464,440 | 4,531,189 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
Babson CLO Ltd. 2015-I | Subordinated Notes | 8.63 | % | 1/20/2031 | 4/1/2015 | 3,400,000 | 2,098,394 | 1,499,617 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
Barings CLO Ltd. 2018-III(6) | Subordinated Notes | — | % | 7/20/2029 | 10/10/2014 | 397,600 | 174,479 | 116,086 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO 2012-2 Ltd.(6)(7) | Subordinated Notes | — | % | 11/20/2028 | 1/7/2015 | 3,000,000 | 858,325 | — | — | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO 2013-2 Ltd. | Subordinated Notes | 0.55 | % | 10/22/2030 | 10/1/2015 | 1,900,000 | 1,423,539 | 968,652 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO XXVI Ltd. | Subordinated Notes | 21.27 | % | 10/20/2034 | 11/18/2021 | 8,906,000 | 7,480,440 | 7,029,595 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO XXVIII Ltd. | Subordinated Notes | 22.39 | % | 4/17/2034 | 4/1/2022 | 3,300,000 | 2,832,329 | 2,770,842 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO XXIX Ltd. | Subordinated Notes | 22.25 | % | 7/25/2034 | 12/15/2021 | 6,000,000 | 5,405,324 | 5,182,363 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO XXXI Ltd. | Subordinated Notes | 23.22 | % | 4/19/2034 | 4/28/2022 | 5,000,000 | 4,021,776 | 3,862,073 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO XXXII Ltd. | Subordinated Notes | 21.64 | % | 10/16/2034 | 2/18/2022 | 6,000,000 | 5,081,190 | 4,842,432 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain CLO XXXIV Ltd. | Subordinated Notes | 22.23 | % | 4/20/2035 | 3/23/2022 | 5,700,000 | 5,210,439 | 4,925,047 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
BlueMountain Fuji US CLO II Ltd. | Subordinated Notes | 12.45 | % | 10/21/2030 | 8/22/2017 | 2,500,000 | 2,170,681 | 1,848,795 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
California Street CLO IX, Ltd. | Preference Shares | 25.58 | % | 7/16/2032 | 12/13/2019 | 4,670,000 | 2,212,092 | 2,318,847 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2013-1, Ltd. | Subordinated Notes | 7.71 | % | 8/14/2030 | 6/23/2016 | 17,550,000 | 11,489,607 | 8,388,496 | 1.6 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2013-4, Ltd. | Income Notes | 9.42 | % | 1/15/2031 | 12/22/2016 | 11,839,488 | 6,998,756 | 5,532,762 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2014-1, Ltd. | Income Notes | 18.29 | % | 4/17/2031 | 2/25/2016 | 12,870,000 | 7,977,720 | 8,071,750 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2014-3-R, Ltd. | Subordinated Notes | 10.47 | % | 7/28/2031 | 5/23/2018 | 15,000,000 | 12,697,347 | 10,301,924 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2016-1, Ltd. | Subordinated Notes | 11.49 | % | 4/20/2034 | 3/16/2016 | 6,844,556 | 6,073,361 | 5,228,773 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2016-3, Ltd. | Subordinated Notes | 13.53 | % | 7/20/2034 | 8/8/2016 | 3,245,614 | 2,753,921 | 2,643,114 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2017-2, Ltd. | Subordinated Notes | 31.04 | % | 7/21/2031 | 1/4/2022 | 4,450,000 | 2,367,891 | 2,311,461 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2017-4, Ltd. | Income Notes | 27.73 | % | 1/15/2030 | 10/14/2021 | 9,107,000 | 5,092,682 | 4,848,127 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
Carlyle Global Market Strategies CLO 2017-5, Ltd. | Subordinated Notes | 8.58 | % | 1/22/2030 | 12/18/2017 | 10,000,000 | 8,831,000 | 7,429,833 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Cedar Funding II CLO, Ltd. | Subordinated Notes | 15.50 | % | 4/20/2034 | 9/27/2017 | 2,500,000 | 2,055,422 | 1,820,775 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
Cedar Funding IV CLO, Ltd. | Subordinated Notes | 15.73 | % | 7/23/2030 | 6/19/2017 | 26,698,229 | 21,114,649 | 19,597,526 | 3.8 | % | ||||||||||||||||||||||||||||||||||||||||
Cedar Funding V CLO, Ltd. | Subordinated Notes | 26.50 | % | 7/17/2031 | 10/15/2018 | 7,358,000 | 7,087,461 | 7,254,209 | 1.4 | % |
Portfolio Investments(1)(5)(9) | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Cedar Funding VI CLO, Ltd. | Subordinated Notes | 16.63 | % | 4/20/2034 | 8/7/2017 | $ | 6,722,117 | $ | 6,425,745 | $ | 5,724,185 | 1.1 | % | |||||||||||||||||||||||||||||||||||||
Cedar Funding X CLO, Ltd. | Subordinated Notes | 24.60 | % | 10/20/2032 | 1/12/2022 | 10,775,000 | 8,978,675 | 8,590,671 | 1.6 | % | ||||||||||||||||||||||||||||||||||||||||
Cedar Funding XI CLO, Ltd. | Subordinated Notes | 23.86 | % | 6/1/2032 | 7/12/2021 | 17,500,000 | 13,389,179 | 13,790,274 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||
Cedar Funding XII, Ltd. | Subordinated Notes | 23.04 | % | 10/25/2034 | 3/28/2022 | 3,300,000 | 2,754,738 | 2,690,667 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Cedar Funding XIV, Ltd. | Subordinated Notes | 23.67 | % | 7/15/2033 | 4/7/2022 | 10,000,000 | 7,569,452 | 7,516,059 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Cent CLO 21 Limited(6) | Subordinated Notes | — | % | 7/26/2030 | 5/15/2014 | 510,555 | 351,027 | 271,923 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Falcon 2019, Ltd. | Subordinated Notes | 19.06 | % | 1/20/2033 | 5/14/2021 | 8,500,000 | 7,840,321 | 7,753,009 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2013-I, Ltd. | Subordinated Notes | 16.94 | % | 7/16/2030 | 6/1/2018 | 3,000,000 | 1,797,636 | 1,684,217 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2013-II, Ltd. | Income Notes | 7.73 | % | 10/18/2030 | 2/6/2014 | 305,000 | 172,695 | 128,062 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2013-III-R, Ltd. | Subordinated Notes | 26.75 | % | 4/24/2031 | 1/19/2021 | 4,900,000 | 2,101,240 | 2,285,145 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2013-IV, Ltd. | Subordinated Notes | 16.90 | % | 4/28/2031 | 3/15/2019 | 8,000,000 | 5,014,125 | 4,938,442 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2014, Ltd. | Income Notes | 10.58 | % | 1/21/2031 | 2/6/2014 | 2,758,900 | 1,646,591 | 1,347,076 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2014-III, Ltd. | Income Notes | 14.11 | % | 10/22/2031 | 11/14/2016 | 11,700,000 | 6,881,483 | 5,658,273 | 1.1 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2014-IV-R, Ltd. | Income Notes | 15.39 | % | 1/17/2035 | 8/5/2014 | 4,833,031 | 2,980,929 | 2,613,457 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2015-I, Ltd. | Subordinated Notes | 14.31 | % | 1/22/2031 | 11/24/2015 | 7,500,000 | 5,035,978 | 4,502,886 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2015-III, Ltd.(6) | Subordinated Notes | — | % | 4/19/2029 | 5/29/2018 | 10,000,000 | 5,659,528 | 5,166,357 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2015-IV, Ltd. | Subordinated Notes | 16.96 | % | 4/20/2034 | 4/27/2016 | 22,930,000 | 12,745,429 | 11,453,905 | 2.2 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2016-I, Ltd. | Subordinated Notes | 25.23 | % | 10/21/2031 | 12/9/2016 | 6,500,000 | 4,368,481 | 5,544,155 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2017-I, Ltd. | Subordinated Notes | 1.62 | % | 4/20/2029 | 2/3/2017 | 8,000,000 | 6,485,309 | 5,594,010 | 1.1 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2017-IV, Ltd. | Subordinated Notes | 15.15 | % | 10/24/2030 | 8/14/2017 | 18,000,000 | 17,064,568 | 15,349,902 | 3.0 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2018-IV, Ltd. | Subordinated Notes | 25.30 | % | 10/17/2031 | 6/19/2020 | 6,000,000 | 4,313,927 | 4,902,001 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2020-II, Ltd. | Income Notes | 28.26 | % | 10/20/2034 | 7/20/2020 | 2,000,000 | 1,577,419 | 1,832,097 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2020-III, Ltd. | Subordinated Notes | 23.08 | % | 10/20/2034 | 9/11/2020 | 7,350,000 | 6,558,500 | 7,056,700 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
Columbia Cent CLO 29 Limited | Subordinated Notes | 27.27 | % | 10/20/2034 | 7/10/2020 | 16,000,000 | 11,763,190 | 13,651,421 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||
Columbia Cent CLO 31 Limited | Subordinated Notes | 21.59 | % | 4/20/2034 | 2/1/2021 | 12,100,000 | 9,998,167 | 10,074,323 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||
Dryden 86 CLO, Ltd. | Subordinated Notes | 24.76 | % | 7/17/2034 | 3/10/2022 | 10,250,000 | 7,370,408 | 7,185,676 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Dryden 87 CLO, Ltd. | Subordinated Notes | 24.05 | % | 5/22/2034 | 3/10/2022 | 4,000,000 | 3,414,920 | 3,305,856 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||
Dryden 95 CLO, Ltd. | Subordinated Notes | 23.26 | % | 8/21/2034 | 4/27/2022 | 10,500,000 | 8,522,795 | 8,775,370 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||
Galaxy XIX CLO, Ltd. | Subordinated Notes | 16.07 | % | 7/24/2030 | 12/5/2016 | 2,750,000 | 1,946,258 | 1,445,554 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
Galaxy XX CLO, Ltd. | Subordinated Notes | 25.97 | % | 4/21/2031 | 5/28/2021 | 2,000,000 | 1,549,977 | 1,559,401 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
Galaxy XXI CLO, Ltd. | Subordinated Notes | 27.66 | % | 4/21/2031 | 5/28/2021 | 4,775,000 | 2,856,549 | 2,889,137 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Galaxy XXVII CLO, Ltd. | Subordinated Notes | 32.42 | % | 5/16/2031 | 7/23/2021 | 2,212,500 | 921,699 | 1,071,161 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||
Galaxy XXVIII CLO, Ltd. | Subordinated Notes | 27.98 | % | 7/15/2031 | 5/30/2014 | 5,295,000 | 2,339,303 | 2,309,735 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
GoldenTree Loan Opportunities IX, Ltd. | Subordinated Notes | 0.08 | % | 10/29/2029 | 7/19/2017 | 3,250,000 | 2,249,399 | 1,839,762 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
Halcyon Loan Advisors Funding 2014-2 Ltd.(6) | Subordinated Notes | — | % | 4/28/2025 | 4/14/2014 | 400,000 | 210,313 | — | — | % |
Portfolio Investments(1)(5)(9) | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Halcyon Loan Advisors Funding 2014-3 Ltd.(6) | Subordinated Notes | — | % | 10/22/2025 | 9/12/2014 | $ | 500,000 | $ | 298,545 | $ | — | — | % | |||||||||||||||||||||||||||||||||||||
Halcyon Loan Advisors Funding 2015-1 Ltd.(6) | Subordinated Notes | — | % | 4/20/2027 | 3/16/2015 | 3,000,000 | 1,849,511 | — | — | % | ||||||||||||||||||||||||||||||||||||||||
Halcyon Loan Advisors Funding 2015-2 Ltd.(6) | Subordinated Notes | — | % | 7/26/2027 | 6/3/2015 | 3,000,000 | 1,927,789 | — | — | % | ||||||||||||||||||||||||||||||||||||||||
Halcyon Loan Advisors Funding 2015-3 Ltd.(6) | Subordinated Notes | — | % | 10/18/2027 | 7/27/2015 | 7,000,000 | 5,329,399 | 20,770 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
HarbourView CLO VII-R, Ltd.(6) | Subordinated Notes | — | % | 7/18/2031 | 6/5/2015 | 275,000 | 190,055 | 95,189 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
Jefferson Mill CLO Ltd. | Subordinated Notes | 5.50 | % | 10/20/2031 | 6/30/2015 | 6,049,689 | 4,652,718 | 3,302,287 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||
LCM XV Limited Partnership | Income Notes | 0.84 | % | 7/19/2030 | 1/28/2014 | 250,000 | 159,333 | 113,606 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
LCM XVI Limited Partnership | Income Notes | 6.53 | % | 10/15/2031 | 5/12/2014 | 6,814,685 | 4,416,365 | 3,146,506 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||
LCM XVII Limited Partnership | Income Notes | 8.68 | % | 10/15/2031 | 9/17/2014 | 1,000,000 | 693,425 | 531,863 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||
LCM XVIII Limited Partnership | Income Notes | 37.83 | % | 4/21/2031 | 10/29/2021 | 12,195,000 | 4,659,321 | 4,251,384 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||
LCM XXVIII Limited Partnership | Subordinated Notes | 30.52 | % | 10/21/2030 | 10/29/2021 | 2,000,000 | 1,167,435 | 1,096,607 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||
LCM XXXII Limited Partnership | Income Notes | 22.95 | % | 7/20/2034 | 3/2/2022 | 9,390,000 | 7,534,031 | 7,275,912 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Madison Park Funding XIII, Ltd. | Subordinated Notes | 4.24 | % | 4/19/2030 | 2/3/2014 | 13,000,000 | 7,853,138 | 7,652,616 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Madison Park Funding XIV, Ltd. | Subordinated Notes | 18.23 | % | 10/22/2030 | 7/3/2014 | 23,750,000 | 15,586,848 | 13,680,997 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||
Madison Park Funding XL, Ltd. | Subordinated Notes | 37.06 | % | 5/28/2030 | 10/8/2020 | 7,000,000 | 3,149,826 | 3,453,849 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||
Mountain View CLO 2014-1 Ltd.(6) | Income Notes | — | % | 10/15/2026 | 8/29/2014 | 1,000,000 | 497,106 | — | — | % | ||||||||||||||||||||||||||||||||||||||||
Mountain View CLO IX Ltd. | Subordinated Notes | 11.15 | % | 7/15/2031 | 5/13/2015 | 8,815,500 | 4,602,301 | 4,148,777 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||
Neuberger Berman CLO XVI-S, Ltd. | Subordinated Notes | 23.17 | % | 4/17/2034 | 2/9/2022 | 16,000,000 | 14,899,279 | 14,114,980 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||
Neuberger Berman CLO XXI, Ltd. | Subordinated Notes | 23.81 | % | 4/20/2034 | 2/16/2022 | 8,501,407 | 6,644,918 | 6,135,373 | 1.2 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XIV, Ltd. | Income Notes | 4.06 | % | 7/16/2029 | 12/1/2017 | 6,150,000 | 3,353,752 | 2,676,611 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XV, Ltd. | Income Notes | 22.04 | % | 7/19/2030 | 5/23/2019 | 8,937,544 | 4,830,091 | 5,093,555 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XVII, Ltd. | Subordinated Notes | 13.77 | % | 1/27/2031 | 6/28/2018 | 16,153,000 | 8,033,338 | 6,881,748 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 18-R, Ltd. | Subordinated Notes | 10.81 | % | 4/16/2031 | 7/30/2015 | 4,568,944 | 2,211,394 | 1,703,959 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 20-R, Ltd. | Subordinated Notes | 15.26 | % | 5/12/2031 | 4/25/2019 | 3,500,000 | 2,917,035 | 2,404,634 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XXI, Ltd. | Subordinated Notes | 16.00 | % | 2/14/2031 | 1/6/2016 | 13,822,188 | 8,415,480 | 6,642,710 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XXII, Ltd. | Subordinated Notes | 9.07 | % | 1/22/2030 | 11/12/2014 | 6,625,000 | 4,829,796 | 3,730,182 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 27, Ltd. | Subordinated Notes | 14.46 | % | 7/15/2030 | 10/31/2018 | 5,000,000 | 3,332,225 | 2,825,014 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 30, Ltd. | Subordinated Notes | 9.98 | % | 3/18/2030 | 11/16/2017 | 9,525,000 | 7,976,149 | 7,195,545 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 31, Ltd. | Subordinated Notes | 24.63 | % | 7/19/2030 | 12/20/2019 | 3,067,500 | 1,970,283 | 1,974,557 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 33, Ltd. | Subordinated Notes | 13.29 | % | 1/20/2031 | 7/9/2018 | 2,850,000 | 2,349,225 | 2,047,237 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 36, Ltd. | Subordinated Notes | 20.93 | % | 4/15/2031 | 12/20/2019 | 10,400,960 | 7,952,133 | 7,463,296 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 37, Ltd. | Subordinated Notes | 22.44 | % | 7/25/2030 | 3/17/2021 | 14,500,000 | 10,907,381 | 10,997,449 | 2.1 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 39, Ltd. | Subordinated Notes | 21.13 | % | 10/21/2030 | 1/9/2020 | 10,250,000 | 7,845,886 | 8,023,819 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||
Octagon Loan Funding, Ltd. | Subordinated Notes | 17.19 | % | 11/18/2031 | 8/25/2014 | 5,014,526 | 2,978,384 | 2,729,515 | 0.5 | % |
Portfolio Investments(1)(5)(9) | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||
OZLM VI, Ltd.(6) | Subordinated Notes | — | % | 4/17/2031 | 10/31/2016 | $ | 15,688,991 | $ | 10,941,670 | $ | 7,583,520 | 1.4 | % | |||||||||||||||||||||||||||||||||||||
OZLM VII, Ltd.(6) | Subordinated Notes | — | % | 7/17/2029 | 11/3/2015 | 2,654,467 | 1,430,145 | 626,025 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||
OZLM VIII, Ltd.(6) | Subordinated Notes | — | % | 10/17/2029 | 8/7/2014 | 950,000 | 571,130 | 321,811 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||
OZLM IX, Ltd. | Subordinated Notes | 5.03 | % | 10/20/2031 | 2/22/2017 | 15,000,000 | 10,953,853 | 7,650,572 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||
OZLM XII, Ltd.(6) | Subordinated Notes | — | % | 4/30/2027 | 1/17/2017 | 12,122,952 | 7,169,134 | 1,533,891 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
OZLM XXII, Ltd. | Subordinated Notes | 5.38 | % | 1/17/2031 | 5/11/2017 | 27,343,000 | 14,818,659 | 11,647,832 | 2.2 | % | ||||||||||||||||||||||||||||||||||||||||
Redding Ridge 3 CLO, Ltd. | Preference Shares | 16.71 | % | 1/15/2030 | 3/26/2021 | 12,293,000 | 6,753,884 | 6,422,536 | 1.2 | % | ||||||||||||||||||||||||||||||||||||||||
Redding Ridge 4 CLO, Ltd. | Subordinated Notes | 16.26 | % | 4/15/2030 | 1/29/2021 | 14,000,000 | 12,579,614 | 12,293,759 | 2.3 | % | ||||||||||||||||||||||||||||||||||||||||
Redding Ridge 5 CLO, Ltd. | Subordinated Notes | 17.87 | % | 10/15/2031 | 5/27/2021 | 5,500,000 | 4,899,287 | 4,875,328 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
Rockford Tower CLO 2021-3, Ltd. | Subordinated Notes | 21.61 | % | 10/20/2034 | 2/11/2022 | 8,000,000 | 6,878,864 | 7,060,370 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
Romark WM-R Ltd. | Subordinated Notes | 6.59 | % | 4/21/2031 | 4/11/2014 | 490,713 | 362,389 | 258,716 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO II, Ltd. | Subordinated Notes | 9.36 | % | 1/26/2031 | 5/16/2019 | 21,053,778 | 10,822,581 | 8,471,240 | 1.6 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO VII-R, Ltd. | Subordinated Notes | 12.53 | % | 10/23/2031 | 7/31/2019 | 9,002,745 | 3,473,695 | 2,678,997 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO XVII, Ltd. | Subordinated Notes | 11.81 | % | 10/20/2030 | 7/11/2018 | 20,000,000 | 15,442,016 | 13,631,175 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO XVIII, Ltd. | Subordinated Notes | 17.75 | % | 1/20/2031 | 10/29/2018 | 15,563,500 | 11,294,800 | 11,090,683 | 2.1 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO XIX, Ltd. | Subordinated Notes | 24.26 | % | 4/15/2031 | 9/23/2021 | 7,500,000 | 4,198,507 | 4,149,604 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO XX, Ltd. | Subordinated Notes | 25.63 | % | 7/28/2031 | 11/5/2021 | 8,000,000 | 4,990,349 | 4,676,384 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||
Sound Point CLO XXIII, Ltd. | Subordinated Notes | 19.35 | % | 7/17/2034 | 8/27/2021 | 5,915,000 | 4,276,068 | 4,258,642 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||
Symphony CLO XIV, Ltd.(6) | Subordinated Notes | — | % | 7/14/2026 | 5/6/2014 | 750,000 | 379,097 | 219,163 | 0.0 | % | ||||||||||||||||||||||||||||||||||||||||
Symphony CLO XVI, Ltd. | Subordinated Notes | 11.44 | % | 10/15/2031 | 7/1/2015 | 5,000,000 | 4,031,086 | 3,219,534 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||
Symphony CLO XIX, Ltd. | Subordinated Notes | 20.64 | % | 4/16/2031 | 5/6/2021 | 2,000,000 | 1,321,996 | 1,305,571 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||
TCI-Symphony CLO 2017-1, Ltd. | Income Notes | 31.58 | % | 7/15/2030 | 9/15/2020 | 3,000,000 | 1,778,156 | 1,904,260 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2013-1 CLO, Ltd. | Subordinated Notes | 1.91 | % | 7/19/2030 | 11/1/2017 | 10,395,000 | 7,186,435 | 5,289,231 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2013-2 CLO, Ltd. | Income Notes | 9.65 | % | 10/18/2030 | 12/27/2017 | 3,250,000 | 2,010,985 | 1,561,570 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2014-1 CLO, Ltd. | Subordinated Notes | 10.80 | % | 7/18/2031 | 7/11/2018 | 11,800,000 | 6,932,939 | 5,901,542 | 1.1 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2014-2 CLO, Ltd. | Income Notes | 31.28 | % | 1/15/2031 | 1/22/2021 | 7,550,000 | 2,485,253 | 2,634,071 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2017-4 CLO, Ltd. | Subordinated Notes | 30.00 | % | 11/20/2030 | 6/25/2020 | 3,765,400 | 2,657,854 | 2,703,011 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2018-2 CLO, Ltd. | Subordinated Notes | 15.80 | % | 7/15/2030 | 3/11/2019 | 8,884,000 | 7,621,918 | 6,852,277 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||
THL Credit Wind River 2018-3 CLO, Ltd. | Subordinated Notes | 18.87 | % | 1/20/2031 | 6/28/2019 | 13,000,000 | 11,576,463 | 11,128,913 | 2.1 | % | ||||||||||||||||||||||||||||||||||||||||
Venture XVIII CLO, Ltd.(6) | Subordinated Notes | — | % | 10/15/2029 | 7/16/2018 | 4,750,000 | 2,914,781 | 2,535,817 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||
Venture 28A CLO, Ltd. | Subordinated Notes | 17.03 | % | 10/20/2034 | 7/16/2018 | 17,715,000 | 12,854,134 | 11,942,297 | 2.3 | % | ||||||||||||||||||||||||||||||||||||||||
Venture XXX CLO, Ltd. | Subordinated Notes | 14.15 | % | 1/15/2031 | 7/16/2018 | 5,100,000 | 4,132,572 | 3,923,102 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||
Venture XXXII CLO, Ltd. | Subordinated Notes | 16.01 | % | 7/18/2031 | 10/9/2018 | 7,929,328 | 7,069,631 | 6,237,204 | 1.2 | % | ||||||||||||||||||||||||||||||||||||||||
Venture XXXIV CLO, Ltd. | Subordinated Notes | 20.99 | % | 10/15/2031 | 7/30/2019 | 13,903,000 | 10,705,316 | 10,631,561 | 2.0 | % |
Portfolio Investments(1)(5)(9) | 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 2014-V, Ltd. | Class F-R2 Notes | 9.54% (3M LIBOR + 8.50%) | 10/17/2031 | 9/17/2018 | $ | 750,000 | $ | 743,795 | $ | 667,634 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||
CIFC Funding 2015-I, Ltd. | Class F-RR Notes | 8.99% (3M LIBOR + 7.85%) | 1/22/2031 | 10/31/2019 | 5,000,000 | 4,176,966 | 4,211,499 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||
CIFC Funding 2016-I, Ltd. | Class F-R Notes | 11.25% (3M LIBOR + 10.15%) | 10/21/2031 | 9/16/2019 | 3,750,000 | 3,660,720 | 3,450,984 | 0.7 | % | |||||||||||||||||||||||||||||||||||||||||
Galaxy XXI CLO, Ltd. | Class F-R Notes | 8.31% (3M LIBOR + 7.25%) | 4/21/2031 | 3/8/2019 | 6,000,000 | 5,135,320 | 5,219,057 | 1.0 | % | |||||||||||||||||||||||||||||||||||||||||
Galaxy XXVII CLO, Ltd. | Class F Junior Notes | 9.47% (3M LIBOR + 8.06%) | 5/16/2031 | 3/5/2019 | 1,500,000 | 1,377,853 | 1,225,065 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||
Galaxy XXVIII CLO, Ltd. | Class F Junior Notes | 9.52% (3M LIBOR + 8.48%) | 7/15/2031 | 6/29/2018 | 41,713 | 39,942 | 37,029 | 0.0 | % | |||||||||||||||||||||||||||||||||||||||||
HarbourView CLO VII-R, Ltd.(8) | Class F Notes | 9.31% (3M LIBOR + 8.27%) | 7/18/2031 | 10/29/2018 | 7,305,912 | 7,239,085 | 4,520,469 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||
Madison Park Funding XIII, Ltd. | Class F-R Notes | 8.99% (3M LIBOR + 7.95%) | 4/19/2030 | 10/25/2019 | 2,000,000 | 1,754,040 | 1,587,654 | 0.3 | % | |||||||||||||||||||||||||||||||||||||||||
Madison Park Funding XIV, Ltd. | Class F-R Notes | 8.91% (3M LIBOR + 7.77%) | 10/22/2030 | 3/13/2020 | 4,500,000 | 3,263,799 | 3,585,682 | 0.7 | % | |||||||||||||||||||||||||||||||||||||||||
Mountain View CLO IX Ltd. | Class E Notes | 9.06% (3M LIBOR + 8.02%) | 7/15/2031 | 10/29/2018 | 3,625,000 | 3,564,497 | 2,587,707 | 0.5 | % | |||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XVII, Ltd. | Class F-R2 Notes | 8.38% (3M LIBOR + 7.20%) | 1/27/2031 | 10/15/2019 | 5,362,500 | 4,370,724 | 4,083,924 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners 18-R, Ltd. | Class E Notes | 9.29% (3M LIBOR + 8.25%) | 4/16/2031 | 10/15/2019 | 6,080,742 | 5,108,833 | 5,581,056 | 1.1 | % | |||||||||||||||||||||||||||||||||||||||||
Octagon Investment Partners XXII, Ltd. | Class F-RR Notes | 8.89% (3M LIBOR + 7.75%) | 1/22/2030 | 11/25/2019 | 5,500,000 | 4,476,257 | 4,413,792 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||
OZLM VIII, Ltd. | Class E-RR Notes | 9.21% (3M LIBOR + 8.17%) | 10/17/2029 | 11/6/2018 | 8,400,000 | 8,307,028 | 6,771,632 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||
Sound Point CLO IV-R, Ltd. | Class F Notes | 9.14% (3M LIBOR + 8.10%) | 4/18/2031 | 3/18/2019 | 3,500,000 | 3,283,424 | 2,293,115 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||
Venture XIX CLO, Ltd. | Class F-RR Notes | 9.54% (3M LIBOR + 8.50%) | 1/15/2032 | 11/16/2018 | 7,900,000 | 7,823,703 | 6,715,211 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||
Venture XXXIII CLO, Ltd. | Class F Notes | 9.04% (3M LIBOR + 8.00%) | 7/15/2031 | 12/3/2019 | 2,500,000 | 1,964,892 | 1,896,537 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||
Voya IM CLO 2012-4, Ltd. | Class E-R-R Notes | 11.89% (3M LIBOR + 10.85%) | 10/15/2030 | 10/11/2019 | 3,320,000 | 3,204,396 | 2,839,450 | 0.5 | % | |||||||||||||||||||||||||||||||||||||||||
Voya IM CLO 2014-1, Ltd. | Class E-R2 Notes | 9.39% (3M LIBOR + 8.35%) | 4/18/2031 | 4/11/2019 | 3,000,000 | 2,826,840 | 2,269,955 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||
Total Collateralized Loan Obligation - Debt Class | $ | 89,898,436 | $ | 79,686,318 | 15.0 | % | ||||||||||||||||||||||||||||||||||||||||||||
Total Portfolio Investments | $ | 947,852,542 | $ | 846,193,494 | 159.7 | % | ||||||||||||||||||||||||||||||||||||||||||||
Assets, other than investments, less liabilities | (316,363,959) | (59.7) | % | |||||||||||||||||||||||||||||||||||||||||||||||
Net Assets | $ | 529,829,535 | 100.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
(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/securities/fee notes, income notes and preferred 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. As of June 30, 2022, 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 Notes 2 and 3 within the accompanying notes to financial statements for further discussion. | ||||||||||||||||||||||||||||||||||||||||||||||||||
(4) The interest rate on these investments is subject to the base rate of 3-Month LIBOR, which was 2.28514% at June 30, 2022. The current base rate for each investment may be different from the reference rate on June 30, 2022. | ||||||||||||||||||||||||||||||||||||||||||||||||||
(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. | ||||||||||||||||||||||||||||||||||||||||||||||||||
(9) All investments are pledged as collateral for the Credit Facility (see Note 11). | ||||||||||||||||||||||||||||||||||||||||||||||||||
See accompanying notes to financial statements. |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets | |||||||||||||||||||||||
Collateralized Loan Obligations - Equity Class | $ | — | $ | — | $ | 766,507,176 | $ | 766,507,176 | |||||||||||||||
Collateralized Loan Obligations - Debt Class | — | — | 79,686,318 | 79,686,318 | |||||||||||||||||||
$ | — | $ | — | $ | 846,193,494 | $ | 846,193,494 |
Collateralized Loan Obligation - Equity Class | Collateralized Loan Obligation - Debt Class | Total | |||||||||
Fair value at June 30, 2021 | $ | 610,173,584 | $ | 90,036,628 | $ | 700,210,212 | |||||
Net realized loss on investments | (8,358,797) | — | (8,358,797) | ||||||||
Net change in unrealized appreciation (depreciation) on investments | (6,287,743) | (8,196,915) | (14,484,658) | ||||||||
Purchases of investments | 216,133,337 | 2,177,418 | 218,310,755 | ||||||||
Payment-in-kind interest | — | 593,236 | 593,236 | ||||||||
Repayments from investments | (12,251,054) | (9,000,000) | (21,251,054) | ||||||||
Proceeds from sales of investments | — | — | — | ||||||||
Accretion of purchase discount, net | (32,902,149) | 4,075,949 | (28,826,200) | ||||||||
Transfers into Level 3(1) | — | — | — | ||||||||
Transfers out of Level 3(1) | — | — | — | ||||||||
Fair value at June 30, 2022 | $ | 766,507,178 | $ | 79,686,316 | $ | 846,193,494 | |||||
Net increase in unrealized loss attributable to Level 3 investments still held at the end of the period | $ | (13,533,502) | $ | (8,081,619) | $ | (21,615,121) | |||||
(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 year ended June 30, 2022. |
Unobservable Input | ||||||||||||||||||||||||||||||||
Asset Category | Fair Value | Primary Valuation Technique | Input | Range(1)(2) | Weighted Average(1)(2) | |||||||||||||||||||||||||||
Collateral Loan Obligations - Equity Class | $ | 766,507,178 | Discounted Cash Flow | Discount Rate | 6.26% - 43.12% | 21.21% | ||||||||||||||||||||||||||
Collateral Loan Obligations - Debt Class | 79,686,316 | Discounted Cash Flow | Discount Rate | 12.90% - 21.54% | 15.99% | |||||||||||||||||||||||||||
Total Level 3 Investments | $ | 846,193,494 |
Total | ||||||||||||||
Shares | Amount | |||||||||||||
Year Ended June 30, 2022: | ||||||||||||||
Gross shares sold | 7,752,485 | $ | 103,968,590 | |||||||||||
Shares issued from reinvestment of distributions | 1,743,574 | 20,851,185 | ||||||||||||
Repurchase of common shares | (2,401,281) | (30,291,138) | ||||||||||||
Net increase from capital transactions | 7,094,778 | $ | 94,528,637 | |||||||||||
Year Ended June 30, 2021: | ||||||||||||||
Gross shares sold | 3,932,268 | $ | 47,608,280 | |||||||||||
Shares issued from reinvestment of distributions | 1,640,840 | 17,666,417 | ||||||||||||
Repurchase of common shares | (1,564,803) | (17,333,315) | ||||||||||||
Net increase from capital transactions | 4,008,305 | $ | 47,941,382 |
Quarterly Offer Date | Repurchase Date | Shares Repurchased | Percentage of Shares Tendered That Were Repurchased | Repurchase Price Per Share | Aggregate Consideration for Repurchased Shares | |||||||||||||||||||||||||||
For the Year Ended June 30, 2022 | ||||||||||||||||||||||||||||||||
June 30, 2021 | July 28, 2021 | 375,861 | 35.91 | % | $ | 12.17 | $ | 4,574,227 | ||||||||||||||||||||||||
September 30, 2021 | October 27, 2021 | 377,210 | 36.90 | % | 12.46 | 4,700,039 | ||||||||||||||||||||||||||
December 31, 2021 | January 28, 2022 | 384,510 | 36.17 | % | 12.69 | 4,879,428 | ||||||||||||||||||||||||||
March 31, 2022 | April 24, 2022 | 1,263,700 | 70.44 | % | 12.77 | 16,137,444 | ||||||||||||||||||||||||||
Total for the year ended June 30, 2022 | 2,401,281 | $ | 30,291,138 | |||||||||||||||||||||||||||||
For the Year Ended June 30, 2021 | ||||||||||||||||||||||||||||||||
June 30, 2020 | July 27, 2020 | 470,321 | 62.22 | % | $ | 10.59 | $ | 4,980,700 | ||||||||||||||||||||||||
September 30, 2020 | October 28, 2020 | 381,283 | 31.07 | % | 10.35 | 3,946,290 | ||||||||||||||||||||||||||
December 31, 2020 | January 25, 2021 | 352,720 | 35.59 | % | 11.62 | 4,098,605 | ||||||||||||||||||||||||||
March 31, 2021 | April 27, 2021 | 360,479 | 32.28 | % | 11.95 | 4,307,720 | ||||||||||||||||||||||||||
Total for the year ended June 30, 2021 | 1,564,803 | $ | 17,333,315 |
Fiscal Year | Organization and Offering Costs (O&O) | Operating Expenses (OpEx) paid on behalf of the Company | Total Due to Adviser for O&O and OpEx paid on behalf of the Company | |||||||||||||||||
June 30, 2013 | $ | 1,893,108 | $ | — | $ | 1,893,108 | ||||||||||||||
June 30, 2014 | 984,744 | 558,394 | 1,543,138 | |||||||||||||||||
June 30, 2015 | 591,821 | 1,418,046 | 2,009,867 | |||||||||||||||||
June 30, 2016 | 442,107 | 1,148,321 | 1,590,428 | |||||||||||||||||
June 30, 2017 | 456,146 | 730,938 | 1,187,084 | |||||||||||||||||
June 30, 2018 | 419,077 | 24,239 | 443,316 | |||||||||||||||||
June 30, 2019 | 107,639 | 25,333 | 132,972 | |||||||||||||||||
June 30, 2020 | 867,504 | — | 867,504 | |||||||||||||||||
June 30, 2021 | 359,068 | — | 359,068 | |||||||||||||||||
June 30, 2022 | 898,724 | — | 898,724 | |||||||||||||||||
Total reimbursements made | (6,887,152) | (3,905,271) | (10,792,423) | |||||||||||||||||
Balance payable | $ | 132,786 | $ | — | $ | 132,786 |
Series D Term Preferred Stock Due 2029 | Series F Term Preferred Stock Due 2027 | Series G Term Preferred Stock Due 2026 | Series H Term Preferred Stock Due 2026 | Series I Term Preferred Stock Due 2028 | Series J Term Preferred Stock Due 2028 | Series L Term Preferred Stock Due 2029 | Total Term Preferred Stock | |||||||||||||||||||
Principal value | $ | 27,351,625 | $ | 30,835,700 | $ | 36,800,000 | $ | 29,900,000 | $ | 40,000,000 | $ | 39,500,000 | $ | 27,500,000 | $ | 231,887,325 | ||||||||||
Unamortized deferred offering costs | (450,739) | (129,501) | (229,827) | (245,194) | (219,288) | (245,439) | (297,025) | (1,817,013) | ||||||||||||||||||
Unamortized discount | (654,024) | (708,097) | (915,904) | (770,295) | (1,106,097) | (1,119,327) | (830,178) | (6,103,922) | ||||||||||||||||||
Carrying value | $ | 26,246,862 | $ | 29,998,102 | $ | 35,654,269 | $ | 28,884,511 | $ | 38,674,615 | $ | 38,135,234 | $ | 26,372,797 | $ | 223,966,390 | ||||||||||
Fair value(1) | $ | 26,257,560 | $ | 30,169,649 | $ | 35,843,200 | $ | 28,656,160 | $ | 38,400,000 | $ | 36,355,800 | $ | 26,015,000 | $ | 221,697,369 | ||||||||||
Fair value per share(1) | $ | 24.00 | $ | 24.46 | $ | 24.35 | $ | 23.96 | $ | 24.00 | $ | 23.01 | $ | 23.65 | ||||||||||||
(1)Represents the June 30, 2022 closing market price per share of each respective series of Term Preferred Stock on the New York Stock Exchange (“NYSE”) and is categorized as Level 2 under ASC 820 as of June 30, 2022 because of the low trading volume of the shares. |
Year ended June 30, 2022 | |||||
Ordinary income | $ | 53,587,685 | |||
Return of capital | — | ||||
Capital gain | — | ||||
Total dividends declared and paid to common shareholders | $ | 53,587,685 |
Year ended June 30, 2022 | |||||
Ordinary income | $ | 16,334,719 | |||
Return of capital | — | ||||
Capital gain | — | ||||
Total dividends declared and paid to preferred shareholders | $ | 16,334,719 |
Overdistributed Ordinary Income | $ | (20,769,058) | |||
Temporary Differences | $ | 39,326,693 | |||
Net Unrealized Gain on Investments | $ | 1,552,418 | |||
Capital Loss Carryforward | $ | (11,123,437) |
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018 | ||||||||||||||||||||||||||||||||||||||||
Per share data: | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.15 | $ | 10.57 | $ | 13.02 | $ | 13.47 | $ | 14.43 | ||||||||||||||||||||||||||||||||||
Net investment income(a)(g) | 1.83 | 1.84 | 1.48 | 1.61 | 1.60 | |||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments(a) | (0.57) | 1.07 | (2.63) | (0.71) | (1.19) | |||||||||||||||||||||||||||||||||||||||
Net realized gain/(loss) on repurchase of preferred stock(a) | (0.04) | (0.05) | 0.04 | — | — | |||||||||||||||||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1.22 | 2.86 | (1.11) | 0.90 | 0.41 | |||||||||||||||||||||||||||||||||||||||
Dividends declared on Cumulative Preferred Stock | (0.05) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations applicable to common stockholders | 1.17 | 2.86 | (1.11) | 0.90 | 0.41 | |||||||||||||||||||||||||||||||||||||||
Distributions to common stockholders(f) | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income(a) | (1.33) | (0.59) | (0.69) | (1.00) | (0.83) | |||||||||||||||||||||||||||||||||||||||
Capital gain(a) | — | — | — | (0.01) | (0.03) | |||||||||||||||||||||||||||||||||||||||
Return of capital(a) | — | (0.67) | (0.72) | (0.47) | (0.64) | |||||||||||||||||||||||||||||||||||||||
Total distributions(b) | (1.33) | (1.26) | (1.41) | (1.48) | (1.50) | |||||||||||||||||||||||||||||||||||||||
Other(c) | 0.05 | (0.02) | 0.07 | 0.13 | 0.13 | |||||||||||||||||||||||||||||||||||||||
Net asset value, end of year | $ | 12.04 | $ | 12.15 | $ | 10.57 | $ | 13.02 | $ | 13.47 | ||||||||||||||||||||||||||||||||||
Total return, based on NAV(d) | 10.71 | % | 29.13 | % | (8.83) | % | 8.06 | % | 3.94 | % | ||||||||||||||||||||||||||||||||||
Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of year | $529,829,535 | $448,284,587 | $347,800,248 | $399,704,924 | $332,681,912 | |||||||||||||||||||||||||||||||||||||||
Ratio to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Total expenses excluding expense support (reimbursements)/repayments(g) | 12.02 | % | 12.94 | % | 11.32 | % | 8.46 | % | 6.41 | % | ||||||||||||||||||||||||||||||||||
Expenses after expense support (reimbursements)/repayments, net(e)(g) | 12.02 | % | 12.94 | % | 11.32 | % | 8.46 | % | 6.25 | % | ||||||||||||||||||||||||||||||||||
Net investment income(g) | 14.63 | % | 16.23 | % | 12.20 | % | 11.90 | % | 11.46 | % | ||||||||||||||||||||||||||||||||||
Portfolio turnover | 1.74 | % | 3.74 | % | 1.66 | % | 1.44 | % | 1.10 | % | ||||||||||||||||||||||||||||||||||
(a) Calculated based on weighted average shares outstanding during the year. | ||||||||||||||||||||||||||||||||||||||||||||
(b) The per share data for distributions is the actual amount of distributions paid or payable per share of common stock outstanding during the year. Distributions per share are rounded to the nearest $0.01. | ||||||||||||||||||||||||||||||||||||||||||||
(c) The amount shown represents the balancing figure derived from the other figures in the schedule, and is primarily attributable to the accretive effects from the sales of the Company’s shares and the effects of share repurchases during the year. | ||||||||||||||||||||||||||||||||||||||||||||
(d) Total return is based upon the change in net asset value per share between the opening and ending net asset values per share during the year and assumes that dividends are reinvested in accordance with the Company’s dividend reinvestment plan. The computation does not reflect the sales load for any shares. Total return based on market value is not presented since the Company’s common shares are not publicly traded. | ||||||||||||||||||||||||||||||||||||||||||||
(e) For the year ended June 30, 2018, there were expense support repayments (reimbursements), net of ($675,148). There were no expense support repayments (reimbursements) for the years ended June 30, 2022, 2021, 2020 and 2019. | ||||||||||||||||||||||||||||||||||||||||||||
(f) The amounts reflected for the year ended June 30, 2019 have been updated based on tax information received subsequent to the filing of the annual report on Form N-CSR. | ||||||||||||||||||||||||||||||||||||||||||||
(g) Net investment income per share data and ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 7. Preferred Shares). The expense ratios also reflect expenses incurred on assets attributable to preferred shares. The ratio of preferred dividend expense to average net assets applicable to the common shares for the years ended June 30, 2022, 2021, 2020, 2019 and 2018 are 2.99%, 3.54%, 2.94%, 1.34% and 0.00%, respectively. | ||||||||||||||||||||||||||||||||||||||||||||
Senior Securities as of June 30, 2022(a) | ||||||||||||||
Senior Securities | Aggregate Amount Outstanding | Asset Coverage per Unit | Involuntary Liquidating Price per Preferred share | Average market value per unit(b) | ||||||||||
The Facility | $ | 24,800,000 | $ | 34,205 | $ | — | $ | — | ||||||
2035 Notes | $ | 30,000,000 | $ | 15,479 | $ | — | $ | — | ||||||
Series D Term Preferred Stock Due 2029 | $ | 27,351,625 | $ | 65 | $ | 25.00 | $ | 25.37 | ||||||
Series F Term Preferred Stock Due 2027 | $ | 30,835,700 | $ | 65 | $ | 25.00 | $ | 25.33 | ||||||
Series G Term Preferred Stock Due 2026 | $ | 36,800,000 | $ | 65 | $ | 25.00 | $ | 25.26 | ||||||
Series H Term Preferred Stock Due 2026 | $ | 29,900,000 | $ | 65 | $ | 25.00 | $ | 25.07 | ||||||
Series I Term Preferred Stock Due 2028 | $ | 40,000,000 | $ | 65 | $ | 25.00 | $ | 24.99 | ||||||
Series J Term Preferred Stock Due 2028 | $ | 39,500,000 | $ | 65 | $ | 25.00 | $ | 24.75 | ||||||
Series L Term Preferred Stock Due 2029 | $ | 27,500,000 | $ | 65 | $ | 25.00 | $ | 24.37 | ||||||
Series K Cumulative Preferred Stock | $ | 40,000,000 | $ | 65 | $ | 25.00 | $ | 24.22 | ||||||
(a)The asset coverage ratio for a class of senior securities representing indebtedness is calculated as our total assets, less all liabilities and indebtedness not represented by senior securities, divided by secured securities representing indebtedness. This asset coverage ratio is multiplied by $1,000 to determine the Asset Coverage Per Unit for the Facility and the 2035 Notes. The asset coverage ratio for a class of senior securities representing stock is calculated as our total assets, less all liabilities and indebtedness not represented by senior securities, divided by senior securities representing indebtedness plus the aggregate of the involuntary liquidation preference of senior securities which is a stock. With respect to the Preferred Stock, the asset coverage per unit figure is expressed in terms of dollar amounts per share of outstanding Preferred Stock (based on a per share liquidation preference of $25). | ||||||||||||||
(b)Represents the average daily closing market price per share of each respective series of Preferred Stock for the respective periods listed on NYSE from June 30, 2021 to June 30, 2022. For series that were not outstanding at June 30, 2022, the average starts from the first day of trading of that particular series. |
Senior Securities as of June 30, 2021(a) | ||||||||||||||
Senior Securities | Aggregate Amount Outstanding | Asset Coverage per Unit | Involuntary Liquidating Price per Preferred share | Average market value per unit(b) | ||||||||||
The Facility | $ | 16,200,000 | $ | 43,216 | $ | — | $ | — | ||||||
2035 Notes | $ | 15,000,000 | $ | 22,439 | $ | — | $ | — | ||||||
Series A Term Preferred Stock Due 2025 | $ | 36,706,625 | $ | 68 | $ | 25.00 | $ | 24.21 | ||||||
Series D Term Preferred Stock Due 2029 | $ | 27,351,625 | $ | 68 | $ | 25.00 | $ | 25.06 | ||||||
Series E Term Preferred Stock Due 2024 | $ | 25,541,850 | $ | 68 | $ | 25.00 | $ | 24.19 | ||||||
Series F Term Preferred Stock Due 2027 | $ | 30,835,700 | $ | 68 | $ | 25.00 | $ | 24.51 | ||||||
Series G Term Preferred Stock Due 2026 | $ | 36,800,000 | $ | 68 | $ | 25.00 | $ | 25.32 | ||||||
Series H Term Preferred Stock Due 2026 | $ | 29,900,000 | $ | 68 | $ | 25.00 | $ | 25.16 | ||||||
Series I Term Preferred Stock Due 2028 | $ | 40,000,000 | $ | 68 | $ | 25.00 | $ | 25.15 | ||||||
(a)The asset coverage ratio for a class of senior securities representing indebtedness is calculated as our total assets, less all liabilities and indebtedness not represented by senior securities, divided by secured securities representing indebtedness. This asset coverage ratio is multiplied by $1,000 to determine the Asset Coverage Per Unit for the Facility and the 2035 Notes. The asset coverage ratio for a class of senior securities representing stock is calculated as our total assets, less all liabilities and indebtedness not represented by senior securities, divided by senior securities representing indebtedness plus the aggregate of the involuntary liquidation preference of senior securities which is a stock. With respect to the Term Preferred Stock, the asset coverage per unit figure is expressed in terms of dollar amounts per share of outstanding Preferred Stock (based on a per share liquidation preference of $25). | ||||||||||||||
(b)Represents the average daily closing market price per share of each respective series of Term Preferred Stock for the respective periods listed on NYSE from June 30, 2020 to June 30, 2021. For series that were not outstanding at June 30, 2020, the average starts from the first day of trading of that particular series. |
Mandatorily Redeemable Preferred Shares as of June 30, 2019(a) | ||||||||||||||
Term Preferred Stock | Aggregate Amount Outstanding | Asset Coverage per Preferred Share | Involuntary Liquidating Price per Preferred share | Average market value per unit(b) | ||||||||||
Series A Term Preferred Stock Due 2025 | $ | 37,504,575 | $ | 349 | $ | 25.00 | $ | 24.79 | ||||||
Series B Term Preferred Stock Due 2023 | $ | 25,000,000 | $ | 524 | $ | 25.00 | $ | 24.72 | ||||||
Series C Term Preferred Stock Due 2024 | $ | 40,250,000 | $ | 325 | $ | 25.00 | $ | 25.02 | ||||||
Series D Term Preferred Stock Due 2029 | $ | 26,131,675 | $ | 501 | $ | 25.00 | $ | 25.24 | ||||||
Total Term Preferred Stock | $ | 128,886,250 | $ | 102 | ||||||||||
(a)For financial reporting purposes, preferred shares are considered to be debt. The Asset Coverage amounts per $25 of Preferred shares (the dollar amount per share) reflects the amount of the Company’s total assets (less all liabilities not represented by borrowings and preferred shares) per $25 Preferred Share of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes. | ||||||||||||||
(b)Represents the average daily closing market price per share of each respective series of Term Preferred Stock for the respective periods listed on NYSE from June 30, 2018 to June 30, 2019. |
Series D Term Preferred Stock due 2029 | Series F Term Preferred Stock due 2027 | Series G Term Preferred Stock due 2026 | Series H Term Preferred Stock due 2026 | Series I Term Preferred Stock due 2028 | Series J Term Preferred Stock due 2028 | Series K Cumulative Preferred Stock | Series L Term Preferred Stock due 2029 | |||||||||||||||||||
Total amount per share | $ | 0.43750 | $ | 0.41406 | $ | 0.39063 | $ | 0.37500 | $ | 0.38281 | $ | 0.37500 | $ | 0.43750 | $ | 0.40286 | ||||||||||
Name (Age) Position(s) with the Company (Since) Address(1) | Term Expires | Number of Companies in the Fund Complex overseen by Director(2) | Principal Occupation(s) and Other Public Company Directorships Held During the Past 5 Years | |||||||||||||||||
Interested Directors(4) | ||||||||||||||||||||
M. Grier Eliasek (49) Chairman of the Board, Director, Chief Executive Officer and President (February 2013) | 2024 | 3 | President and Chief Operating Officer of the Adviser, President and Chief Operating Officer of the Adviser of PSIF, Chief Executive Officer and President of PSIF, President and Chief Operating Officer of PSEC, Managing Director of PCM and Prospect Administration | |||||||||||||||||
Independent Directors | ||||||||||||||||||||
Andrew C. Cooper (60) Director (February 2013) | 2024 | 3 | Mr. Cooper is an entrepreneur, who over the last 15 years has founded, built, run and sold three companies. He is Co-Chief Executive Officer of Unison Energy, LLC, a company that develops, owns and operates, distributed combined heat and power co-generation solutions. | |||||||||||||||||
William J. Gremp (79) Director (February 2013) | 2023 | 3 | Mr. Gremp has been responsible for traditional banking services, credit and lending, private equity and corporate cash management with Merrill Lynch & Co. from 1999 to present. | |||||||||||||||||
Eugene S. Stark (64) Director (February 2013) | 2022 | 3 | Principal Financial Officer, Chief Compliance Officer and Vice President—Administration of General American Investors Company, Inc. from May 2005 to present. |
Name, Address and Age | Position(s) Held with the Funds | Term at Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||||||||||||||||
Kristin Van Dask, 43(1) | Chief Financial Officer, Chief Compliance Officer, Treasurer and Secretary | Since April 2018 | Ms. Van Dask has been the Chief Financial Officer, Chief Compliance Officer, Treasurer and Secretary of the Company since April 2018. Ms. Van Dask previously served as controller at Prospect Administration. Ms. Van Dask is also the Chief Financial Officer, Chief Compliance Officer, Treasurer and Secretary of the Adviser, PSIF, PSEC, and the Adviser of PSIF. |
Name | Fees Earned(1) | All Other Compensation(2) | Total | ||||||||||||||||||||||||||
Interested Directors | |||||||||||||||||||||||||||||
M. Grier Eliasek | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Independent Directors | |||||||||||||||||||||||||||||
Andrew C. Cooper | 68,750 | — | 68,750 | ||||||||||||||||||||||||||
William J. Gremp | 68,750 | — | 68,750 | ||||||||||||||||||||||||||
Eugene S. Stark | 68,750 | — | 68,750 | ||||||||||||||||||||||||||
Total director compensation | $ | 206,250 |
Net Asset Value | Annual Cash Retainer | |||||||
$0 - $100,000,000 | $ | — | ||||||
$100,000,001 - $300,000,000 | 35,000 | |||||||
$300,000,001 - $500,000,000 | 50,000 | |||||||
$500,000,001 - $1 billion | 75,000 | |||||||
>$1 billion | 100,000 |
Name | Title | Length of Service | Business Experience 5 Years | ||||||||
John F. Barry III | Portfolio Manager | Since May 2013 | CEO of Priority Senior Secured Income Management, LLC; Chairman of the Board and CEO of Prospect Capital Corporation. | ||||||||
M. Grier Eliasek | Portfolio Manager | Since May 2013 | Chairman of the Board, Director and CEO of the Registrant; President and COO of Priority Senior Secured Income Management, LLC; President and COO of Prospect Capital Corporation; Managing Director of Prospect Capital Management and Prospect Administration; President and CEO of Prospect Sustainable Income Fund, Inc. (formerly Prospect Flexible Income Fund, Inc.). | ||||||||
John W. Kneisley | Portfolio Manager | Since May 2013 | Managing Director of Priority Senior Secured Income Management, LLC and Prospect Capital Management. | ||||||||
Colin McGinnis | Portfolio Manager | Since May 2013 | Managing Director of Priority Senior Secured Income Management, LLC and Prospect Capital Management. |
Other Accounts Managed | Other Accounts for which Advisory Fee is Based on Performance | ||||||||||||||||
Name | Account Type | Number of Accounts | Total Assets | Number of Accounts | Total Assets | ||||||||||||
John F. Barry III | Registered Investment Companies | 2 | $7.7B | 1 | $7.7B | ||||||||||||
Other Pooled Investment Vehicles | 0 | $0 | 0 | $0 | |||||||||||||
Other Accounts | 0 | $0 | 0 | $0 | |||||||||||||
M. Grier Eliasek | Registered Investment Companies | 2 | $7.7B | 1 | $7.7B | ||||||||||||
Other Pooled Investment Vehicles | 0 | $0 | 0 | $0 | |||||||||||||
Other Accounts | 0 | $0 | 0 | $0 | |||||||||||||
John W. Kneisley | Registered Investment Companies | 1 | $38.2M | 0 | $0 | ||||||||||||
Other Pooled Investment Vehicles | 0 | $0 | 0 | $0 | |||||||||||||
Other Accounts | 0 | $0 | 0 | $0 | |||||||||||||
Colin McGinnis | Registered Investment Companies | 0 | $0 | 0 | $0 | ||||||||||||
Other Pooled Investment Vehicles | 0 | $0 | 0 | $0 | |||||||||||||
Other Accounts | 0 | $0 | 0 | $0 |
Name of Professional | Dollar Range of Equity Securities (1)(2)(3) | ||||
John F. Barry III(4) | $100,001-$500,000 | ||||
M. Grier Eliasek | None | ||||
John W. Kneisley | None | ||||
Colin McGinnis | None |