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Company(1) | Investment | # of Shares/Par Amount(2) | Fair Value(3) |
Term Loans – 6.6% | |||
Banking – 6.6% | |||
Equity Bancshares Inc. | Subordinated Term Loan, 7.00%, 6/30/2030(4) | $5,000,000 | $ 4,675,000 |
F.N.B.C. of La Grange, Inc. | Subordinated Term Loan, 6.38%, 1/01/2030(5) | $700,000 | 567,000 |
TransPecos Financial Corp. | Senior Term Loan, 9.00%, 10/01/2028(4) | $4,000,000 | 3,400,000 |
Tulsa Valley Bancshares | Subordinated Term Loan, 6.38%, 12/31/2028(5) | $1,700,000 | 1,270,750 |
Total Term Loans (Cost $11,400,000) | 9,912,750 | ||
Structured Debt Security – 7.3% | |||
Banking – 7.3% | |||
Community Funding 2018, LLC. | Preferred Shares (Estimated effective yield 9.34%), 144A(6)(7) | $14,860,000 | 11,084,074 |
Total Structured Debt Securities (Cost $14,698,872) | 11,084,074 | ||
Regulatory Capital Relief Securities – 116.2% | |||
Banking – 116.2% | |||
Absolute | Credit Linked Note, 17.82%, 10/10/2027(8)** | $3,460,178 | 3,477,998 |
Algonquin | Credit Linked Note, 14.86%, 11/20/2025(9)+ | $3,000,000 | 2,833,712 |
Algonquin | Credit Linked Note, 15.61%, 11/01/2028(9)+ | $2,000,000 | 1,982,942 |
Algonquin | Guarantee Linked Note, 13.86%, 05/01/2027(9)+ | $5,000,000 | 4,782,953 |
AMF Ireland Finance - Series 1 | Profit Participating Note, 18.85%, 06/30/2031(4)(9) | $7,000,000 | 7,086,100 |
AMF Ireland Finance - Series 2 | Profit Participating Note, 12.57%, 7/31/2029(4)(8) | $4,281,400 | 4,286,109 |
AMF Ireland Finance 2 - Series 1 | Profit Participating Note, 14.60%, 11/21/2033(4)(9) | $10,000,000 | 10,000,000 |
Auto ABS Synthetic French Loans | Credit Linked Note, 16.34%, 12/15/2030(10)** | €2,671,275 | 2,906,978 |
Boa Vista | Credit Linked Note, 12.93%, 09/07/2026(11)** | €2,000,000 | 2,158,779 |
Castelo | Credit Linked Note, 12.92%, 05/05/2025(11)** | €1,831,223 | 1,944,598 |
Cedar | Credit Linked Note, 14.40%, 12/15/2027(11)** | €2,557,107 | 2,767,563 |
Cedar | Credit Linked Note, 14.90%, 03/30/2030(4)(11)** | €4,300,000 | 4,690,548 |
CHAKRA | Credit Linked Note, 14.77%, 06/26/2027(9)+ | $4,000,000 | 3,995,600 |
Colonnade | Credit Linked Note, 17.50%, 04/30/2028(4)(9) | $5,812,740 | 5,769,726 |
Colonnade | Credit Linked Note, 17.22%, 11/30/2029(4)(9) | $7,126,786 | 6,925,098 |
Colonnade | Credit Linked Note, 18.02%, 12/15/2029(4)(9) | $4,979,789 | 5,019,130 |
Colonnade | Credit Linked Note, 17.36%, 04/30/2030(4)(9) | $9,453,600 | 9,246,566 |
CRAFT | Credit Linked Note, 17.11%, 12/15/2027(9) | $5,000,000 | 5,177,250 |
CRAFT | Credit Linked Note, 15.58%, 04/30/2028(12) | $1,602,758 | 1,797,493 |
CRAFT | Credit Linked Note, 14.08%, 02/21/2031(12) | $3,200,000 | 3,198,000 |
Elvetia | Credit Linked Note, 9.70%, 10/20/2029(13)+ | CHF2,000,000 | 2,195,931 |
Elvetia | Credit Linked Note, 10.95%, 10/20/2030(13)+ | CHF2,933,972 | 3,126,566 |
Elvetia | Credit Linked Note, 11.20%, 1/20/2031(4)(13)+ | CHF2,550,000 | 2,871,631 |
FCT Colisee | Credit Linked Note, 14.42%, 01/09/2024(14)+ | €1,417,396 | 1,540,856 |
Company(1) | Investment | # of Shares/Par Amount(2) | Fair Value(3) |
Regulatory Capital Relief Securities (continued) | |||
Banking (continued) | |||
FCT Colisee | Credit Linked Note, 11.93%, 07/07/2034(11)+ | €1,958,499 | $ 2,118,949 |
FCT Opale | Credit Linked Note, 12.52%, 05/05/2030(9)+ | $4,000,000 | 3,999,000 |
Future Ready Chakra | Credit Linked Note, 13.35%, 12/15/2030(9)+ | $5,000,000 | 4,697,750 |
LOFT | Credit Linked Note, 12.86%, 02/28/2030(4)(9) | $2,870,000 | 2,991,975 |
LOFT | Credit Linked Note, 24.36%, 02/28/2030(9) | $6,910,000 | 7,100,370 |
Mespil | Credit Linked Note, 15.36%, 12/08/2031(9)** | $4,301,911 | 4,195,224 |
Muskoka | Credit Linked Note, 15.61%, 11/01/2027(9)+ | $2,650,000 | 2,631,305 |
Nansa | Credit Linked Note, 13.34%, 03/01/2026(11)** | €7,001,194 | 7,502,254 |
Nightingale LF | Credit Linked Note, 15.94%, 04/01/2028(4)(15)** | £2,000,000 | 2,506,882 |
Premium Green PLC | 5 Year Secured Amortizing Floating Rate Note, 16.42%, 12/20/2024(9)+ | $851,202 | 854,054 |
Premium Green PLC | 5 Year Secured Amortizing Floating Rate Note, 13.50%, 06/29/2026(14)** | €1,642,266 | 1,745,714 |
Premium Green PLC | 5 Year Secured Amortizing Floating Rate Note, 13.40%, 11/10/2026(14)+ | €1,832,564 | 1,865,950 |
Pymes Magdalena | Credit Linked Note, 11.92%, 03/20/2024(11)** | €1,966,262 | 2,063,496 |
Resonance | Credit Linked Note, 11.93%, 10/05/2028(11)** | €1,642,844 | 1,751,335 |
Salisbury | Credit Linked Note, 15.69%, 06/16/2027(15)+ | £5,109,289 | 6,218,778 |
Salisbury | Credit Linked Note, 14.94%, 03/20/2028(15)+ | £642,816 | 798,612 |
Salisbury | Credit Linked Note, 15.19%, 04/17/2028(15)+ | £3,934,530 | 5,000,555 |
Salisbury | Credit Linked Note, 17.29%, 04/17/2028(15)+ | £1,941,667 | 2,417,181 |
Start | Credit Linked Note, 15.35%, 06/16/2025(9)+ | $3,455,430 | 3,001,905 |
Terra | Credit Linked Note, 13.25%, 09/25/2029(9)** | $10,000,000 | 9,791,000 |
Waterloo | Credit Linked Note, 15.11%, 03/21/2026(4)(9)** | $2,700,000 | 2,700,000 |
Total Regulatory Capital Relief Securities (Cost $178,667,956) | 175,734,416 | ||
Trust Preferred and Preferred Securities – 1.2% | |||
Banking – 1.2% | |||
Fidelity Federal Bancorp | Fixed Rate Cumulative Perpetual Preferred Stock, Series A - 9%(4) | $2,789,000 | 1,673,400 |
Fidelity Federal Bancorp | Fixed Rate Cumulative Perpetual Preferred Stock, Series B - 9%(4) | $200,000 | 120,000 |
Total Trust Preferred and Preferred Securities (Cost $3,004,203) | 1,793,400 | ||
Total Long-Term Investments (Cost $207,771,031) | 198,524,640 |
Company(1) | Investment | # of Shares/Par Amount(2) | Fair Value(3) |
Money Market Fund – 1.3% | |||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio | Institutional Share Class - Money Market Mutual Fund (MISXX) 5.16% | 1,896,226 | $ 1,896,226 |
Total Money Market Fund (Cost $1,896,226) | 1,896,226 | ||
Total Investments (Cost $209,667,257)(16)(17) — 132.6% | 200,420,866 | ||
Other assets and liabilities, net — (32.6)%(18) | (49,249,665) | ||
Total Net Assets — 100.0% | $151,171,201 |
(1) | Except with respect to Community Funding 2018, LLC ("CF 2018"), we do not "control" and are not an "affiliate" of any of our investments, as such terms are defined under the Investment Company Act of 1940 (the "1940 Act"). We may be deemed to control and be an affiliate of CF 2018 because we are the sole member of such entity. |
(2) | Par Value in USD, GBP, EUR or CHF. |
(3) | Fair Value is determined in good faith in accordance with the Company’s valuation policy and is reviewed and accepted by the Company’s Board of Directors. |
(4) | Investments determined using significant unobservable inputs (Level 3). The value of such securities is $ 73,962,165 or 48.93% of net assets. |
(5) | The estimated effective yield including structuring fees paid annually through maturity of 2030 and 2028, respectively, is 9.60%. |
(6) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. |
(7) | The preferred shares are considered an equity position. Equity investments are entitled to recurring distributions which are generally equal to the remaining cash flow of the payments made by the underlying company’s securities less contractual payments to debt holders and company expenses. The estimated effective yield indicated is based upon a current projection of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon termination. Such projections are periodically reviewed and adjusted as needed. The estimated effective yield may ultimately not be realized. |
(8) | Floating rate note: 30 Day Average SOFR + minimum of 7.25% |
(9) | Floating rate note: 90 Day Average SOFR + minimum of 7.16% |
(10) | Floating rate note: 1M EURIBOR + minimum of 12.50% |
(11) | Floating rate note: 3M EURIBOR (Floored at 0%) + minimum of 8.00% |
(12) | Floating rate note: 3M SOFR + minimum of 8.76% |
(13) | Floating rate note: 3M CHF LIBOR + minimum of 8.00% |
(14) | Floating rate note: 3M EURIBOR + minimum of 9.50% |
(15) | Floating rate note: SONIA + minimum of 9.75% |
(16) | As of March 31, 2024, the tax cost basis of investment securities was $209,667,257. The gross unrealized appreciation over tax cost was $1,433,238 and gross unrealized depreciation under tax cost was $10,679,629. Net unrealized depreciation of tax cost under value was $9,246,391. |
(17) | Cost values reflect accretion of original issue discount or market discount, and amortization of premium. |
(18) | Includes $52,700,000 in bank loans from Texas Capital Bank. |
** | Held in Marshall Holdings Limited II. |
+ | Held in Marshall Holdings Limited III. |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 8,522,217 | CHF | 7,670,422 | 04/30/24 | NWG | $(13,276) |
USD | 35,167,999 | EUR | 32,428,444 | 04/30/24 | NWG | 137,673 |
USD | 17,638,797 | GBP | 13,968,890 | 04/30/24 | NWG | 4,868 |
GBP | 31,041 | USD | 39,218 | 04/30/24 | NWG | (32) |
EUR | 96,286 | USD | 104,325 | 04/30/24 | NWG | (315) |
$128,918 |
ABS | Asset-Backed Security |
EUR | Euro |
NWG | NatWest |
PLC | Public Limited Company |
USD | United States Dollar |
Affiliated Investments | |||||||
Investments in and advances to Affiliates (as per 210.12-14) for Period Ended 03/31/2024 | Shares/Principal Amount* | Net Realized Gain/Loss for Period | Net Increase (Decrease) in Unrealized Appreciation | Interest Received | 03/31/2024 Value | ||
Security Name | |||||||
Community Funding 2018, LLC., Preferred shares, 9.34%* | $14,860,000 | $– | $117,202 | $313,274 | $11,084,074 | ||
*The balance at the beginning of the period was $14,860,000. During the period the Fund made no additions or sales of the position and received no paydowns. |
Bank Name | Principal Amount | State |
Big Poppy Holdings, Inc. | $ 9,000,000 | California |
Delmar Bancorp | 4,500,000 | Maryland |
Fidelity Federal Bancorp | 8,000,000 | Indiana |
First Bancshares, Inc. | 10,000,000 | Mississippi |
Halbur Bancshares | 3,000,000 | Iowa |
Vintage Bancorp | 1,650,000 | Kansas |
Total | $36,150,000 |
TOTAL FAIR VALUE AT 3-31-24 | LEVEL 1 QUOTED PRICE | LEVEL 2 SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | |||||
Assets | ||||||||
Term Loans | $9,912,750 | $— | $1,837,750 | $8,075,000 | ||||
Structured Debt Security | 11,084,074 | — | 11,084,074 | — | ||||
Regulatory Capital Relief Securities | 175,734,416 | — | 111,640,651 | 64,093,765 | ||||
Trust Preferred and Preferred Securities | 1,793,400 | — | — | 1,793,400 | ||||
Money Market Fund | 1,896,226 | 1,896,226 | — | — | ||||
Derivatives: | ||||||||
Foreign Currency Contracts | ||||||||
Forward Foreign Currency Contracts | 142,541 | — | 142,541 | — | ||||
Total Assets | $200,563,407 | $1,896,226 | $124,705,016 | $73,962,165 |
TOTAL FAIR VALUE AT 3-31-24 | LEVEL 1 QUOTED PRICE | LEVEL 2 SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | |||||
Liabilities | ||||||||
Derivatives: | ||||||||
Foreign Currency Contracts | ||||||||
Forward Foreign Currency Contracts | $(13,623) | $— | $(13,623) | $— | ||||
Total Liabilities | $(13,623) | $— | $(13,623) | $— |
TERM LOANS | REGULATORY CAPITAL RELIEF SECURITIES | TRUST PREFERRED AND PREFERRED SECURITIES | TOTAL | ||||
Balance at December 31, 2023 | $— | $83,962,068 | $— | $83,962,068 | |||
Realized loss including earnings | — | — | — | — | |||
Unrealized depreciation on investments | — | (941,697) | — | (941,697) | |||
Purchases | — | 10,000,000 | — | 10,000,000 | |||
Sales | — | — | — | — | |||
Transfers in | 8,075,000 | — | 1,793,400 | 9,868,400 | |||
Transfers out | — | (28,926,606) | — | (28,926,606) | |||
Balance at March 31, 2024 | $8,075,000 | $64,093,765 | $1,793,400 | $73,962,165 |
FAIR VALUE AT 3-31-24 | VALUATION TECHNIQUES | UNOBSERVABLE INPUTS | ASSUMPTIONS | IMPACT TO VALUATION FROM AN INCREASE TO INPUT | |
Term Loans | $8,075,000 | Broker Quote | — | — | — |
Regulatory Capital Relief Securities | 64,093,765 | Broker Quote | — | — | — |
Trust Preferred and Preferred Securities | 1,793,400 | Broker Quote | — | — | — |
$73,962,165 |