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BUSINESS | | | | | 51 | | |
| | | | 67 | | | |
MANAGEMENT | | | | | 74 | | |
| | | | 83 | | | |
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| | | | 136 | | | |
| | | | F-1 | | | |
| | | | A-1 | | |
| | |
October
2019(2) |
| |
September
2019(2) |
| ||||||
Number of unique underlying loan obligors
|
| | | | 1,279 | | | | | | 1,273 | | |
Largest exposure to any individual obligor
|
| | | | 0.91% | | | | | | 1.07% | | |
Average individual loan obligor exposure
|
| | | | 0.08% | | | | | | 0.08% | | |
Top 10 obligors loan exposure
|
| | | | 5.52% | | | | | | 5.77% | | |
Indirect exposure to senior secured loans(3)
|
| | | | 98.08% | | | | | | 98.03% | | |
Weighted average stated loan spread
|
| | | | 3.56% | | | | | | 3.57% | | |
Weighted average loan credit rating(4)
|
| | | | B+/B | | | | | | B+/B | | |
Weighted average junior overcollateralization (OC) cushion
|
| | | | 4.51% | | | | | | 4.59% | | |
Weighted average market value of loan collateral
|
| | | | 96.32% | | | | | | 97.10% | | |
Weighted average loan maturity (in years)
|
| | | | 5.2 | | | | | | 5.2 | | |
Weighted average remaining CLO reinvestment period (in years)
|
| | | | 3.6 | | | | | | 3.6 | | |
U.S. dollar currency exposure
|
| | | | 100% | | | | | | 100% | | |
|
Sales load
|
| |
2.00%(1)
|
|
|
Offering expenses
|
| |
1.76%(2)
|
|
|
Dividend reinvestment plan expenses
|
| |
Up to $15(3)
|
|
|
Total stockholder transaction expenses
|
| |
3.76%
|
|
| Annual Expenses (as a percentage of net assets attributable to common stock): | | | | |
|
Management fee
|
| |
1.54%(4)
|
|
|
Interest payments on borrowed funds
|
| |
0.82%(5)
|
|
|
Other expenses
|
| |
0.95%
|
|
|
Acquired fund fees and expenses (underlying CLO fees and expenses)
|
| |
0.83%(6)
|
|
|
Total annual expenses
|
| |
4.14%
|
|
| | |
1 year
|
| |
3 years
|
| |
5 years
|
| |
10 years
|
| ||||||||||||
You would pay the following expenses on a $1,000 investment, assuming a
5% annual return |
| | | $ | 79 | | | | | $ | 160 | | | | | $ | 242 | | | | | $ | 453 | | |
| | | | | | | | |
Closing Sales Price
|
| |
Premium
(Discount) of High Sales Price to NAV(2) |
| |
Premium
(Discount) of Low Sales Price to NAV(2) |
| |
Distributions
Declared(3) |
| ||||||||||||||||||
Period
|
| |
NAV(1)
|
| |
High
|
| |
Low
|
| |||||||||||||||||||||||||||
Fiscal year ended December 31, 2019 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
First quarter
|
| | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | |
Second quarter
|
| | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | |
Third quarter
|
| | | $ | 19.27 | | | | | $ | 20.34 | | | | | $ | 19.30 | | | | | | 5.6% | | | | | | 0.2% | | | | | $ | 0.2873 | | |
Fourth quarter (through November 20, 2019)(5)
|
| | | | N/A | | | | | $ | 19.76 | | | | | $ | 18.29 | | | | | | N/A | | | | | | N/A | | | | | $ | 0.3978(4) | | |
| | |
Common Stock Beneficially Owned(1)
Immediately Prior to Offering |
| |||||||||
Name and Address
|
| |
Number
|
| |
%
|
| ||||||
Cavello Bay Reinsurance Limited Windsor Place, 3rd Floor 22 Queen Street Hamilton, JM JX Bermuda |
| | | | 3,764,580 | | | | | | 62.6% | | |
Potenza Investments LP
34 Greene Street #4N New York, NY 10013 |
| | | | 366,492 | | | | | | 6.1% | | |
All officers and directors as a group (9 persons)(2)
|
| | | | 26,403 | | | | | | * | | |
| | |
Page
|
| |||
| | | | F-2 | | | |
| | | | F-3 | | | |
| | | | F-5 | | | |
| | | | F-6 | | | |
| | | | F-7 | | | |
| | | | F-8 | | | |
| | | | F-23 | | |
| ASSETS | | | | | | | |
|
Investments, at fair value (cost $114,880,455)
|
| | | $ | 108,893,432 | | |
|
Cash
|
| | | | 8,852,559 | | |
|
Interest receivable
|
| | | | 2,121,436 | | |
|
Unamortized deferred financing costs (Note 8)
|
| | | | 61,742 | | |
|
Total Assets
|
| | | | 119,929,169 | | |
| LIABILITIES | | | | | | | |
|
Payable for securities purchased
|
| | | | 3,376,955 | | |
|
Management fee payable
|
| | | | 363,719 | | |
|
Administration fees payable
|
| | | | 84,908 | | |
|
Professional fees payable
|
| | | | 67,143 | | |
|
Directors’ fees payable
|
| | | | 29,815 | | |
|
Tax expense payable
|
| | | | 30,000 | | |
|
Other expenses payable
|
| | | | 8,333 | | |
|
Total Liabilities
|
| | | | 3,960,873 | | |
| COMMITMENTS AND CONTINGENCIES (Note 6) | | | | | | | |
|
NET ASSETS applicable to 6,018,273 shares of $0.001 par value common stock outstanding
|
| | | $ | 115,968,296 | | |
| NET ASSETS consist of: | | | | | | | |
|
Paid-in capital (Note 5)
|
| | | $ | 119,529,145 | | |
|
Aggregate distributable earnings (losses)
|
| | | | (3,560,849) | | |
|
Total Net Assets
|
| | | $ | 115,968,296 | | |
|
Net asset value per share of common stock
|
| | | $ | 19.27 | | |
Issuer(1)
|
| |
Investment(2)
|
| |
Acquisition
Date(3) |
| |
Principal
Amount |
| |
Cost
|
| |
Fair Value(4)
|
| |
% of
Net Assets |
| |||||||||||||||
CLO Debt(5) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
United States
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Apidos CLO XXIX, Ltd.
|
| | CLO Secured Note — Class D (7.53% due 7/25/30) |
| | | | 10/04/18 | | | | | $ | 5,900,000 | | | | | $ | 5,718,296 | | | | | $ | 5,344,220 | | | | | | 4.61% | | |
Ares XLV CLO Ltd.
|
| | CLO Secured Note — Class E (8.40% due 10/15/30) |
| | | | 05/30/19 | | | | | | 800,000 | | | | | | 785,434 | | | | | | 759,440 | | | | | | 0.65% | | |
Assurant CLO IV, Ltd.
|
| | CLO Secured Note — Class E (9.28% due 4/20/30) |
| | | | 06/05/19 | | | | | | 2,025,000 | | | | | | 2,020,440 | | | | | | 2,024,798 | | | | | | 1.75% | | |
Barings CLO Ltd. 2018-II
|
| | CLO Secured Note — Class D (7.85% due 4/15/30) |
| | | | 10/04/18 | | | | | | 3,650,000 | | | | | | 3,606,894 | | | | | | 3,321,135 | | | | | | 2.86% | | |
Barings CLO Ltd. 2018-IV
|
| | CLO Secured Note — Class E (8.12% due 10/15/30) |
| | | | 10/26/18 | | | | | | 750,000 | | | | | | 746,462 | | | | | | 691,575 | | | | | | 0.60% | | |
Battalion CLO XI Ltd.
|
| | CLO Secured Note — Class E (8.26% due 10/24/29) |
| | | | 10/04/18 | | | | | | 4,600,000 | | | | | | 4,502,730 | | | | | | 4,433,480 | | | | | | 3.82% | | |
Battalion CLO XII Ltd.
|
| | CLO Secured Note — Class E (8.21% due 5/17/31) |
| | | | 10/04/18 | | | | | | 1,458,000 | | | | | | 1,405,243 | | | | | | 1,339,173 | | | | | | 1.15% | | |
Black Diamond CLO 2016-1, Ltd.
|
| | CLO Secured Note — Class D-R (7.87% due 4/26/31) |
| | | | 10/04/18 | | | | | | 1,050,000 | | | | | | 980,949 | | | | | | 874,545 | | | | | | 0.75% | | |
Black Diamond CLO 2017-1, Ltd.
|
| | CLO Secured Note — Class D (8.88% due 4/24/29) |
| | | | 10/04/18 | | | | | | 3,600,000 | | | | | | 3,590,984 | | | | | | 3,405,600 | | | | | | 2.94% | | |
Canyon CLO 2019-1, Ltd.
|
| | CLO Secured Note — Class E (9.29% due 4/15/32) |
| | | | 08/16/19 | | | | | | 3,000,000 | | | | | | 2,912,534 | | | | | | 2,863,200 | | | | | | 2.47% | | |
Carlyle US CLO 2018-1, Ltd.
|
| | CLO Secured Note — Class D (8.03% due 4/20/31) |
| | | | 10/04/18 | | | | | | 550,000 | | | | | | 548,284 | | | | | | 491,150 | | | | | | 0.42% | | |
Carlyle US CLO 2018-2, Ltd.
|
| | CLO Secured Note — Class D (7.55% due 10/15/31) |
| | | | 10/04/18 | | | | | | 3,750,000 | | | | | | 3,633,634 | | | | | | 3,325,125 | | | | | | 2.87% | | |
Carlyle US CLO 2019-1, Ltd.
|
| | CLO Secured Note — Class D (9.32% due 4/20/31) |
| | | | 08/19/19 | | | | | | 2,100,000 | | | | | | 2,045,781 | | | | | | 2,032,800 | | | | | | 1.75% | | |
CIFC Funding 2015-I, Ltd.
|
| | CLO Secured Note — Class E-RR (8.28% due 1/22/31) |
| | | | 10/04/18 | | | | | | 2,600,000 | | | | | | 2,555,175 | | | | | | 2,419,820 | | | | | | 2.09% | | |
CIFC Funding 2015-II, Ltd.
|
| | CLO Secured Note — Class E-R (7.60% due 4/15/27) |
| | | | 10/04/18 | | | | | | 2,800,000 | | | | | | 2,800,000 | | | | | | 2,704,800 | | | | | | 2.33% | | |
CIFC Funding 2018-I, Ltd.
|
| | CLO Secured Note — Class E (7.30% due 4/18/31) |
| | | | 10/04/18 | | | | | | 3,675,000 | | | | | | 3,492,303 | | | | | | 3,283,613 | | | | | | 2.83% | | |
CIFC Funding 2018-II, Ltd.
|
| | CLO Secured Note — Class D (8.13% due 4/20/31) |
| | | | 10/04/18 | | | | | | 950,000 | | | | | | 933,655 | | | | | | 896,515 | | | | | | 0.77% | | |
CIFC Funding 2018-IV, Ltd.
|
| | CLO Secured Note — Class E (10.00% due 10/17/31) |
| | | | 05/22/19 | | | | | | 2,000,000 | | | | | | 1,839,194 | | | | | | 1,750,800 | | | | | | 1.51% | | |
CIFC Funding 2019-III, Ltd.
|
| | CLO Secured Note — Class D (9.23% due 7/16/32) |
| | | | 05/14/19 | | | | | | 1,900,000 | | | | | | 1,870,233 | | | | | | 1,875,110 | | | | | | 1.62% | | |
CIFC Funding 2019-V, Ltd.
|
| | CLO Secured Note — Class D (9.00% due 10/15/32) |
| | | | 08/09/19 | | | | | | 5,500,000 | | | | | | 5,390,290 | | | | | | 5,408,700 | | | | | | 4.66% | | |
Cook Park CLO, Ltd.
|
| | CLO Secured Note — Class E (7.70% due 4/17/30) |
| | | | 10/04/18 | | | | | | 1,000,000 | | | | | | 982,099 | | | | | | 905,600 | | | | | | 0.78% | | |
Dryden 37 Senior Loan Fund, Ltd.
|
| | CLO Secured Note — Class E-R (7.45% due 1/15/31) |
| | | | 10/04/18 | | | | | | 500,000 | | | | | | 481,281 | | | | | | 443,750 | | | | | | 0.38% | | |
Dryden 64 CLO, Ltd.
|
| | CLO Secured Note — Class E (7.90% due 4/18/31) |
| | | | 10/04/18 | | | | | | 1,300,000 | | | | | | 1,280,731 | | | | | | 1,192,750 | | | | | | 1.03% | | |
LCM XVIII, L.P.
|
| | CLO Secured Note — Class E-R (8.23% due 4/20/31) |
| | | | 10/04/18 | | | | | | 600,000 | | | | | | 598,183 | | | | | | 545,940 | | | | | | 0.47% | | |
Madison Park Funding XXVII, Ltd.
|
| | CLO Secured Note — Class D (7.28% due 4/20/30) |
| | | | 10/04/18 | | | | | | 1,250,000 | | | | | | 1,157,417 | | | | | | 1,109,125 | | | | | | 0.96% | | |
Madison Park Funding XLII, Ltd.
|
| | CLO Secured Note — Class E (8.31% due 11/21/30) |
| | | | 08/15/19 | | | | | | 1,400,000 | | | | | | 1,330,880 | | | | | | 1,317,540 | | | | | | 1.14% | | |
Marathon CLO IX, Ltd.
|
| | CLO Secured Note — Class D (8.35% due 4/15/29) |
| | | | 10/04/18 | | | | | | 4,050,000 | | | | | | 3,992,790 | | | | | | 3,485,025 | | | | | | 3.01% | | |
Marathon CLO XIII, Ltd.
|
| | CLO Secured Note — Class D (9.33% due 4/15/32) |
| | | | 06/04/19 | | | | | | 3,500,000 | | | | | | 3,327,570 | | | | | | 3,244,500 | | | | | | 2.80% | | |
Octagon Investment Partners 37, Ltd.
|
| | CLO Secured Note — Class D (7.68% due 7/25/30) |
| | | | 10/04/18 | | | | | | 1,200,000 | | | | | | 1,174,076 | | | | | | 1,077,840 | | | | | | 0.93% | | |
Octagon Investment Partners 38, Ltd.
|
| | CLO Secured Note — Class D (7.98% due 7/20/30) |
| | | | 10/04/18 | | | | | | 3,300,000 | | | | | | 3,229,257 | | | | | | 3,022,800 | | | | | | 2.61% | | |
Octagon Investment Partners 39, Ltd.
|
| | CLO Secured Note — Class E (8.03% due 10/20/30) |
| | | | 10/24/18 | | | | | | 950,000 | | | | | | 941,917 | | | | | | 877,895 | | | | | | 0.76% | | |
Issuer(1)
|
| |
Investment(2)
|
| |
Acquisition
Date(3) |
| |
Principal
Amount |
| |
Cost
|
| |
Fair Value(4)
|
| |
% of
Net Assets |
| |||||||||||||||
Octagon Investment Partners 41, Ltd.
|
| | CLO Secured Note — Class E (9.50% due 4/15/31) |
| | | | 07/18/19 | | | | | $ | 1,250,000 | | | | | $ | 1,239,167 | | | | | $ | 1,226,250 | | | | | | 1.06% | | |
Octagon Investment Partners 43, Ltd.
|
| | CLO Secured Note — Class E (8.69% due 10/25/32) |
| | | | 08/02/19 | | | | | | 5,200,000 | | | | | | 5,096,340 | | | | | | 5,096,000 | | | | | | 4.39% | | |
OZLM XXI, Ltd.
|
| | CLO Secured Note — Class D (7.82% due 1/20/31) |
| | | | 10/04/18 | | | | | | 4,150,000 | | | | | | 4,045,204 | | | | | | 3,672,750 | | | | | | 3.17% | | |
Palmer Square CLO 2018-1, Ltd.
|
| | CLO Secured Note — Class D (7.45% due 4/18/31) |
| | | | 05/30/19 | | | | | | 570,000 | | | | | | 529,305 | | | | | | 517,731 | | | | | | 0.45% | | |
Rockford Tower CLO 2017-3, Ltd.
|
| | CLO Secured Note — Class E (8.03% due 10/20/30) |
| | | | 10/04/18 | | | | | | 3,750,000 | | | | | | 3,717,752 | | | | | | 3,543,750 | | | | | | 3.06% | | |
Rockford Tower CLO 2018-2, Ltd.
|
| | CLO Secured Note — Class E (8.28% due 10/20/31) |
| | | | 10/04/18 | | | | | | 3,750,000 | | | | | | 3,737,885 | | | | | | 3,587,625 | | | | | | 3.09% | | |
TICP CLO VII, Ltd.
|
| | CLO Secured Note — Class E (8.81% due 7/15/29) |
| | | | 09/27/19 | | | | | | 2,600,000 | | | | | | 2,554,500 | | | | | | 2,555,800 | | | | | | 2.20% | | |
TICP CLO IX, Ltd.
|
| | CLO Secured Note — Class E (7.88% due 1/20/31) |
| | | | 08/22/19 | | | | | | 2,500,000 | | | | | | 2,317,611 | | | | | | 2,326,500 | | | | | | 2.01% | | |
Vibrant CLO VI, Ltd.
|
| | CLO Secured Note — Class E (7.91% due 6/20/29) |
| | | | 10/04/18 | | | | | | 4,100,000 | | | | | | 4,028,361 | | | | | | 3,685,490 | | | | | | 3.18% | | |
Vibrant CLO VIII, Ltd.
|
| | CLO Secured Note — Class D (8.03% due 1/20/31) |
| | | | 10/04/18 | | | | | | 1,750,000 | | | | | | 1,695,284 | | | | | | 1,530,375 | | | | | | 1.32% | | |
York CLO-2 Ltd.
|
| | CLO Secured Note — Class E-R (7.93% due 1/22/31) |
| | | | 05/16/19 | | | | | | 1,605,000 | | | | | | 1,506,505 | | | | | | 1,478,365 | | | | | | 1.27% | | |
| | | | | | | | | | | | | | | | | | | | 100,342,630 | | | | | | 95,689,000 | | | | | | 82.52% | | |
CLO Equity(6)(7) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
United States
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Marathon CLO XIII, Ltd.
|
| | CLO Subordinated Note (14.05% due 4/15/32) |
| | | | 06/04/19 | | | | | | 5,300,000 | | | | | | 4,889,250 | | | | | | 3,960,110 | | | | | | 3.41% | | |
Octagon Investment Partners 43, Ltd.
|
| | CLO Income Note (12.28% due 10/25/32) |
| | | | 08/02/19 | | | | | | 5,750,000 | | | | | | 4,968,575 | | | | | | 4,941,695 | | | | | | 4.26% | | |
Venture 37 CLO, Limited
|
| | CLO Subordinated Note (16.87% due 7/15/32) |
| | | | 05/21/19 | | | | | | 5,200,000 | | | | | | 4,680,000 | | | | | | 4,302,627 | | | | | | 3.71% | | |
| | | | | | | | | | | | | | | | | | | | 14,537,825 | | | | | | 13,204,432 | | | | | | 11.38% | | |
Total investments, at fair value as of
September 30, 2019 |
| | | | | | | | | | | | | | | | | | $ | 114,880,455 | | | | | $ | 108,893,432 | | | | | | 93.90% | | |
Net assets above (below) fair value of investments
|
| | | | | | | | | | | | | | | | | | | | | | | | | 7,074,864 | | | | | | | | |
Net assets as of September 30, 2019
|
| | | | | | | | | | | | | | | | | | | | | | | | $ | 115,968,296 | | | | | | | | |
|
| INVESTMENT INCOME | | | | | | | |
|
Interest income
|
| | | $ | 5,520,802 | | |
|
Total Investment Income
|
| | | | 5,520,802 | | |
| EXPENSES | | | | | | | |
|
Management fee
|
| | | | 864,980 | | |
|
Administration fees
|
| | | | 273,248 | | |
|
Directors’ fees
|
| | | | 191,250 | | |
|
Professional fees
|
| | | | 177,527 | | |
|
Other expenses
|
| | | | 125,938 | | |
|
Tax expense
|
| | | | 67,500 | | |
|
Amortization of deferred financing costs
|
| | | | 258 | | |
|
Total Expenses
|
| | | | 1,700,701 | | |
|
Management fee voluntarily waived by the Adviser
|
| | | | (404,345) | | |
|
Expenses reimbursed by the Adviser
|
| | | | (291,213) | | |
|
Administration fee voluntarily waived by the Administrator
|
| | | | (98,515) | | |
|
Total Expenses Reimbursed and Fees Waived (Note 4)
|
| | | | (794,073) | | |
|
Net Expenses
|
| | | | 906,628 | | |
|
NET INVESTMENT INCOME
|
| | | | 4,614,174 | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | |
|
Net realized gain (loss) on investments
|
| | | | (458,946) | | |
|
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 443,377 | | |
|
NET GAIN (LOSS) ON INVESTMENTS
|
| | | | (15,569) | | |
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
| | | $ | 4,598,605 | | |
| Net increase (decrease) in net assets resulting from operations: | | | | | | | |
|
Net investment income
|
| | | $ | 4,614,174 | | |
|
Net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments
|
| | | | (15,569) | | |
|
Total net increase (decrease) in net assets resulting from operations
|
| | | | 4,598,605 | | |
| Common stock distributions paid to stockholders: | | | | | | | |
|
Total earnings distributed
|
| | | | (1,729,050) | | |
|
Common stock distributions from tax return of capital
|
| | | | | | |
|
Total common stock distributions paid to stockholders
|
| | | | (1,729,050) | | |
| Capital share transactions: | | | | | | | |
|
Issuance of shares of common stock pursuant to private placement (Note 5)
|
| | | | 16,935,451 | | |
|
Paid-in capital contribution by affiliates of the Adviser pursuant to private placement (Note 4)
|
| | | | 897,481 | | |
|
Issuance of shares of common stock pursuant to initial public offering, net of $750,000 offering expenses (Note 5)
|
| | | | 26,342,447 | | |
|
Total capital share transactions
|
| | | | 44,175,379 | | |
|
Total increase (decrease) in net assets
|
| | | | 47,044,935 | | |
|
Net assets at beginning of period
|
| | | | 68,923,362 | | |
|
Net assets at end of period
|
| | | $ | 115,968,296 | | |
| Capital share activity: | | | | | | | |
|
Shares of common stock issued pursuant to private placement
|
| | | | 886,563 | | |
|
Shares of common stock issued pursuant to initial public offering
|
| | | | 1,362,114 | | |
|
Total increase (decrease) in capital share activity
|
| | | | 2,248,677 | | |
| CASH FLOWS FROM OPERATING ACTIVITIES | | | | | | | |
|
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 4,598,605 | | |
|
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
|
| | | | | | |
|
Purchases of investments
|
| | | | (46,982,936) | | |
|
Proceeds from sales of investments
|
| | | | 10,236,445 | | |
|
Net realized (gain) loss on investments
|
| | | | 458,946 | | |
|
Net change in unrealized (appreciation) depreciation on investments
|
| | | | (443,377) | | |
|
Net amortization (accretion) of premiums or discounts on CLO debt securities
|
| | | | (96,273) | | |
|
Changes in assets and liabilities:
|
| | | | | | |
|
Interest receivable
|
| | | | (659,392) | | |
|
Unamortized deferred financing costs
|
| | | | (61,742) | | |
|
Management fee payable
|
| | | | 363,719 | | |
|
Administration fees payable
|
| | | | 84,908 | | |
|
Professional fees payable
|
| | | | 67,143 | | |
|
Directors’ fees payable
|
| | | | 29,815 | | |
|
Tax expense payable
|
| | | | 30,000 | | |
|
Other expenses payable
|
| | | | 8,333 | | |
|
Net cash provided by (used in) operating activities
|
| | | | (32,365,806) | | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | |
|
Common stock distributions paid to stockholders, net of changes in distributions payable
|
| | | | (3,045,516) | | |
|
Issuance of shares of common stock pursuant to private placement
|
| | | | 16,935,451 | | |
|
Paid-in capital contribution by affiliates of the Adviser pursuant to private placement (Note 4)
|
| | | | 897,481 | | |
|
Issuance of shares of common stock pursuant to initial public offering, net of underwriting discounts, commissions and offering expenses
|
| | | | 26,342,447 | | |
|
Net cash provided by (used in) financing activities
|
| | | | 41,129,864 | | |
|
NET INCREASE (DECREASE) IN CASH
|
| | | | 8,764,057 | | |
|
CASH, BEGINNING OF PERIOD
|
| | | | 88,501 | | |
|
CASH, END OF PERIOD
|
| | | $ | 8,852,559 | | |
|
Supplemental disclosures:
|
| | | | | | |
|
Cash paid for franchise taxes
|
| | | | 8,683 | | |
|
Cost for federal income tax purposes
|
| | | $ | 114,880,455 | | |
|
Gross unrealized appreciation
|
| | | | 37,834 | | |
|
Gross unrealized depreciation
|
| | | | (6,024,857) | | |
|
Net unrealized depreciation
|
| | | $ | (5,987,023) | | |
| | |
Level I
|
| |
Level II
|
| |
Level III
|
| |
Total
|
| ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
CLO Debt
|
| | | $ | — | | | | | $ | 95,689,000 | | | | | $ | — | | | | | $ | 95,689,000 | | |
CLO Equity
|
| | | $ | — | | | | | $ | — | | | | | $ | 13,204,432 | | | | | $ | 13,204,432 | | |
Total Investments, at Fair Value
|
| | | $ | — | | | | | $ | 95,689,000 | | | | | $ | 13,204,432 | | | | | $ | 108,893,432 | | |
| | |
CLO Equity
|
| |
Total
|
| ||||||
Beginning Balance at January 1, 2019
|
| | | $ | — | | | | | $ | — | | |
Purchases of investments
|
| | | | 14,537,825 | | | | | | 14,537,825 | | |
Proceeds from sales or maturity of investments
|
| | | | — | | | | | | — | | |
Net realized gains (losses) and net change in unrealized appreciation (depreciation)
|
| | | | (1,333,393) | | | | | | (1,333,393) | | |
Balance as of September 30, 2019
|
| | | $ | 13,204,432 | | | | | $ | 13,204,432 | | |
Change in unrealized appreciation (depreciation) on investments still held as of Septemeber 30, 2019
|
| | | $ | (1,333,393) | | | | | $ | (1,333,393) | | |
| | |
Quantitative Information about Level III Fair Value Measurements
|
| ||||||||||||
Assets
|
| |
Fair Value as of
September 30, 2019 |
| |
Valuation
Techniques/Methodologies |
| |
Unobservable Inputs
|
| |
Range / Weighted Average
|
| |||
CLO Equity
|
| | | $ | 13,204,432 | | | | Discounted Cash Flows | | | Constant Default Rate | | |
2.00%
|
|
| | | | | | | | | | | | Constant Prepayment Rate | | |
25.00%
|
|
| | | | | | | | | | | | Reinvestment Spread | | |
3.73%
|
|
| | | | | | | | | | | | Reinvestment Price | | |
99.50%
|
|
| | | | | | | | | | | | Recovery Rate | | |
69.90%
|
|
| | | | | | | | | | | | Yield to Maturity | | |
12.42% – 20.66% / 17.35%
|
|
Per Share Data
|
| |
For the nine months
ended September 30, 2019 |
| |
For the period from
October 16, 2018 to December 31, 2018 |
| ||||||
Net asset value, beginning of period
|
| | | $ | 18.28 | | | | | | 20.00 | | |
Net investment income, before fee waivers and expenses reimbursed(1)
|
| | | | 0.83 | | | | | | 0.10 | | |
Management fee voluntarily waived by the Adviser(1)
|
| | | | 0.09 | | | | | | 0.05 | | |
Expenses reimbursed by the Adviser(1)
|
| | | | 0.06 | | | | | | 0.20 | | |
Administration fee voluntarily waived by the Administrator(1)
|
| | | | 0.02 | | | | | | — | | |
Net investment income
|
| | | | 1.00 | | | | | | 0.35 | | |
Net realized gain (loss) and change in unrealized appreciation (depreciation) on investments(1)(2)
|
| | | | 0.40 | | | | | | (1.72) | | |
Net income (loss) and net increase (decrease) in net assets resulting from operations
|
| | | | 1.40 | | | | | | (1.37) | | |
Common stock distributions from net investment income
|
| | | | (0.29) | | | | | | (0.35) | | |
Common stock distributions from net realized gains on investments
|
| | | | — | | | | | | — | | |
Common stock distributions from tax return of capital
|
| | | | — | | | | | | — | | |
Total common stock distributions declared to stockholders
|
| | | | (0.29) | | | | | | (0.35) | | |
Effect of shares issued(3)
|
| | | | (0.19) | | | | | | | | |
Effect of offering expenses associated with shares issued(4)
|
| | | | (0.12) | | | | | | | | |
Effect of paid-in capital contribution(5)
|
| | | | 0.19 | | | | | | | | |
Net effect of shares issued
|
| | | | (0.12) | | | | | | — | | |
Net asset value at end of period
|
| | | $ | 19.27 | | | | | | 18.28 | | |
Total return, based on market value(6)
|
| | | | (1.28)% | | | | | | N/A | | |
Total return, based on net asset value(7)
|
| | | | 6.99% | | | | | | (6.85)% | | |
Shares of common stock outstanding at end of period
|
| | | | 6,018,273 | | | | | | 3,769,596 | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | |
Net asset value at end of period
|
| | | $ | 115,968,296 | | | | | | 68,923,362 | | |
Ratio of net investment income to average net assets(8)
|
| | | | 6.35% | | | | | | 8.54% | | |
Ratio of expenses, before fee waivers and expenses reimbursed, to average
net assets(8)(9) |
| | | | 2.51% | | | | | | 3.12% | | |
Ratio of expenses, after fee waivers and expenses reimbursed, to average net assets(8)(9)
|
| | | | 1.65% | | | | | | 0.00% | | |
Portfolio turnover rate(10)
|
| | | | 12.56% | | | | | | 2.35% | | |
Per Unit Data
|
| |
For the period from
October 4, 2018 (Commencement of Operations) to October 15, 2018 |
| |||
Net asset value at beginning of period
|
| | | $ | 1,000.00 | | |
Net investment income
|
| | | | 2.69 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 0.51 | | |
Net income (loss) and net increase (decrease) in net assets resulting from operations
|
| | | | 3.20 | | |
Net asset value at end of period
|
| | | $ | 1,003.20 | | |
Total return(1)
|
| | | | 0.32% | | |
Ratios and Supplemental Data: | | | | | | | |
Net asset value at end of period
|
| | | $ | 75,391,911 | | |
Ratio of net investment income to average net assets(1)
|
| | | | 0.27% | | |
Ratio of expenses to average net assets(2)
|
| | | | 0.00% | | |
Portfolio turnover rate(3)
|
| | | | 0.00% | | |
| | |
Page
|
| |||
| | | | 1 | | | |
| | | | 15 | | | |
| | | | 18 | | | |
| | | | 49 | | | |
| | | | 50 | | | |
BUSINESS | | | | | 51 | | |
| | | | 67 | | | |
MANAGEMENT | | | | | 74 | | |
| | | | 83 | | | |
| | | | 84 | | | |
| | | | 86 | | | |
| | | | 90 | | | |
| | | | 100 | | | |
| | | | 101 | | | |
| | | | 108 | | | |
| | | | 109 | | | |
| | | | 111 | | | |
| | | | 120 | | | |
| | | | 122 | | | |
| | | | 124 | | | |
| | | | 128 | | | |
| | | | 134 | | | |
| | | | 135 | | | |
| | | | 136 | | | |
| | | | 136 | | | |
| | | | 136 | | | |
| | | | 136 | | | |
| | | | F-1 | | | |
| | | | A-1 | | |
| | |
September
2019(2) |
| |
July
2019(2) |
| ||||||
Number of unique underlying loan obligors
|
| | | | 1,273 | | | | | | 1,263 | | |
Largest exposure to any individual obligor
|
| | | | 1.07% | | | | | | 1.12% | | |
Average individual loan obligor exposure
|
| | | | 0.08% | | | | | | 0.08% | | |
Top 10 obligors loan exposure
|
| | | | 5.77% | | | | | | 6.13% | | |
Indirect exposure to senior secured loans(3)
|
| | | | 98.03% | | | | | | 97.42% | | |
Weighted average stated loan spread
|
| | | | 3.57% | | | | | | 3.57% | | |
Weighted average loan credit rating(4)
|
| | | | B+/B | | | | | | B+/B | | |
Weighted average junior overcollateralization (OC) cushion
|
| | | | 4.59% | | | | | | 4.69% | | |
Weighted average market value of loan collateral
|
| | | | 97.10% | | | | | | 97.68% | | |
Weighted average loan maturity (in years)
|
| | | | 5.2 | | | | | | 5.3 | | |
Weighted average remaining CLO reinvestment period (in years)
|
| | | | 3.6 | | | | | | 3.6 | | |
U.S. dollar currency exposure
|
| | | | 100% | | | | | | 100% | | |
| Stockholder Transaction Expenses (as a percentage of the offering price): | | | | |
|
Sales load
|
| |
—(1)
|
|
|
Offering expenses
|
| |
—(2)
|
|
|
Dividend reinvestment plan expenses
|
| |
Up to $15(3)
|
|
|
Total stockholder transaction expenses
|
| |
—
|
|
| Annual Expenses (as a percentage of net assets attributable to common stock): | | | ||
|
Management fee
|
| |
1.56%(4)
|
|
|
Interest payments on borrowed funds
|
| |
0.93%(5)
|
|
|
Other expenses
|
| |
1.06%
|
|
|
Acquired fund fees and expenses (underlying CLO fees and expenses)
|
| |
0.84%(6)
|
|
|
Total annual expenses
|
| |
4.39%
|
|
| | |
1 year
|
| |
3 years
|
| |
5 years
|
| |
10 years
|
| ||||||||||||
You would pay the following expenses on a $1,000 investment, assuming a 5% annual return
|
| | | $ | 44 | | | | | $ | 133 | | | | | $ | 222 | | | | | $ | 451 | | |
Assumed Return on Our Portfolio (Net of Expenses)
|
| |
-10%
|
| |
-5%
|
| |
0%
|
| |
5%
|
| |
10%
|
| |||||||||||||||
Corresponding return to common stockholder(1)
|
| | | | -13.43% | | | | | | -7.18% | | | | | | -0.93% | | | | | | 5.32% | | | | | | 11.57% | | |
| | | | | | | | |
Closing Sales Price
|
| |
Premium
(Discount) of High Sales Price to NAV(2) |
| |
Premium
(Discount) of Low Sales Price to NAV(2) |
| |
Distributions
Declared(3) |
| | ||||||||||||||||||||
Period
|
| |
NAV(1)
|
| |
High
|
| |
Low
|
| | |||||||||||||||||||||||||||||
Fiscal year ended December 31, 2019 | | | | | | | | | ||||||||||||||||||||||||||||||||
First quarter
|
| | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | |
N/A
|
| ||||||
Second quarter
|
| | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | | | | N/A | | | |
N/A
|
| ||||||
Third quarter(5)
|
| | | | N/A | | | | | $ | 20.34 | | | | | $ | 19.30 | | | | | | N/A | | | | | | N/A | | | |
$0.2873
|
| ||||||
Fourth quarter (through November 11, 2019)(5)
|
| | | | N/A | | | | | $ | 19.76 | | | | | $ | 18.90 | | | | | | N/A | | | | | | N/A | | | |
$0.3978 (4)
|
|
| | |
September
2019(2) |
| |
July
2019(2) |
| ||||||
Number of unique underlying loan obligors
|
| | | | 1,273 | | | | | | 1,263 | | |
Largest exposure to any individual obligor
|
| | | | 1.07% | | | | | | 1.12% | | |
Average individual loan obligor exposure
|
| | | | 0.08% | | | | | | 0.08% | | |
Top 10 obligors loan exposure
|
| | | | 5.77% | | | | | | 6.13% | | |
Indirect exposure to senior secured loans(3)
|
| | | | 98.03% | | | | | | 97.42% | | |
Weighted average stated loan spread
|
| | | | 3.57% | | | | | | 3.57% | | |
Weighted average loan credit rating(4)
|
| | | | B+/B | | | | | | B+/B | | |
Weighted average junior overcollateralization (OC) cushion
|
| | | | 4.59% | | | | | | 4.69% | | |
Weighted average market value of loan collateral
|
| | | | 97.10% | | | | | | 97.68% | | |
Weighted average loan maturity (in years)
|
| | | | 5.2 | | | | | | 5.3 | | |
Weighted average remaining CLO reinvestment period (in years)
|
| | | | 3.6 | | | | | | 3.6 | | |
U.S. dollar currency exposure
|
| | | | 100% | | | | | | 100% | | |
| | |
Registered
Investment Companies |
| |
Other Pooled
Investment Vehicle |
| |
Other
Accounts |
| |||||||||||||||||||||||||||
Portfolio Manager
|
| |
Number of
Accounts |
| |
Total Assets
(in millions) |
| |
Number of
Accounts |
| |
Total Assets
(in millions)(1) |
| |
Number of
Accounts |
| |
Total Assets
(in millions) |
| ||||||||||||||||||
Thomas P. Majewski
|
| | | | 2 | | | | | $ | 547.0 | | | | | | 3 | | | | | $ | 1,003.7 | | | | | | 17 | | | | | $ | 818.8 | | |
Daniel W. Ko
|
| | | | 2 | | | | | | 547.0 | | | | | | 3 | | | | | | 1,003.7 | | | | | | 17 | | | | | | 818.8 | | |
Daniel M. Spinner
|
| | | | 2 | | | | | | 547.0 | | | | | | 3 | | | | | | 1,003.7 | | | | | | 17 | | | | | | 818.8 | | |
Name of Portfolio Manager
|
| |
Dollar Range
of Equity Securities in the Company(1) |
| |||
Thomas P. Majewski
|
| | | | 100,001 – 500,000 | | |
Daniel W. Ko
|
| | | | 100,001 – 500,000 | | |
Daniel M. Spinner
|
| | | | 100,001 – 500,000 | | |
|
Audit
|
| |
Nominating
|
|
| Scott W. Appleby | | | Scott W. Appleby, Chair | |
| Kevin F. McDonald | | | Kevin F. McDonald | |
| Paul E. Tramontano | | | Paul E. Tramontano | |
| Jeffrey L. Weiss, Chair | | | Jeffrey L. Weiss | |
Name, Address(1) and Age
|
| |
Position(s) held with
the Company |
| |
Term of Office and
Length of Time Served |
| |
Principal Occupation(s)
During the Past 5 Years |
| |
Other
Directorships(4) |
|
Interested Directors | | | | | | | | | | | | | |
Thomas P. Majewski(2)
Age: 45 |
| | Class III Director, Chairperson of the Board and Chief Executive Officer | | | Since inception; term expires 2020 | | | Managing Partner of the Adviser since September 2018; Managing Partner of Eagle Point Credit Management since September 2012. | | | Eagle Point Credit Company Inc. | |
James R. Matthews(3)
Age: 52 |
| | Class II Director | | | Since inception; term expires 2022 | | | Principal of Stone Point since October 2011. | | | Eagle Point Credit Company Inc. | |
Independent Directors | | | | | | | | | | | | | |
Scott W. Appleby
Age: 55 |
| | Class I Director | | | Since inception; term expires 2021 | | | President of Appleby Capital, Inc. since April 2009. | | | Eagle Point Credit Company Inc. | |
Kevin F. McDonald
Age: 53 |
| | Class III Director | | | Since inception; term expires 2020 | | | Chief Operating Officer of AltaRock Partners since January 2019; Director of Business Development of Folger Hill Asset Management, LP from December 2014 to July 2018; Principal of Taylor Investment Advisors, LP from March 2002 to March 2017; Chief Executive Officer of Taylor Investment Advisors, LP from 2006 to December 2014. | | | Eagle Point Credit Company Inc. | |
Name, Address(1) and Age
|
| |
Position(s) held with
the Company |
| |
Term of Office and
Length of Time Served |
| |
Principal Occupation(s)
During the Past 5 Years |
| |
Other
Directorships(4) |
|
Paul E. Tramontano
Age: 58 |
| | Class II Director | | | Since inception; term expires 2022 | | | Senior Managing Director and Portfolio Manager at First Republic Investment Management since October 2015; Co-Chief Executive Officer of Constellation Wealth Advisors LLC from April 2007 to October 2015. | | | Eagle Point Credit Company Inc. | |
Jeffrey L. Weiss
Age: 58 |
| | Class I Director | | | Since inception; term expires 2021 | | | Private Investor since June 2012; Managing Partner of Colter Lewis Investment Partners LLC since January 2018. | | | Eagle Point Credit Company Inc. | |
Name, Address and Age(1)
|
| |
Positions Held
with the Company |
| |
Term of Office(2) and
Length of Time Served |
| |
Principal Occupation(s)
During the Last Five Years |
|
Kenneth P. Onorio
Age: 51 |
| | Chief Financial Officer and Chief Operating Officer | | | Since inception | | | Chief Financial Officer of ECC since July 2014 and Chief Operating Officer of ECC since November 2014; Chief Financial Officer of the Adviser since October 2018 and Eagle Point Credit Management since July 2014; Chief Operating Officer of the Adviser since October 2018 and Eagle Point Credit Management since August 2014; Executive Director of Private Equity and Hedge Fund Administration at JPMorgan Alternative Investment Services from September 2008 to July 2014. | |
Nauman S. Malik
Age: 39 |
| | Chief Compliance Officer | | | Since inception | | | Chief Compliance Officer of ECC since September 2015; General Counsel of the Adviser since October 2018 and Eagle Point Credit Management since June 2015; Chief Compliance Officer of the Adviser since October 2018 and Eagle Point Credit Management since September 2015; Associate, Dechert LLP, a law firm, from September 2012 to May 2015. | |
Courtney B. Fandrick
Age: 37 |
| | Secretary | | | Since inception | | | Secretary of ECC since August 2015; Deputy Chief Compliance Officer of the Adviser since October 2018 and Eagle Point Credit Management since December 2014; Senior Compliance Associate, Bridgewater Associates, LP, an investment management firm, from August 2007 to December 2014. | |
| | |
Aggregate
Compensation from the Company(1) |
| |
Aggregate
Compensation from the Fund Complex(2)(3) |
| ||||||
Scott W. Appleby
|
| | | $ | 0* | | | | | $ | 50,000** | | |
Kevin F. McDonald
|
| | | $ | 0* | | | | | $ | 47,500** | | |
Paul E. Tramontano
|
| | | $ | 0* | | | | | $ | 47,500** | | |
Jeffrey L. Weiss
|
| | | $ | 0* | | | | | $ | 53,750** | | |
Name of Director
|
| |
Dollar Range of
Equity Securities in the Company(1) |
| |
Dollar Range of
Equity Securities in the Fund Complex(1) |
|
Interested Directors | | | | | | | |
Thomas P. Majewski
|
| |
Over $100,000
|
| |
Over $100,000
|
|
James R. Matthews
|
| |
—
|
| |
—
|
|
Independent Directors | | | | | | | |
Scott W. Appleby
|
| |
$50,001 – $100,000
|
| |
Over $100,000
|
|
Kevin F. McDonald
|
| |
$50,001 – $100,000
|
| |
Over $100,000
|
|
Paul E. Tramontano
|
| |
$50,001 – $100,000
|
| |
Over $100,000
|
|
Jeffrey L. Weiss
|
| |
$50,001 – $100,000
|
| |
Over $100,000
|
|
|
(1)
Title of Class |
| |
(2)
Amount Authorized |
| |
(3)
Amount Held by Us or for Our Account |
| |
(4)
Amount Outstanding Exclusive of Amounts Shown Under (3) |
| |||
|
Common stock, par value $0.001 per share
|
| |
150,000,000 shares
|
| | | | — | | | |
6,018,273 shares
|
|
|
Preferred stock, par value $0.001 per share
|
| |
20,000,000 shares
|
| | | | — | | | |
—
|
|
| | |
Common Stock
Beneficially Owned(1) Immediately Prior to Offering |
| |||||||||
Name and Address
|
| |
Number
|
| |
%
|
| ||||||
Cavello Bay Reinsurance Limited
Windsor Place, 3rd Floor 22 Queen Street Hamilton, JM JX Bermuda |
| | | | 3,764,580 | | | | | | 62.6% | | |
Potenza Investments LP
34 Greene Street #4N New York, NY 10013 |
| | | | 366,492 | | | | | | 6.1% | | |
All officers and directors as a group (9 persons)(2)
|
| | | | 26,359 | | | | | | * | | |
| | | | | F-2 | | | |
| | | | | F-2 | | | |
| | | | | F-3 | | | |
| | | | | F-5 | | | |
| | | | | F-6 | | | |
| | | | | F-7 | | | |
| | | | | F-8 | | | |
| | | | | F-23 | | | |
| | | | | F-26 | | | |
| | | | | F-26 | | | |
| | | | | F-27 | | | |
| | | | | F-28 | | | |
| | | | | F-29 | | | |
| | | | | F-30 | | | |
| | | | | F-31 | | | |
| | | | | F-32 | | | |
| | | | | F-44 | | | |
| | | | | F-46 | | |
| ASSETS | | | | | | | |
|
Investments, at fair value (cost $84,108,706)
|
| | | $ | 81,190,844 | | |
|
Cash
|
| | | | 10,805,889 | | |
|
Interest receivable
|
| | | | 1,151,306 | | |
|
Prepaid expenses
|
| | | | 23,017 | | |
|
Total Assets
|
| | | | 93,171,056 | | |
| LIABILITIES | | | | | | | |
|
Management fee payable
|
| | | | 96,917 | | |
|
Due to affiliates
|
| | | | 45,296 | | |
|
Professional fees payable
|
| | | | 31,071 | | |
|
Directors’ fees payable
|
| | | | 21,250 | | |
|
Administration fees payable
|
| | | | 19,703 | | |
|
Tax expense payable
|
| | | | 7,500 | | |
|
Other expenses payable
|
| | | | 6,250 | | |
|
Total Liabilities
|
| | | | 227,987 | | |
| COMMITMENTS AND CONTINGENCIES (Note 6) | | | | | | | |
|
NET ASSETS applicable to 4,656,159 shares of $0.001 par value common stock outstanding
|
| | | $ | 92,943,069 | | |
| NET ASSETS consist of: | | | | | | | |
|
Paid-in capital (Note 5)
|
| | | $ | 93,186,698 | | |
|
Aggregate distributable earnings (losses)
|
| | | | (243,629) | | |
|
Total Net Assets
|
| | | $ | 92,943,069 | | |
|
Net asset value per share of common stock
|
| | | $ | 19.96 | | |
Issuer(1)
|
| |
Investment(2)
|
| |
Principal
Amount |
| |
Cost
|
| |
Fair
Value(3) |
| |
%
of Net Assets |
| ||||||||||||
CLO Debt(4) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
United States
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Apidos CLO XXIX, Ltd.
|
| | CLO Secured Note – Class D (7.83% due 7/25/30) | | | | $ | 5,900,000 | | | | | $ | 5,715,005 | | | | | $ | 5,406,170 | | | | | | 5.82% | | |
Ares XLV CLO Ltd.
|
| | CLO Secured Note – Class E (8.70% due 10/15/30) | | | | | 800,000 | | | | | | 785,146 | | | | | | 783,680 | | | | | | 0.84% | | |
Assurant CLO IV, Ltd.
|
| | CLO Secured Note – Class E (9.56% due 4/20/30) | | | | | 575,000 | | | | | | 575,419 | | | | | | 575,230 | | | | | | 0.62% | | |
Barings CLO Ltd. 2018-II
|
| | CLO Secured Note – Class D (8.15% due 4/15/30) | | | | | 3,650,000 | | | | | | 3,606,073 | | | | | | 3,420,050 | | | | | | 3.68% | | |
Barings CLO Ltd. 2018-IV
|
| | CLO Secured Note – Class E (8.42% due 10/15/30) | | | | | 750,000 | | | | | | 746,400 | | | | | | 713,250 | | | | | | 0.77% | | |
Battalion CLO XI Ltd.
|
| | CLO Secured Note – Class E (8.56% due 10/24/29) | | | | | 4,600,000 | | | | | | 4,500,337 | | | | | | 4,391,160 | | | | | | 4.72% | | |
Battalion CLO XII Ltd.
|
| | CLO Secured Note – Class E (8.62% due 5/17/31) | | | | | 1,458,000 | | | | | | 1,404,320 | | | | | | 1,374,748 | | | | | | 1.48% | | |
Black Diamond CLO 2016-1, Ltd.
|
| | CLO Secured Note – Class D-R (8.19% due 4/26/31) | | | | | 1,050,000 | | | | | | 979,711 | | | | | | 932,925 | | | | | | 1.00% | | |
Black Diamond CLO 2017-1, Ltd.
|
| | CLO Secured Note – Class D (9.18% due 4/24/29) | | | | | 3,600,000 | | | | | | 3,590,750 | | | | | | 3,473,280 | | | | | | 3.74% | | |
Carlyle US CLO 2018-1, Ltd.
|
| | CLO Secured Note – Class D (8.34% due 4/20/31) | | | | | 550,000 | | | | | | 548,252 | | | | | | 518,595 | | | | | | 0.56% | | |
Carlyle US CLO 2018-2, Ltd.
|
| | CLO Secured Note – Class D (7.85% due 10/15/31) | | | | | 3,750,000 | | | | | | 3,631,592 | | | | | | 3,430,500 | | | | | | 3.69% | | |
CIFC Funding 2015-I, Ltd.
|
| | CLO Secured Note – Class E-RR (8.59% due 1/22/31) | | | | | 2,600,000 | | | | | | 2,554,318 | | | | | | 2,469,220 | | | | | | 2.66% | | |
CIFC Funding 2015-II, Ltd.
|
| | CLO Secured Note – Class E-R (7.90% due 4/15/27) | | | | | 2,800,000 | | | | | | 2,800,000 | | | | | | 2,714,320 | | | | | | 2.92% | | |
CIFC Funding 2018-1, Ltd.
|
| | CLO Secured Note – Class E (7.60% due 4/18/31) | | | | | 3,675,000 | | | | | | 3,488,866 | | | | | | 3,387,248 | | | | | | 3.64% | | |
CIFC Funding 2018-II, Ltd.
|
| | CLO Secured Note – Class D (8.44% due 4/20/31) | | | | | 950,000 | | | | | | 933,356 | | | | | | 908,010 | | | | | | 0.98% | | |
CIFC Funding 2018-IV, Ltd.
|
| | CLO Secured Note – Class E (10.29% due 10/17/31) | | | | | 2,000,000 | | | | | | 1,836,951 | | | | | | 1,791,400 | | | | | | 1.93% | | |
CIFC Funding 2019-III, Ltd.
|
| | CLO Secured Note – Class D (9.23% due 7/16/32) | | | | | 1,900,000 | | | | | | 1,869,814 | | | | | | 1,874,730 | | | | | | 2.02% | | |
Cook Park CLO, Ltd.
|
| | CLO Secured Note – Class E (7.99% due 4/17/30) | | | | | 1,000,000 | | | | | | 981,759 | | | | | | 927,200 | | | | | | 1.00% | | |
Dryden 37 Senior Loan Fund, Ltd.
|
| | CLO Secured Note – Class E-R (7.75% due 1/15/31) | | | | | 500,000 | | | | | | 480,913 | | | | | | 448,200 | | | | | | 0.48% | | |
Dryden 64 CLO, Ltd.
|
| | CLO Secured Note – Class E (8.20% due 4/18/31) | | | | | 1,300,000 | | | | | | 1,280,368 | | | | | | 1,221,740 | | | | | | 1.31% | | |
LCM XVIII, L.P.
|
| | CLO Secured Note – Class E-R (8.54% due 4/20/31) | | | | | 600,000 | | | | | | 598,148 | | | | | | 562,320 | | | | | | 0.61% | | |
Madison Park Funding XXVII, Ltd.
|
| | CLO Secured Note – Class D (7.59% due 4/20/30) | | | | | 500,000 | | | | | | 478,870 | | | | | | 451,550 | | | | | | 0.49% | | |
Marathon CLO IX, Ltd.
|
| | CLO Secured Note – Class D (8.65% due 4/15/29) | | | | | 4,050,000 | | | | | | 3,991,231 | | | | | | 3,798,090 | | | | | | 4.09% | | |
Marathon CLO XIII Ltd.
|
| | CLO Secured Note – Class D (9.33% due 4/15/32) | | | | | 3,500,000 | | | | | | 3,325,166 | | | | | | 3,325,000 | | | | | | 3.58% | | |
Octagon Investment Partners 37, Ltd.
|
| | CLO Secured Note – Class D (7.98% due 7/25/30) | | | | | 1,200,000 | | | | | | 1,173,651 | | | | | | 1,110,960 | | | | | | 1.20% | | |
Octagon Investment Partners 38, Ltd.
|
| | CLO Secured Note – Class D (8.29% due 7/20/30) | | | | | 3,300,000 | | | | | | 3,227,992 | | | | | | 3,116,520 | | | | | | 3.35% | | |
Octagon Investment Partners 39, Ltd.
|
| | CLO Secured Note – Class E (8.34% due 10/20/30) | | | | | 950,000 | | | | | | 941,777 | | | | | | 899,365 | | | | | | 0.97% | | |
OZLM XXI, Ltd.
|
| | CLO Secured Note – Class D (8.13% due 1/20/31) | | | | | 4,150,000 | | | | | | 4,043,167 | | | | | | 3,832,110 | | | | | | 4.12% | | |
Palmer Square CLO 2018-1, Ltd
|
| | CLO Secured Note – Class D (7.75% due 4/18/31) | | | | | 570,000 | | | | | | 528,560 | | | | | | 523,545 | | | | | | 0.56% | | |
Rockford Tower CLO 2017-3, Ltd.
|
| | CLO Secured Note – Class E (8.34% due 10/20/30) | | | | | 3,750,000 | | | | | | 3,717,095 | | | | | | 3,512,625 | | | | | | 3.78% | | |
Rockford Tower CLO 2018-2, Ltd.
|
| | CLO Secured Note – Class E (8.59% due 10/20/31) | | | | | 3,750,000 | | | | | | 3,737,673 | | | | | | 3,564,750 | | | | | | 3.84% | | |
Vibrant CLO VI, Ltd.
|
| | CLO Secured Note – Class E (8.14% due 6/20/29) | | | | | 4,100,000 | | | | | | 4,026,576 | | | | | | 3,836,370 | | | | | | 4.13% | | |
Vibrant CLO VIII, Ltd.
|
| | CLO Secured Note – Class D (8.34% due 1/20/31) | | | | | 1,750,000 | | | | | | 1,694,237 | | | | | | 1,621,725 | | | | | | 1.74% | | |
York CLO-2 Ltd.
|
| | CLO Secured Note – Class E-R (8.24% due 1/22/31) | | | | | 780,000 | | | | | | 745,963 | | | | | | 733,902 | | | | | | 0.79% | | |
| | | | | | | | | | | | | | 74,539,456 | | | | | | 71,650,488 | | | | | | 77.11% | | |
CLO Equity(5)(6) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
United States
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Marathon CLO XIII Ltd.
|
| |
CLO Subordinated Note (estimated yield of 13.64%
due 4/15/32) |
| | | | 5,300,000 | | | | | | 4,889,250 | | | | | | 4,880,679 | | | | | | 5.25% | | |
Venture 37 CLO, Limited
|
| |
CLO Subordinated Note (estimated yield of 17.13%
due 7/15/32) |
| | | | 5,200,000 | | | | | | 4,680,000 | | | | | | 4,659,677 | | | | | | 5.01% | | |
| | | | | | | | | | | | | | 9,569,250 | | | | | | 9,540,356 | | | | | | 10.26% | | |
Total investments, at fair value as of June 30, 2019
|
| | | | | | | | | $ | 84,108,706 | | | | | $ | 81,190,844 | | | | | | 87.37% | | | |||
Net assets above (below) fair value of investments
|
| | | | | | | | | | | | | | | | 11,752,225 | | | | | | | | | |||
Net assets as of June 30, 2019
|
| | | | | | | | | | | | | | | $ | 92,943,069 | | | | | | | | | |||
|
| INVESTMENT INCOME | | | | | | | |
|
Interest income
|
| | | $ | 3,338,800 | | |
|
Total Investment Income
|
| | | | 3,338,800 | | |
| EXPENSES | | | | | | | |
|
Management fee
|
| | | | 501,262 | | |
|
Administration fees
|
| | | | 155,936 | | |
|
Directors’ fees
|
| | | | 127,500 | | |
|
Other expenses
|
| | | | 91,289 | | |
|
Professional fees
|
| | | | 78,706 | | |
|
Tax expense
|
| | | | 45,000 | | |
|
Total Expenses
|
| | | | 999,693 | | |
|
Management fee voluntarily waived by the Adviser
|
| | | | (404,345) | | |
|
Expenses reimbursed by the Adviser
|
| | | | (291,213) | | |
|
Administration fee voluntarily waived by the Adviser
|
| | | | (98,515) | | |
|
Total Expenses Reimbursed and Fees Waived by the Adviser (Note 4)
|
| | | | (794,073) | | |
|
Net Expenses
|
| | | | 205,620 | | |
|
NET INVESTMENT INCOME
|
| | | | 3,133,180 | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | |
|
Net realized gain (loss) on investments
|
| | | | (458,946) | | |
|
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 3,512,541 | | |
|
NET GAIN (LOSS) ON INVESTMENTS
|
| | | | 3,053,595 | | |
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
| | | $ | 6,186,775 | | |
| Net increase (decrease) in net assets resulting from operations: | | | | | | | |
|
Net investment income
|
| | | $ | 3,133,180 | | |
|
Net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments
|
| | | | 3,053,595 | | |
|
Total net increase (decrease) in net assets resulting from operations
|
| | | | 6,186,775 | | |
|
Common stock distributions declared and payable to stockholders
|
| | | | — | | |
| Capital share transactions: | | | | | | | |
|
Issuance of shares of common stock pursuant to private placement
|
| | | | 16,935,451 | | |
|
Paid-in capital contribution by affiliates of the Adviser pursuant to private placement (Note 4)
|
| | | | 897,481 | | |
|
Total capital share transactions
|
| | | | 17,832,932 | | |
|
Total increase (decrease) in net assets
|
| | | | 24,019,707 | | |
|
Net assets at beginning of period
|
| | | | 68,923,362 | | |
|
Net assets at end of period
|
| | | $ | 92,943,069 | | |
| Capital share activity: | | | | | | | |
|
Shares of common stock issued pursuant to private placement
|
| | | | 886,563 | | |
|
Total increase (decrease) in capital share activity
|
| | | | 886,563 | | |
| CASH FLOWS FROM OPERATING ACTIVITIES | | | | | | | |
|
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 6,186,775 | | |
|
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to
net cash provided by (used in) operating activities: |
| | | | | | |
|
Purchases of investments
|
| | | | (19,625,633) | | |
|
Proceeds from sales of investments and repayments of principal
|
| | | | 10,236,445 | | |
|
Net realized (gain) loss on investments
|
| | | | 458,946 | | |
|
Net change in unrealized (appreciation) depreciation on investments
|
| | | | (3,512,541) | | |
|
Net amortization (accretion) of premiums or discounts on CLO debt securities
|
| | | | (58,778) | | |
|
Changes in assets and liabilities:
|
| | | | | | |
|
Dividends payable
|
| | | | (1,316,466) | | |
|
Interest receivable
|
| | | | 310,738 | | |
|
Prepaid expenses
|
| | | | (23,017) | | |
|
Management fee payable
|
| | | | 96,917 | | |
|
Due to affiliates
|
| | | | 45,296 | | |
|
Professional fees payable
|
| | | | 31,071 | | |
|
Directors’ fees payable
|
| | | | 21,250 | | |
|
Administration fees payable
|
| | | | 19,703 | | |
|
Tax expense payable
|
| | | | 7,500 | | |
|
Other expenses payable
|
| | | | 6,250 | | |
|
Net cash provided by (used in) operating activities
|
| | | | (7,115,544) | | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | |
|
Issuance of shares of common stock pursuant to private placement
|
| | | | 16,935,451 | | |
|
Paid-in capital contribution by affiliates of the Adviser pursuant to private placement (Note 4)
|
| | | | 897,481 | | |
|
Net cash provided by (used in) financing activities
|
| | | | 17,832,932 | | |
|
NET INCREASE (DECREASE) IN CASH
|
| | | | 10,717,388 | | |
|
CASH, BEGINNING OF PERIOD
|
| | | | 88,501 | | |
|
CASH, END OF PERIOD
|
| | | $ | 10,805,889 | | |
|
Cost for federal income tax purposes
|
| | | $ | 84,048,420 | | |
|
Gross unrealized appreciation
|
| | | | 5,130 | | |
|
Gross unrealized depreciation
|
| | | | (2,862,706) | | |
|
Net unrealized depreciation
|
| | | $ | (2,857,576) | | |
| | |
Level I
|
| |
Level II
|
| |
Level III
|
| |
Total
|
| ||||||||||||
Assets | | | | | | ||||||||||||||||||||
CLO Debt
|
| | | $ | — | | | | | $ | 71,650,488 | | | | | $ | — | | | | | $ | 71,650,488 | | |
CLO Equity
|
| | | | — | | | | | | — | | | | | | 9,540,356 | | | | | | 9,540,356 | | |
Total Investments, at Fair Value
|
| | | $ | — | | | | | $ | 71,650,488 | | | | | $ | 9,540,356 | | | | | $ | 81,190,844 | | |
| | |
CLO Equity
|
| |
Total
|
| ||||||
Beginning Balance at January 1, 2019
|
| | | $ | — | | | | | $ | — | | |
Purchases of investments
|
| | | | 9,569,250 | | | | | | 9,569,250 | | |
Proceeds from sales or maturity of investments
|
| | | | — | | | | | | — | | |
Net realized gains (losses) and net change in unrealized appreciation (depreciation)
|
| | | | (28,894) | | | | | | (28,894) | | |
Balance as of June 30, 2019
|
| | | $ | 9,540,356 | | | | | $ | 9,540,356 | | |
Change in unrealized appreciation (depreciation) on investments still held as of June 30, 2019
|
| | | $ | (28,894) | | | | | $ | (28,894) | | |
Assets
|
| |
Fair Value as of
June 30, 2019 |
| |
Valuation
Techniques/Methodologies |
| |
Unobservable Inputs
|
| |
Range/Weighted Average
|
| |||
CLO Equity
|
| | | $ | 9,540,356 | | | |
Discounted Cash Flows
|
| | Constant Default Rate | | |
2.00%
|
|
| | | | | | | | | | | |
Constant Prepayment Rate
|
| |
25.00%
|
|
| | | | | | | | | | | | Reinvestment Spread | | |
3.85%
|
|
| | | | | | | | | | | | Reinvestment Price | | |
99.50%
|
|
| | | | | | | | | | | | Recovery Rate | | |
70.00%
|
|
| | | | | | | | | | | | Yield to Maturity | | |
13.64% – 17.13%/15.35%
|
|
Per Share Data
|
| |
For the six months
ended June 30, 2019 |
| |
For the period from
October 16, 2018 to December 31, 2018 |
| ||||||
Net asset value, beginning of period
|
| | | $ | 18.28 | | | | | | 20.00 | | |
Net investment income, before fee waivers and expenses reimbursed by the Adviser(1)
|
| | | | 0.58 | | | | | | 0.10 | | |
Management fee voluntarily waived by the Adviser(1)
|
| | | | 0.10 | | | | | | 0.05 | | |
Expenses reimbursed by the Adviser(1)
|
| | | | 0.07 | | | | | | 0.20 | | |
Administration fee voluntarily waived by the Adviser(1)
|
| | | | 0.02 | | | | | | — | | |
Net investment income
|
| | | | 0.77 | | | | | | 0.35 | | |
Net realized gain (loss) and change in unrealized appreciation (depreciation) on investments(1)(2)
|
| | | | 0.91 | | | | | | (1.72) | | |
Net income (loss) and net increase (decrease) in net assets resulting from operations
|
| | | | 1.68 | | | | | | (1.37) | | |
Common stock distributions from net investment income
|
| | | | — | | | | | | (0.35) | | |
Common stock distributions from net realized gains on
investments |
| | | | — | | | | | | — | | |
Common stock distributions from tax return of capital
|
| | | | — | | | | | | — | | |
Total common stock distributions declared to stockholders
|
| | | | — | | | | | | (0.35) | | |
Effect of shares issued(3)
|
| | | | (0.19) | | | | | | — | | |
Effect of paid-in capital contribution(4)
|
| | | | 0.19 | | | | | | — | | |
Net effect of shares issued
|
| | | | — | | | | | | — | | |
Net asset value at end of period
|
| | | $ | 19.96 | | | | | | 18.28 | | |
Total return(5)
|
| | | | 9.19% | | | | | | (6.85)% | | |
Shares of common stock outstanding at end of period
|
| | | | 4,656,159 | | | | | | 3,769,596 | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | |
Net asset value at end of period
|
| | | $ | 92,943,069 | | | | | | 68,923,362 | | |
Ratio of net investment income to average net assets(6)
|
| | | | 6.74% | | | | | | 8.54% | | |
Ratio of expenses, before fee waivers and expenses reimbursed by the
Adviser, to average net assets(6) |
| | | | 2.65% | | | | | | 3.12% | | |
Ratio of expenses, after fee waivers and expenses reimbursed by the Adviser, to average net assets(6)(7)
|
| | | | 1.65% | | | | | | 0.00% | | |
Portfolio turnover rate(8)
|
| | | | 13.85% | | | | | | 2.35% | | |
Per Unit Data
|
| |
For the period from
October 4, 2018 (Commencement of Operations) to October 15, 2018 |
| |||
Net asset value at beginning of period
|
| | | $ | 1,000.00 | | |
Net investment income
|
| | | | 2.69 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 0.51 | | |
Net income (loss) and net increase (decrease) in net assets resulting from operations
|
| | | | 3.20 | | |
Net asset value at end of period
|
| | | $ | 1,003.20 | | |
Total return(1)
|
| | | | 0.32% | | |
Ratios and Supplemental Data: | | | | | | | |
Net asset value at end of period
|
| | | $ | 75,391,911 | | |
Ratio of net investment income to average net assets(1)
|
| | | | 0.27% | | |
Ratio of expenses to average net assets(2)
|
| | | | 0.00% | | |
Portfolio turnover rate(3)
|
| | | | 0.00% | | |
| ASSETS | | | | | | | |
|
Investments, at fair value (cost $75,119,687)
|
| | | $ | 68,689,283 | | |
|
Interest receivable
|
| | | | 1,462,044 | | |
|
Cash
|
| | | | 88,501 | | |
|
Total Assets
|
| | | | 70,239,828 | | |
| LIABILITIES | | | | | | | |
|
Dividends payable
|
| | | | 1,316,466 | | |
|
Total Liabilities
|
| | | | 1,316,466 | | |
| COMMITMENTS AND CONTINGENCIES (Note 7) | | | | | | | |
|
NET ASSETS applicable to 3,769,596 shares of $0.001 par value common stock outstanding
|
| | | $ | 68,923,362 | | |
| NET ASSETS consist of: | | | | | | | |
|
Paid-in capital (Note 6)
|
| | | $ | 75,353,766 | | |
|
Aggregate distributable earnings (losses)
|
| | | | (6,430,404) | | |
|
Total Net Assets
|
| | | $ | 68,923,362 | | |
|
Net asset value per share of common stock
|
| | | $ | 18.28 | | |
Issuer
|
| |
Investment(1)
|
| |
Principal
Amount |
| |
Cost
|
| |
Fair
Value(2) |
| |
%
of Net Assets |
| ||||||||||||
CLO Debt(3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
United States
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Apidos CLO XXIX, Ltd.
|
| | CLO Secured Note – Class D (7.64% due 7/25/30) | | | | $ | 5,900,000 | | | | | $ | 5,708,860 | | | | | $ | 5,168,990 | | | | | | 7.50% | | |
Atlas Senior Loan Fund X, Ltd.
|
| | CLO Secured Note – Class E (8.14% due 1/15/31) | | | | | 2,000,000 | | | | | | 1,933,692 | | | | | | 1,738,000 | | | | | | 2.52% | | |
Babson CLO Ltd. 2015-I
|
| | CLO Secured Note – Class E-R (7.97% due 1/20/31) | | | | | 4,100,000 | | | | | | 3,915,462 | | | | | | 3,549,370 | | | | | | 5.15% | | |
Barings CLO Ltd. 2018-II
|
| | CLO Secured Note – Class D (7.99% due 4/15/30) | | | | | 3,650,000 | | | | | | 3,604,564 | | | | | | 3,315,295 | | | | | | 4.81% | | |
Barings CLO Ltd. 2018-IV
|
| | CLO Secured Note – Class E (8.24% due 10/15/30) | | | | | 750,000 | | | | | | 746,285 | | | | | | 680,100 | | | | | | 0.99% | | |
Battalion CLO XI Ltd.
|
| | CLO Secured Note – Class E (8.47% due 10/24/29) | | | | | 4,600,000 | | | | | | 4,495,877 | | | | | | 4,214,060 | | | | | | 6.11% | | |
Battalion CLO XII Ltd.
|
| | CLO Secured Note – Class E (8.73% due 5/17/31) | | | | | 1,350,000 | | | | | | 1,298,711 | | | | | | 1,201,230 | | | | | | 1.74% | | |
Black Diamond CLO 2017-1, Ltd.
|
| | CLO Secured Note – Class D (9.09% due 4/24/29) | | | | | 3,600,000 | | | | | | 3,590,338 | | | | | | 3,324,600 | | | | | | 4.82% | | |
Black Diamond CLO 2016-1, Ltd.
|
| | CLO Secured Note – Class D-R (8.11% due 4/26/31) | | | | | 1,050,000 | | | | | | 977,406 | | | | | | 893,130 | | | | | | 1.30% | | |
CIFC Funding 2018-1, Ltd.
|
| | CLO Secured Note – Class E (7.44% due 4/18/31) | | | | | 3,675,000 | | | | | | 3,482,444 | | | | | | 3,116,033 | | | | | | 4.52% | | |
CIFC Funding 2015-I, Ltd.
|
| | CLO Secured Note – Class E-RR (8.47% due 1/22/31) | | | | | 2,600,000 | | | | | | 2,552,729 | | | | | | 2,302,820 | | | | | | 3.34% | | |
CIFC Funding 2015-II, Ltd.
|
| | CLO Secured Note – Class E-R (7.74% due 4/15/27) | | | | | 2,800,000 | | | | | | 2,800,000 | | | | | | 2,563,400 | | | | | | 3.72% | | |
Carlyle US CLO 2018-1, Ltd.
|
| | CLO Secured Note – Class D (8.22% due 4/20/31) | | | | | 550,000 | | | | | | 548,193 | | | | | | 498,025 | | | | | | 0.72% | | |
Carlyle US CLO 2018-2, Ltd.
|
| | CLO Secured Note – Class D (7.39% due 10/15/31) | | | | | 3,750,000 | | | | | | 3,627,795 | | | | | | 3,309,000 | | | | | | 4.80% | | |
CIFC Funding 2018-II, Ltd.
|
| | CLO Secured Note – Class D (8.32% due 4/20/31) | | | | | 650,000 | | | | | | 645,876 | | | | | | 583,440 | | | | | | 0.85% | | |
Cook Park CLO, Ltd.
|
| | CLO Secured Note – Class E (7.85% due 4/17/30) | | | | | 1,000,000 | | | | | | 981,128 | | | | | | 884,600 | | | | | | 1.28% | | |
Dryden 37 Senior Loan Fund, Ltd.
|
| | CLO Secured Note – Class E-R (7.59% due 1/15/31) | | | | | 500,000 | | | | | | 480,227 | | | | | | 427,200 | | | | | | 0.62% | | |
Dryden 64 CLO, Ltd.
|
| | CLO Secured Note – Class E (8.04% due 4/18/31) | | | | | 1,300,000 | | | | | | 1,279,696 | | | | | | 1,147,770 | | | | | | 1.67% | | |
LCM XVIII, L.P.
|
| | CLO Secured Note – Class E-R (8.42% due 4/20/31) | | | | | 600,000 | | | | | | 598,087 | | | | | | 538,440 | | | | | | 0.78% | | |
Madison Park Funding XXVII, Ltd.
|
| | CLO Secured Note – Class D (7.47% due 4/20/30) | | | | | 500,000 | | | | | | 478,136 | | | | | | 433,300 | | | | | | 0.63% | | |
Marathon CLO IX, Ltd.
|
| | CLO Secured Note – Class D (8.49% due 4/15/29) | | | | | 4,050,000 | | | | | | 3,988,330 | | | | | | 3,758,400 | | | | | | 5.45% | | |
OZLM XXI, Ltd.
|
| | CLO Secured Note – Class D (8.01% due 1/20/31) | | | | | 4,150,000 | | | | | | 4,039,375 | | | | | | 3,637,475 | | | | | | 5.28% | | |
Octagon Investment Partners 37, Ltd.
|
| | CLO Secured Note – Class D (7.76% due 7/25/30) | | | | | 1,200,000 | | | | | | 1,172,744 | | | | | | 1,059,600 | | | | | | 1.54% | | |
Octagon Investment Partners 38, Ltd.
|
| | CLO Secured Note – Class D (7.89% due 7/20/30) | | | | | 3,300,000 | | | | | | 3,225,641 | | | | | | 2,972,640 | | | | | | 4.31% | | |
Octagon Investment Partners 39, Ltd.
|
| | CLO Secured Note – Class E (8.21% due 10/20/30) | | | | | 950,000 | | | | | | 941,515 | | | | | | 856,900 | | | | | | 1.24% | | |
Rockford Tower CLO 2017-3, Ltd.
|
| | CLO Secured Note – Class E (8.22% due 10/20/30) | | | | | 3,750,000 | | | | | | 3,715,884 | | | | | | 3,355,500 | | | | | | 4.87% | | |
Rockford Tower CLO 2018-2, Ltd.
|
| | CLO Secured Note – Class E (8.43% due 10/20/31) | | | | | 3,750,000 | | | | | | 3,737,291 | | | | | | 3,408,000 | | | | | | 4.94% | | |
Venture XV CLO, Limited
|
| | CLO Secured Note – Class E-R (9.55% due 7/15/28) | | | | | 3,800,000 | | | | | | 3,801,370 | | | | | | 3,551,480 | | | | | | 5.15% | | |
Venture 31 CLO, Limited
|
| | CLO Secured Note – Class E (7.78% due 4/20/31) | | | | | 1,100,000 | | | | | | 1,036,570 | | | | | | 953,480 | | | | | | 1.38% | | |
Vibrant CLO VI, Ltd.
|
| | CLO Secured Note – Class E (8.54% due 6/20/29) | | | | | 4,100,000 | | | | | | 4,023,173 | | | | | | 3,711,730 | | | | | | 5.39% | | |
Vibrant CLO VIII, Ltd.
|
| | CLO Secured Note – Class D (8.22% due 1/20/31) | | | | | 1,750,000 | | | | | | 1,692,288 | | | | | | 1,535,275 | | | | | | 2.23% | | |
Total investments, at fair value as of December 31, 2018
|
| | | | | | | | | $ | 75,119,687 | | | | | $ | 68,689,283 | | | | | | 99.65% | | | |||
Net assets above (below) fair value of investments and liabilities at fair value
|
| | | | | | | | | | | | | | | | 234,079 | | | | | | | | | |||
Net assets as of December 31, 2018
|
| | | | | | | | | | | | | | | $ | 68,923,362 | | | | | | | | | |||
|
| | |
For the period from
October 4, 2018 (commencement of operations) to October 15, 2018 |
| |
For the period from
October 16, 2018 to December 31, 2018 |
| ||||||
INVESTMENT INCOME | | | | | | | | | | | | | |
Interest income
|
| | | $ | 202,116 | | | | | $ | 1,316,466 | | |
Total Investment Income
|
| | | | 202,116 | | | | | | 1,316,466 | | |
EXPENSES | | | | | | | | | | | | | |
Organizational and offering expenses
|
| | | | — | | | | | | 450,364 | | |
Management fee
|
| | | | — | | | | | | 190,682 | | |
Professional fees
|
| | | | — | | | | | | 147,500 | | |
Directors’ fees
|
| | | | — | | | | | | 63,750 | | |
Administration fees
|
| | | | — | | | | | | 57,017 | | |
Tax expense
|
| | | | — | | | | | | 18,986 | | |
Other expenses
|
| | | | — | | | | | | 24,279 | | |
Total Expenses
|
| | | | — | | | | | | 952,578 | | |
Expenses reimbursed by the Adviser (Note 4)
|
| | | | — | | | | | | (761,896) | | |
Management fee voluntarily waived by the Adviser (Note 4)
|
| | | | — | | | | | | (190,682) | | |
Net Expenses
|
| | | | — | | | | | | — | | |
NET INVESTMENT INCOME
|
| | | | 202,116 | | | | | | 1,316,466 | | |
UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 38,145 | | | | | | (6,468,549) | | |
NET UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
| | | | 38,145 | | | | | | (6,468,549) | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
| | | $ | 240,261 | | | | | $ | (5,152,083) | | |
|
Members’ equity at beginning of period
|
| | | $ | — | | |
|
Contributed securities, at fair value
|
| | | | 73,679,953 | | |
|
Contributed interest receivable
|
| | | | 1,371,697 | | |
|
Contributed cash
|
| | | | 100,000 | | |
|
Net investment income
|
| | | | 202,116 | | |
|
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 38,145 | | |
|
Members’ equity at end of period
|
| | | $ | 75,391,911 | | |
|
Units issued and outstanding as October 15, 2018 (prior to conversion)(1)
|
| | | | 75,152 | | |
|
Net asset value per unit
|
| | | $ | 1,003.20 | | |
| Net increase (decrease) in net assets resulting from operations: | | | | | | | |
|
Net investment income
|
| | | $ | 1,316,466 | | |
|
Net change in unrealized appreciation (depreciation) on investments
|
| | | | (6,468,549) | | |
|
Total net increase (decrease) in net assets resulting from operations
|
| | | | (5,152,083) | | |
|
Common stock distributions declared and payable to stockholders
|
| | | | (1,316,466) | | |
| Capital share transactions: | | | | | | | |
|
Issuance of shares of common stock upon conversion (inclusive of $38,145 unrealized appreciation from contributed securities)
|
| | | | 75,391,911 | | |
|
Total capital share transactions
|
| | | | 75,391,911 | | |
|
Total increase (decrease) in net assets
|
| | | | 68,923,362 | | |
|
Net assets at beginning of period
|
| | | | — | | |
|
Net assets at end of period
|
| | | $ | 68,923,362 | | |
| Capital share activity: | | | | | | | |
|
Shares of common stock issued upon conversion
|
| | | | 3,769,596 | | |
|
Total increase (decrease) in capital share activity
|
| | | | 3,769,596 | | |
| | |
For the period from
October 4, 2018 (commencement of operations) to October 15, 2018 |
| |
For the period from
October 16, 2018 to December 31, 2018 |
| ||||||
CASH FLOWS FROM OPERATING ACTIVITIES | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 240,261 | | | | | $ | (5,152,083) | | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
|
| | | | | | | | | | | | |
Purchases of investments
|
| | | | — | | | | | | (3,117,700) | | |
Proceeds from sales of investments and repayments of principal
|
| | | | — | | | | | | 1,700,000 | | |
Net change in unrealized (appreciation) depreciation on investments
|
| | | | (38,145) | | | | | | 6,468,549 | | |
Net amortization (accretion) of premiums or discounts on CLO debt securities
|
| | | | — | | | | | | (22,034) | | |
Changes in assets and liabilities:
|
| | | | | | | | | | | | |
Interest receivable
|
| | | | 199,503 | | | | | | (289,850) | | |
Net cash provided by (used in) operating activities
|
| | | | 401,619 | | | | | | (413,118) | | |
CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | | | | | | |
Cash contributions
|
| | | | 100,000 | | | | | | — | | |
Net cash provided by (used in) financing activities
|
| | | | 100,000 | | | | | | — | | |
NET INCREASE (DECREASE) IN CASH
|
| | | | 501,619 | | | | | | (413,118) | | |
CASH, BEGINNING OF PERIOD
|
| | | | — | | | | | | 501,619 | | |
CASH, END OF PERIOD
|
| | | $ | 501,619 | | | | | $ | 88,501 | | |
Supplemental disclosure of non-cash financing activities:
|
| | | | | | | | | | | | |
Contribution in kind, investments at fair value and interest receivable
|
| | | $ | 75,051,650 | | | | | $ | — | | |
Issuance of common stock upon conversion
|
| | | $ | — | | | | | $ | 75,391,911 | | |
Dividends declared, but not yet paid
|
| | | $ | — | | | | | $ | 1,316,466 | | |
| | |
For the
tax year ended December 31, 2018 |
| |||
Undistributed ordinary income
|
| | | $ | — | | |
Capital loss carryforward
|
| | | | — | | |
Unrealized depreciation
|
| | | | (6,446,515) | | |
| | |
Level I
|
| |
Level II
|
| |
Level III
|
| |
Total
|
| ||||||||||||
Assets | | | | | | ||||||||||||||||||||
CLO Debt
|
| | | $ | — | | | | | $ | 68,689,283 | | | | | $ | — | | | | | $ | 68,689,283 | | |
Total Investments, at Fair Value
|
| | | $ | — | | | | | $ | 68,689,283 | | | | | $ | — | | | | | $ | 68,689,283 | | |
Per Unit Data
|
| |
For the period from
October 4, 2018 (Commencement of Operations) to October 15, 2018 |
| |||
Net asset value at beginning of period
|
| | | $ | 1,000.00 | | |
Net investment income
|
| | | | 2.69 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 0.51 | | |
Net income (loss) and net increase (decrease) in net assets resulting from operations
|
| | | | 3.20 | | |
Net asset value at end of period
|
| | | $ | 1,003.20 | | |
Total return(1)
|
| | | | 0.32% | | |
Ratios and Supplemental Data: | | | | | | | |
Net asset value at end of period
|
| | | $ | 75,391,911 | | |
Ratio of net investment income to average net assets(1)
|
| | | | 0.27% | | |
Ratio of expenses to average net assets(2)
|
| | | | 0.00% | | |
Portfolio turnover rate(3)
|
| | | | 0.00% | | |
Per Share Data
|
| |
For the period from
October 16, 2018 to December 31, 2018 |
| |||
Net asset value, beginning of period
|
| | | $ | 20.00 | | |
Net investment income, before management fee waiver and expenses reimbursed by the
Adviser |
| | | | 0.10 | | |
Expenses reimbursed by the Adviser (Note 4)
|
| | | | 0.20 | | |
Management fee voluntarily waived by the Adviser (Note 4)
|
| | | | 0.05 | | |
Net investment income
|
| | | | 0.35 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | (1.72) | | |
Net income (loss) and net increase (decrease) in net assets resulting from operations
|
| | | | (1.37) | | |
Common stock distributions from net investment income
|
| | | | (0.35) | | |
Common stock distributions from net realized gains on investments
|
| | | | — | | |
Common stock distributions from tax return of capital
|
| | | | — | | |
Total common stock distributions declared to stockholders
|
| | | | (0.35) | | |
Net asset value at end of period
|
| | | $ | 18.28 | | |
Total return(1)
|
| | | | (6.85)% | | |
Shares of common stock outstanding at end of period
|
| | | | 3,769,596 | | |
Ratios and Supplemental Data: | | | | | | | |
Net asset value at end of period
|
| | | $ | 68,923,362 | | |
Ratio of net investment income to average net assets(2)
|
| | | | 8.54% | | |
Ratio of expenses, before management fee waiver and expenses reimbursed by the Adviser, to average net assets(2)
|
| | | | 3.12% | | |
Ratio of expenses, after management fee waiver and expenses reimbursed by the Adviser, to average net assets(2)(3)
|
| | | | 0.00% | | |
Portfolio turnover rate(4)
|
| | | | 2.35% | | |
|
|
| |
KPMG LLP
345 Park Avenue New York, NY 10154-0102 |
|
|
KPMG LLP is a Delaware limited liability partnership and the U.S. member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity.
|
|
| AAA: | | |
An obligation rated ‘AAA’ has the highest rating assigned by S&P. The obligor’s capacity to meet its financial commitment on the obligation is extremely strong.
|
|
| AA: | | |
An obligation rated ‘AA’ differs from the highest-rated obligations only to a small degree. The obligor’s capacity to meet its financial commitment on the obligation is very strong.
|
|
| A: | | |
An obligation rated ‘A’ is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than obligations in higher-rated categories. However, the obligor’s capacity to meet its financial commitment on the obligation is still strong.
|
|
| BBB: | | |
An obligation rated ‘BBB’ exhibits adequate protection parameters. However, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity of the obligor to meet its financial commitment on the obligation.
|
|
| BB, B, CCC, CC, and C: |
| |
Obligations rated ‘BB’, ‘B’, ‘CCC’, ‘CC’, and ‘C’ are regarded as having significant speculative characteristics. ‘BB’ indicates the least degree of speculation and ‘C’ the highest. While such obligations will likely have some quality and protective characteristics, these may be outweighed by large uncertainties or major exposures to adverse conditions.
|
|
| BB: | | |
An obligation rated ‘BB’ is less vulnerable to nonpayment than other speculative issues. However, it faces major ongoing uncertainties or exposure to adverse business, financial, or economic conditions which could lead to the obligor’s inadequate capacity to meet its financial commitment on the obligation.
|
|
| B: | | |
An obligation rated ‘B’ is more vulnerable to nonpayment than obligations rated ‘BB’, but the obligor currently has the capacity to meet its financial commitment on the obligation. Adverse business, financial, or economic conditions will likely impair the obligor’s capacity or willingness to meet its financial commitment on the obligation.
|
|
| CCC: | | |
An obligation rated ‘CCC’ is currently vulnerable to nonpayment, and is dependent upon favorable business, financial, and economic conditions for the obligor to meet its financial commitment on the obligation. In the event of adverse business, financial, or economic conditions, the obligor is not likely to have the capacity to meet its financial commitment on the obligation.
|
|
| CC: | | | An obligation rated ‘CC’ is currently highly vulnerable to nonpayment. | |
| C: | | |
A ‘C’ rating is assigned to obligations that are currently highly vulnerable to nonpayment, obligations that have payment arrearages allowed by the terms of the documents, or obligations of an issuer that is the subject of a bankruptcy petition or similar action which have not experienced a payment default. Among others, the ‘C’ rating may be assigned to subordinated debt, preferred stock or other obligations on which cash payments have been suspended in accordance with the instrument’s terms or when preferred stock is the subject of a distressed exchange offer, whereby some or all of the issue is either repurchased for an amount of cash or replaced by other instruments having a total value that is less than par.
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| D: | | |
An obligation rated ‘D’ is in payment default. The ‘D’ rating category is used when payments on an obligation, including a regulatory capital instrument, are not made on the date due even if the applicable grace period has not expired, unless Standard & Poor’s believes that such payments will be made during such grace period. The ‘D’ rating also will be used upon the filing of a bankruptcy petition or the taking of similar action if payments on an obligation are jeopardized. An obligation’s rating is lowered to ‘D’ upon completion of a distressed exchange offer, whereby some or all of the issue is either repurchased for an amount of cash or replaced by other instruments having a total value that is less than par.
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| Plus (+) or minus (-): |
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The ratings from ‘AA’ to ‘CCC’ may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the major rating categories.
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| N.R.: | | |
This indicates that no rating has been requested, that there is insufficient information on which to base a rating, or that Standard & Poor’s does not rate a particular obligation as a matter of policy.
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