Eagle
Point Income Company Inc. and Subsidiaries
Consolidated
Schedule of Investments
As
of March 31, 2024
(expressed
in U.S. dollars)
(Unaudited)
| Issuer
⁽¹⁾ | |
Investment
Description ⁽²⁾ ⁽³⁾ | |
Acquisition
Date ⁽⁴⁾ | |
Principal
Amount | |
Cost | |
Fair
Value ⁽⁵⁾ | |
%
of Net Assets | |
| Investments,
at fair value | |
| |
| |
| | |
| | |
| | |
| |
| CLO
Debt ⁽⁶⁾ | |
| |
| |
| | |
| | |
| | |
| |
| Structured
Finance | |
| |
| |
| | |
| | |
| | |
| |
| AGL
CLO 12 Ltd. | |
Secured
Note - Class E, 11.73%, (3M SOFR + 6.41%, due 07/20/2034) | |
08/18/2023 | |
$ | 1,800,000 | |
$ | 1,725,638 | |
$ | 1,782,000 | |
0.91 | % |
| AMMC
CLO 24, Limited | |
Secured
Note - Class E, 12.15%, (3M SOFR + 6.83%, due 01/20/2035) | |
07/26/2023 | |
| 5,000,000 | |
| 4,669,961 | |
| 4,844,000 | |
2.47 | % |
| AMMC
CLO 25, Limited | |
Secured
Note - Class E, 12.90%, (3M SOFR + 7.59%, due 04/15/2035) | |
08/08/2023 | |
| 5,000,000 | |
| 4,735,950 | |
| 4,939,000 | |
2.52 | % |
| Ares
XXXIV CLO Ltd. | |
Secured
Note - Class E-R, 12.43%, (3M SOFR + 7.11%, due 04/17/2033) | |
08/08/2023 | |
| 1,517,600 | |
| 1,373,717 | |
| 1,491,042 | |
0.76 | % |
| Ares
XLV CLO Ltd. | |
Secured
Note - Class E, 11.68%, (3M SOFR + 6.36%, due 10/15/2030) | |
05/30/2019 | |
| 800,000 | |
| 790,483 | |
| 794,560 | |
0.41 | % |
| Ares
LII CLO Ltd. | |
Secured
Note - Class E-R, 12.03%, (3M SOFR + 6.71%, due 04/22/2031) | |
03/20/2024 | |
| 5,000,000 | |
| 4,980,000 | |
| 4,980,000 | |
2.54 | % |
| Ares
LIV CLO Ltd. | |
Secured
Note - Class E, 12.92%, (3M SOFR + 7.60%, due 10/15/2032) | |
03/20/2024 | |
| 1,425,000 | |
| 1,425,754 | |
| 1,425,713 | |
0.73 | % |
| Bain
Capital Credit CLO 2019-2, Limited | |
Secured
Note - Class E-R, 11.90%, (3M SOFR + 6.58%, due 10/17/2032) | |
03/19/2024 | |
| 3,000,000 | |
| 2,911,875 | |
| 2,911,800 | |
1.49 | % |
| Barings
CLO Ltd. 2018-IV | |
Secured
Note - Class E, 11.40%, (3M SOFR + 6.08%, due 10/15/2030) | |
10/26/2018 | |
| 840,000 | |
| 836,585 | |
| 811,944 | |
0.41 | % |
| Barings
CLO Ltd. 2019-II | |
Secured
Note - Class D-R, 12.36%, (3M SOFR + 7.04%, due 04/15/2036) | |
03/19/2024 | |
| 500,000 | |
| 490,523 | |
| 490,450 | |
0.25 | % |
| Battalion
CLO XII Ltd. | |
Secured
Note - Class E, 11.67%, (3M SOFR + 6.35%, due 05/17/2031) | |
10/04/2018 | |
| 5,060,000 | |
| 4,925,663 | |
| 4,679,994 | |
2.39 | % |
| Battalion
CLO XXI Ltd. | |
Secured
Note - Class E, 12.04%, (3M SOFR + 6.72%, due 07/15/2034) | |
06/08/2022 | |
| 5,000,000 | |
| 4,685,661 | |
| 4,589,500 | |
2.34 | % |
| Black
Diamond CLO 2016-1, Ltd. | |
Secured
Note - Class D-R, 11.19%, (3M SOFR + 5.86%, due 04/26/2031) | |
10/04/2018 | |
| 1,050,000 | |
| 1,004,173 | |
| 978,285 | |
0.50 | % |
| Black
Diamond CLO 2017-1, Ltd. | |
Secured
Note - Class D, 12.18%, (3M SOFR + 6.86%, due 04/24/2029) | |
10/04/2018 | |
| 3,600,000 | |
| 3,594,036 | |
| 3,523,680 | |
1.80 | % |
| Carlyle
US CLO 2017-1, Ltd. | |
Secured
Note - Class D, 11.58%, (3M SOFR + 6.26%, due 04/20/2031) | |
09/15/2020 | |
| 2,000,000 | |
| 1,728,989 | |
| 1,913,000 | |
0.98 | % |
| Carlyle
US CLO 2018-2, Ltd. | |
Secured
Note - Class D, 10.83%, (3M SOFR + 5.51%, due 10/15/2031) | |
10/04/2018 | |
| 5,500,000 | |
| 5,341,961 | |
| 5,166,150 | |
2.64 | % |
| Carlyle
US CLO 2019-1, Ltd. | |
Secured
Note - Class D, 12.28%, (3M SOFR + 6.96%, due 04/20/2031) | |
08/19/2019 | |
| 3,475,000 | |
| 3,321,067 | |
| 3,347,468 | |
1.71 | % |
| Carlyle
US CLO 2021-1, Ltd. | |
Secured
Note - Class D, 11.58%, (3M SOFR + 6.26%, due 04/15/2034) | |
03/26/2024 | |
| 4,000,000 | |
| 3,965,060 | |
| 3,965,200 | |
2.02 | % |
| CIFC
Funding 2015-I, Ltd. | |
Secured
Note - Class E-RR, 11.58%, (3M SOFR + 6.26%, due 01/22/2031) | |
10/04/2018 | |
| 5,000,000 | |
| 4,777,183 | |
| 4,956,500 | |
2.53 | % |
| CIFC
Funding 2017-II, Ltd. | |
Secured
Note - Class E, 11.53%, (3M SOFR + 6.21%, due 04/20/2030) | |
01/11/2024 | |
| 3,750,000 | |
| 3,651,000 | |
| 3,703,875 | |
1.89 | % |
| CIFC
Funding 2018-II, Ltd. | |
Secured
Note - Class D, 11.43%, (3M SOFR + 6.11%, due 04/20/2031) | |
10/04/2018 | |
| 1,225,000 | |
| 1,197,477 | |
| 1,212,015 | |
0.62 | % |
| CIFC
Funding 2018-III, Ltd. | |
Secured
Note - Class E, 11.06%, (3M SOFR + 5.76%, due 07/18/2031) | |
08/16/2023 | |
| 4,750,000 | |
| 4,418,098 | |
| 4,655,950 | |
2.38 | % |
| CIFC
Funding 2018-IV, Ltd. | |
Secured
Note - Class E, 13.28%, (3M SOFR + 7.96%, due 10/17/2031) | |
05/22/2019 | |
| 2,000,000 | |
| 1,888,147 | |
| 1,758,600 | |
0.90 | % |
| CIFC
Funding 2021-III, Ltd. | |
Secured
Note - Class E-1, 11.98%, (3M SOFR + 6.66%, due 07/15/2036) | |
08/18/2023 | |
| 3,750,000 | |
| 3,651,563 | |
| 3,715,125 | |
1.90 | % |
| Cook
Park CLO, Ltd. | |
Secured
Note - Class E, 10.98%, (3M SOFR + 5.66%, due 04/17/2030) | |
10/04/2018 | |
| 1,250,000 | |
| 1,205,031 | |
| 1,189,250 | |
0.61 | % |
| Dryden
37 Senior Loan Fund, Ltd. | |
Secured
Note - Class E-R, 10.73%, (3M SOFR + 5.41%, due 01/15/2031) | |
10/04/2018 | |
| 500,000 | |
| 486,884 | |
| 451,950 | |
0.23 | % |
| Eaton
Vance CLO 2018-1, Ltd. | |
Secured
Note - Class E, 11.58%, (3M SOFR + 6.26%, due 10/15/2030) | |
07/26/2023 | |
| 750,000 | |
| 664,564 | |
| 707,550 | |
0.36 | % |
| First
Eagle BSL CLO 2019-1 Ltd. | |
Secured
Note - Class D, 13.28%, (3M SOFR + 7.96%, due 01/20/2033) | |
12/17/2019 | |
| 5,000,000 | |
| 4,822,745 | |
| 4,689,500 | |
2.39 | % |
| Gilbert
Park CLO, Ltd. | |
Secured
Note - Class E, 11.98%, (3M SOFR + 6.66%, due 10/15/2030) | |
12/19/2023 | |
| 5,327,000 | |
| 5,117,437 | |
| 5,319,010 | |
2.72 | % |
| Harbor
Park CLO, Ltd. | |
Secured
Note - Class E, 11.18%, (3M SOFR + 5.86%, due 01/20/2031) | |
08/08/2023 | |
| 4,250,000 | |
| 4,100,238 | |
| 4,227,050 | |
2.16 | % |
| Invesco
CLO 2022-1, Ltd. | |
Secured
Note - Class E, 11.62%, (3M SOFR + 6.30%, due 04/20/2035) | |
03/19/2024 | |
| 1,500,000 | |
| 1,440,000 | |
| 1,440,000 | |
0.74 | % |
| KKR
CLO 14 Ltd. | |
Secured
Note - Class E-R, 11.73%, (3M SOFR + 6.41%, due 07/15/2031) | |
12/20/2023 | |
| 2,700,000 | |
| 2,579,739 | |
| 2,671,380 | |
1.36 | % |
| KKR
CLO 22 Ltd. | |
Secured
Note - Class E, 11.58%, (3M SOFR + 6.26%, due 07/20/2031) | |
10/27/2021 | |
| 5,075,000 | |
| 4,900,245 | |
| 5,038,968 | |
2.57 | % |
| KKR
CLO 26 Ltd. | |
Secured
Note - Class E-R, 12.73%, (3M SOFR + 7.41%, due 10/15/2034) | |
08/08/2023 | |
| 2,650,000 | |
| 2,575,896 | |
| 2,600,180 | |
1.33 | % |
| KKR
CLO 29 Ltd. | |
Secured
Note - Class F, NM, (3M SOFR + 9.26%, due 01/15/2032) | |
12/14/2021 | |
| 589,812 | |
| - | |
| - | |
0.00 | % |
| LCM
XVIII, L.P. | |
Secured
Note - Class E-R, 11.53%, (3M SOFR + 6.21%, due 04/20/2031) | |
10/04/2018 | |
| 600,000 | |
| 598,757 | |
| 486,480 | |
0.25 | % |
| Madison
Park Funding XX, Ltd. | |
Secured
Note - Class E-R, 10.88%, (3M SOFR + 5.56%, due 07/27/2030) | |
10/20/2023 | |
| 1,250,000 | |
| 1,126,245 | |
| 1,200,750 | |
0.61 | % |
| Madison
Park Funding XXVII, Ltd. | |
Secured
Note - Class D, 10.58%, (3M SOFR + 5.26%, due 04/20/2030) | |
10/04/2018 | |
| 3,050,000 | |
| 2,888,429 | |
| 2,971,005 | |
1.52 | % |
| Madison
Park Funding XLII, Ltd. | |
Secured
Note - Class E, 11.63%, (3M SOFR + 6.31%, due 11/21/2030) | |
08/15/2019 | |
| 3,375,000 | |
| 3,258,372 | |
| 3,332,475 | |
1.70 | % |
| Madison
Park Funding LI, Ltd. | |
Secured
Note - Class E, 11.84%, (3M SOFR + 6.53%, due 07/19/2034) | |
10/28/2021 | |
| 4,250,000 | |
| 4,235,624 | |
| 4,255,950 | |
2.17 | % |
| Marathon
CLO XIII, Ltd. | |
Secured
Note - Class D, 12.56%, (3M SOFR + 7.24%, due 04/15/2032) | |
06/04/2019 | |
| 3,500,000 | |
| 3,371,344 | |
| 3,231,200 | |
1.65 | % |
| Neuberger
Berman Loan Advisers CLO 33, Ltd. | |
Secured
Note - Class E-R, 11.83%, (3M SOFR + 6.51%, due 10/16/2033) | |
07/24/2023 | |
| 5,000,000 | |
| 4,690,398 | |
| 4,928,000 | |
2.52 | % |
| OCP
CLO 2017-13, Ltd. | |
Secured
Note - Class D-R, 12.08%, (3M SOFR + 6.76%, due 07/15/2030) | |
03/19/2024 | |
| 2,000,000 | |
| 1,987,500 | |
| 1,987,600 | |
1.01 | % |
| Octagon
Investment Partners 37, Ltd. | |
Secured
Note - Class D, 10.99%, (3M SOFR + 5.66%, due 07/25/2030) | |
10/04/2018 | |
| 2,575,000 | |
| 2,413,126 | |
| 2,372,348 | |
1.21 | % |
| Octagon
Investment Partners 38, Ltd. | |
Secured
Note - Class D, 11.28%, (3M SOFR + 5.96%, due 07/20/2030) | |
10/04/2018 | |
| 3,725,000 | |
| 3,664,873 | |
| 3,513,793 | |
1.79 | % |
| Octagon
Investment Partners 39, Ltd. | |
Secured
Note - Class E, 11.33%, (3M SOFR + 6.01%, due 10/20/2030) | |
10/24/2018 | |
| 1,550,000 | |
| 1,506,153 | |
| 1,488,000 | |
0.76 | % |
| Octagon
Investment Partners 41, Ltd. | |
Secured
Note - Class E-R, 12.71%, (3M SOFR + 7.39%, due 10/15/2033) | |
09/24/2021 | |
| 5,000,000 | |
| 4,816,990 | |
| 4,877,000 | |
2.49 | % |
| OZLM
XXI, Ltd. | |
Secured
Note - Class D, 11.12%, (3M SOFR + 5.80%, due 01/20/2031) | |
10/04/2018 | |
| 4,150,000 | |
| 4,081,174 | |
| 3,902,660 | |
1.99 | % |
| Pikes
Peak CLO 1 | |
Secured
Note - Class E, 11.63%, (3M SOFR + 6.31%, due 07/24/2031) | |
10/28/2021 | |
| 3,500,000 | |
| 3,417,443 | |
| 3,370,850 | |
1.72 | % |
| Rockford
Tower CLO 2018-1, Ltd. | |
Secured
Note - Class E, 11.43%, (3M SOFR + 6.11%, due 05/20/2031) | |
09/30/2021 | |
| 2,250,000 | |
| 2,198,180 | |
| 2,120,400 | |
1.08 | % |
| Rockford
Tower CLO 2018-2, Ltd. | |
Secured
Note - Class E, 11.58%, (3M SOFR + 6.26%, due 10/20/2031) | |
10/04/2018 | |
| 5,000,000 | |
| 4,861,655 | |
| 4,708,500 | |
2.40 | % |
| Rockford
Tower CLO 2019-2, Ltd. | |
Secured
Note - Class E, 11.63%, (3M SOFR + 6.31%, due 08/20/2032) | |
01/13/2021 | |
| 3,000,000 | |
| 2,965,956 | |
| 2,795,100 | |
1.43 | % |
| Rockford
Tower CLO 2021-3, Ltd. | |
Secured
Note - Class E, 12.30%, (3M SOFR + 6.98%, due 10/20/2034) | |
10/17/2023 | |
| 4,975,000 | |
| 4,447,336 | |
| 4,558,095 | |
2.33 | % |
| RR
4 Ltd. | |
Secured
Note - Class D, 11.43%, (3M SOFR + 6.11%, due 04/15/2030) | |
10/28/2021 | |
| 5,000,000 | |
| 4,827,647 | |
| 4,952,000 | |
2.53 | % |
| RR
7 Ltd. | |
Secured
Note - Class D-1B, 11.82%, (3M SOFR + 6.50%, due 01/15/2037) | |
08/10/2023 | |
| 3,000,000 | |
| 2,911,250 | |
| 2,973,600 | |
1.52 | % |
| Sculptor
CLO XXIX, Ltd. | |
Secured
Note - Class E, 13.18%, (3M SOFR + 7.86%, due 10/22/2034) | |
03/26/2024 | |
| 3,800,000 | |
| 3,764,375 | |
| 3,764,280 | |
1.92 | % |
| Shackleton
2019-XIV CLO, Ltd. | |
Secured
Note - Class E-R, 12.90%, (3M SOFR + 7.58%, due 07/20/2034) | |
03/26/2024 | |
| 1,025,000 | |
| 1,023,365 | |
| 1,023,360 | |
0.52 | % |
| Southwick
Park CLO, Ltd. | |
Secured
Note - Class E-R, 11.83%, (3M SOFR + 6.51%, due 07/20/2032) | |
03/20/2024 | |
| 4,250,000 | |
| 4,250,000 | |
| 4,250,000 | |
2.17 | % |
| TCI-Symphony
CLO 2016-1 Ltd. | |
Secured
Note - Class E-R2, 12.33%, (3M SOFR + 7.01%, due 10/13/2032) | |
01/13/2022 | |
| 3,000,000 | |
| 3,000,000 | |
| 2,878,800 | |
1.47 | % |
| TICP
CLO VIII, Ltd. | |
Secured
Note - Class D-R, 12.28%, (3M SOFR + 6.96%, due 10/20/2034) | |
07/27/2023 | |
| 2,000,000 | |
| 1,917,994 | |
| 2,000,200 | |
1.02 | % |
| TICP
CLO IX, Ltd. | |
Secured
Note - Class E, 11.18%, (3M SOFR + 5.86%, due 01/20/2031) | |
08/22/2019 | |
| 1,375,000 | |
| 1,282,419 | |
| 1,373,900 | |
0.70 | % |
| TICP
CLO XI, Ltd. | |
Secured
Note - Class E, 11.58%, (3M SOFR + 6.26%, due 10/20/2031) | |
10/29/2021 | |
| 5,050,000 | |
| 5,021,309 | |
| 5,050,000 | |
2.58 | % |
| Venture
36 CLO, Limited | |
Secured
Note - Class E, 12.50%, (3M SOFR + 7.18%, due 04/20/2032) | |
01/21/2021 | |
| 5,607,455 | |
| 5,085,689 | |
| 4,166,339 | |
2.13 | % |
| Venture
43 CLO, Limited | |
Secured
Note - Class E, 12.73%, (3M SOFR + 7.41%, due 04/15/2034) | |
11/02/2021 | |
| 2,500,000 | |
| 2,445,132 | |
| 2,303,750 | |
1.18 | % |
| Vibrant
CLO VI, Ltd. | |
Secured
Note - Class E, 11.34%, (3M SOFR + 6.01%, due 06/20/2029) | |
10/04/2018 | |
| 4,350,000 | |
| 3,864,739 | |
| 4,222,980 | |
2.16 | % |
| Vibrant
CLO VIII, Ltd. | |
Secured
Note - Class D, 11.33%, (3M SOFR + 6.01%, due 01/20/2031) | |
10/04/2018 | |
| 1,750,000 | |
| 1,713,897 | |
| 1,581,650 | |
0.81 | % |
| Wellfleet
CLO 2018-1, Ltd. | |
Secured
Note - Class E, 11.08%, (3M SOFR + 5.76%, due 07/17/2031) | |
10/27/2021 | |
| 4,025,000 | |
| 3,893,900 | |
| 3,504,970 | |
1.79 | % |
| Wind
River 2014-1 CLO Ltd. | |
Secured
Note - Class E-R, 11.86%, (3M SOFR + 6.56%, due 07/18/2031) | |
08/16/2021 | |
| 2,550,000 | |
| 2,401,331 | |
| 1,897,200 | |
0.97 | % |
| Wind
River 2021-3 CLO Ltd. | |
Secured
Note - Class E, 12.18%, (3M SOFR + 6.86%, due 07/20/2033) | |
10/28/2021 | |
| 5,000,000 | |
| 4,796,840 | |
| 4,725,000 | |
2.41 | % |
| York
CLO-2 Ltd. | |
Secured
Note - Class E-R, 11.23%, (3M SOFR + 5.91%, due 01/22/2031) | |
05/16/2019 | |
| 2,855,000 | |
| 2,545,240 | |
| 2,851,574 | |
1.46 | % |
| | |
| |
| |
| | |
| 211,258,025 | |
| 210,590,498 | |
107.53 | % |
| CLO
Equity ⁽⁷⁾ ⁽⁸⁾ | |
| |
| |
| | |
| | |
| | |
| |
| Structured
Finance | |
| |
| |
| | |
| | |
| | |
| |
| Ares
XLIV CLO Ltd. | |
Subordinated
Note (effective yield 15.23%, maturity 04/15/2034) | |
06/08/2021 | |
| 10,505,000 | |
| 3,764,063 | |
| 3,152,237 | |
1.61 | % |
| Ares
LVIII CLO Ltd. | |
Subordinated
Note (effective yield 17.15%, maturity 01/15/2035) | |
06/17/2021 | |
| 4,000,000 | |
| 2,666,623 | |
| 2,465,048 | |
1.26 | % |
| Bain
Capital Credit CLO 2021-2, Limited | |
Subordinated
Note (effective yield 27.02%, maturity 07/16/2034) | |
08/09/2023 | |
| 3,250,000 | |
| 1,720,077 | |
| 1,733,360 | |
0.88 | % |
| Bain
Capital Credit CLO 2021-7, Limited | |
Subordinated
Note (effective yield 26.09%, maturity 01/22/2035) | |
09/05/2023 | |
| 5,750,000 | |
| 3,434,282 | |
| 3,521,982 | |
1.80 | % |
| Bardin
Hill CLO 2021-2 Ltd. | |
Subordinated
Note (effective yield 27.31%, maturity 10/25/2034) ⁽⁹⁾ | |
09/24/2021 | |
| 5,000,000 | |
| 3,312,389 | |
| 3,149,487 | |
1.61 | % |
| Barings
CLO Ltd. 2021-I | |
Subordinated
Note (effective yield 14.81%, maturity 04/25/2034) | |
11/03/2021 | |
| 4,000,000 | |
| 3,054,293 | |
| 2,482,763 | |
1.27 | % |
| Barings
CLO Ltd. 2021-III | |
Subordinated
Note (effective yield 11.57%, maturity 01/18/2035) | |
11/17/2021 | |
| 5,000,000 | |
| 3,671,657 | |
| 2,868,697 | |
1.46 | % |
| Boyce
Park CLO, Ltd. | |
Subordinated
Note (effective yield 22.15%, maturity 04/21/2035) | |
09/27/2023 | |
| 3,000,000 | |
| 2,133,581 | |
| 2,316,568 | |
1.18 | % |
| Boyce
Park CLO, Ltd. | |
Class
M-2 Notes (effective yield 22.15%, maturity 04/21/2035) | |
09/27/2023 | |
| 3,214,286 | |
| 65,303 | |
| 57,949 | |
0.03 | % |
| Carlyle
US CLO 2021-2, Ltd. | |
Subordinated
Note (effective yield 13.45%, maturity 04/20/2034) | |
10/28/2021 | |
| 3,000,000 | |
| 2,406,980 | |
| 2,010,178 | |
1.03 | % |
| Carlyle
US CLO 2021-5, Ltd. | |
Subordinated
Note (effective yield 13.82%, maturity 07/20/2034) | |
11/02/2021 | |
| 5,000,000 | |
| 3,919,662 | |
| 3,150,026 | |
1.61 | % |
| Carlyle
US CLO 2022-2, Ltd. | |
Subordinated
Note (effective yield 20.49%, maturity 04/20/2035) | |
08/15/2023 | |
| 5,004,700 | |
| 3,579,200 | |
| 3,521,286 | |
1.80 | % |
| CIFC
Funding 2022-IV, Ltd. | |
Subordinated
Note (effective yield 19.37%, maturity 07/16/2035) | |
10/23/2023 | |
| 1,100,000 | |
| 903,596 | |
| 923,515 | |
0.47 | % |
| CIFC
Funding 2019-VI, Ltd. | |
Subordinated
Note (effective yield 20.15%, maturity 01/16/2033) | |
12/02/2019 | |
| 6,000,000 | |
| 4,258,608 | |
| 4,036,288 | |
2.06 | % |
| Clover
CLO 2021-2, Ltd. | |
Subordinated
Note (effective yield 20.65%, maturity 07/20/2034) | |
08/09/2023 | |
| 2,350,000 | |
| 1,597,808 | |
| 1,726,576 | |
0.88 | % |
| Elmwood
CLO 21 Ltd. | |
Subordinated
Note (effective yield 16.66%, maturity 10/20/2036) | |
10/26/2023 | |
| 5,000,000 | |
| 3,387,536 | |
| 3,396,896 | |
1.73 | % |
See accompanying
notes to the consolidated financial statements
Eagle
Point Income Company Inc. and Subsidiaries
Consolidated
Schedule of Investments
As
of March 31, 2024
(expressed
in U.S. dollars)
(Unaudited)
| Issuer
⁽¹⁾ | |
Investment
Description ⁽²⁾ ⁽³⁾ | |
Acquisition
Date ⁽⁴⁾ | |
Principal
Amount | |
Cost | |
Fair
Value ⁽⁵⁾ | |
%
of Net Assets | |
| CLO
Equity ⁽⁷⁾ ⁽⁸⁾ (continued) | |
| |
| |
| | |
| | |
| | |
| |
| Structured Finance | |
| |
| |
| | |
| | |
| | |
| |
| Kings
Park CLO, Ltd. | |
Subordinated
Note (effective yield 26.19%, maturity 01/21/2035) | |
04/27/2023 | |
| 1,150,000 | |
| 697,324 | |
| 799,791 | |
0.41 | % |
| KKR
CLO 29 Ltd. | |
Subordinated Note
(effective yield 19.53%, maturity 01/15/2032) | |
12/14/2021 | |
| 5,500,000 | |
| 3,973,694 | |
| 3,699,606 | |
1.89 | % |
| Madison
Park Funding XXXVII, Ltd. | |
Subordinated Note
(effective yield 33.18%, maturity 07/15/2049) | |
03/11/2020 | |
| 4,000,000 | |
| 2,307,218 | |
| 2,498,154 | |
1.28 | % |
| Marathon
CLO XIII, Ltd. | |
Subordinated Note
(effective yield 9.40%, maturity 04/15/2032) | |
06/04/2019 | |
| 5,300,000 | |
| 2,996,846 | |
| 1,268,404 | |
0.65 | % |
| Octagon
Investment Partners 37, Ltd. | |
Subordinated Note
(effective yield 7.31%, maturity 07/25/2030) | |
01/31/2020 | |
| 6,000,000 | |
| 2,834,912 | |
| 1,643,712 | |
0.84 | % |
| Octagon
Investment Partners 43, Ltd. | |
Income Note (effective
yield 8.11%, maturity 10/25/2032) | |
08/02/2019 | |
| 5,750,000 | |
| 3,928,153 | |
| 2,704,235 | |
1.38 | % |
| Octagon
Investment Partners 49, Ltd. | |
Subordinated Note
(effective yield 20.22%, maturity 04/15/2037) | |
03/25/2024 | |
| 8,250,000 | |
| 4,620,000 | |
| 4,610,667 | |
2.35 | % |
| Point
Au Roche Park CLO, Ltd. | |
Subordinated Note
(effective yield 15.98%, maturity 07/20/2034) | |
02/02/2022 | |
| 5,945,000 | |
| 4,599,097 | |
| 4,026,928 | |
2.06 | % |
| RR
23 LTD | |
Subordinated Note
(effective yield 18.23%, maturity 10/15/2035) | |
10/12/2023 | |
| 5,000,000 | |
| 2,994,231 | |
| 3,143,769 | |
1.60 | % |
| Venture
37 CLO, Limited | |
Subordinated Note
(effective yield 1.96%, maturity 07/15/2032) | |
05/21/2019 | |
| 5,200,000 | |
| 3,008,775 | |
| 1,391,824 | |
0.71 | % |
| Wind
River 2022-1 CLO Ltd. | |
Subordinated
Note (effective yield 28.51%, maturity 07/20/2035) | |
08/15/2023 | |
| 5,490,000 | |
| 3,484,411 | |
| 3,284,514 | |
1.68 | % |
| | |
| |
| |
| | |
| 79,320,319 | |
| 69,584,460 | |
35.53 | % |
| CFO Debt ⁽⁷⁾ | |
| |
| |
| | |
| | |
| | |
| |
| Structured Finance | |
| |
| |
| | |
| | |
| | |
| |
| Glendower
Capital Secondaries CFO, LLC | |
Class B Loan, Delayed Draw,
11.50% (due 07/12/2038) ⁽¹¹⁾ ⁽¹²⁾ | |
07/13/2023 | |
| 266,521 | |
| 261,635 | |
| 269,879 | |
0.14 | % |
| Glendower
Capital Secondaries CFO, LLC | |
Class C Loan, Delayed
Draw, 14.50% (due 07/12/2038) ⁽¹¹⁾ ⁽¹²⁾ | |
07/13/2023 | |
| 122,039 | |
| 119,802 | |
| 123,723 | |
0.06 | % |
| | |
| |
| |
| | |
| 381,437 | |
| 393,602 | |
0.20 | % |
| CFO Equity ⁽⁷⁾
⁽⁸⁾ | |
| |
| |
| | |
| | |
| | |
| |
| Structured Finance | |
| |
| |
| | |
| | |
| | |
| |
| Glendower
Capital Secondaries CFO, LLC | |
Subordinated Loan, Delayed Draw (effective
yield 44.85%, maturity 07/12/2038) ⁽¹¹⁾ | |
07/13/2023 | |
| 278,205 | |
| 278,205 | |
| 317,821 | |
0.16 | % |
| | |
| |
| |
| | |
| | |
| | |
| |
| Total investments at fair value as of March 31, 2024 | |
| |
| | |
$ | 291,237,986 | |
$ | 280,886,381 | |
143.42 | % |
| | |
| |
| |
| | |
| | |
| | |
| |
| Liabilities, at fair
value ⁽¹⁰⁾ | |
| |
| |
| | |
| | |
| | |
| |
| 5.00%
Series A Term Preferred Stock due 2026 | |
Preferred Stock | |
| |
$ | (38,041,225 | ) |
$ | (38,041,225 | ) |
$ | (35,682,669 | ) |
-18.21 | % |
| 7.75%
Series B Term Preferred Stock due 2028 | |
Preferred Stock | |
| |
| (37,151,225 | ) |
| (37,146,354 | ) |
| (37,299,830 | ) |
-19.04 | % |
| Total liabilities at fair value as of March 31, 2024 | |
| |
| | |
$ | (75,187,579 | ) |
$ | (72,982,499 | ) |
-37.25 | % |
| | |
| |
| |
| | |
| | |
| | |
| |
| Net assets above (below) fair value of investments and liabilities at fair value | |
| | |
| | |
| (11,999,275 | ) |
| |
| | |
| |
| |
| | |
| | |
| | |
| |
| Net
assets as of March 31, 2024 | |
| |
| |
| | |
| | |
$ | 195,904,607 | |
| |
| ⁽¹⁾ |
The
Company is not affiliated with, nor does it "control" (as such term is defined in the Investment Company Act of 1940 (the
"1940 Act")), any of the issuers listed. In general, under the 1940 Act, the Company would be presumed to "control"
an issuer if we owned 25% or more of its voting securities. |
| ⁽²⁾ |
All
securities are exempt from registration under the Securities Act of 1933, as amended, are deemed to be "restricted" securities,
are categorized as structured finance securities and the country of risk is the United States. |
| ⁽³⁾ |
Pursuant
to the terms of the credit facility agreement, a security interest in favor of the lender has been granted with respect to all investments.
See Note 4 "Revolving Credit Facility" for further discussion. |
| ⁽⁴⁾ |
Acquisition
date represents the initial purchase date or the date when the investment was contributed to the Company. See Note 1 "Organization"
for further discussion. |
| ⁽⁵⁾ |
Fair
value is determined by the Adviser in accordance with written valuation policies and procedures, subject to oversight by the Company’s
Board of Directors, in accordance with Rule 2a-5 under the 1940 Act. |
| ⁽⁶⁾ |
Variable
rate investment. Interest rate shown reflects the rate in effect at the reporting date. Investment description
includes the reference rate and spread. |
| ⁽⁷⁾ |
Classified
as Level III investment. See Note 3 "Investments" for further discussion. |
| ⁽⁸⁾ |
CLO
equity and CFO equity are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made
by underlying assets less contractual payments to debt holders and fund expenses. The effective yield is estimated based on the current
projection of the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment.
The effective yield and investment cost may ultimately not be realized. As of March 31, 2024, the Company's weighted average effective
yield on its aggregate CLO equity positions, based on current amortized cost, was 17.63%. |
| ⁽⁹⁾ |
Fair
value includes the Company's interest in fee rebates on CLO equity. |
| ⁽¹⁰⁾ |
The
Company has accounted for its 5.00% Series A Term Preferred Stock due 2026 and 7.75% Series B Term Preferred Stock due 2028 utilizing
the fair value option election under ASC Topic 825. Accordingly, the aforementioned preferred stock is carried at fair value. See
Note 2 "Summary of Significant Accounting Policies" for further discussion. |
| ⁽¹¹⁾ |
This
investment has an unfunded commitment as of March 31, 2024. See Note 7 "Commitments and Contingencies" for further discussion. |
| ⁽¹²⁾ |
Fixed
rate investment. |
See accompanying
notes to the consolidated financial statements
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
Eagle Point Income
Company Inc. (the “Company”) is an externally managed, diversified closed-end management investment company registered under
the Investment Company Act of 1940, as amended (the “1940 Act”). The Company’s primary investment objective is to generate
high current income, with a secondary objective to generate capital appreciation. The Company seeks to achieve its investment objectives
by investing primarily in junior debt tranches of collateralized loan obligations, or “CLOs,” that are collateralized by a
portfolio consisting primarily of below investment grade U.S. senior secured loans with a large number of distinct underlying borrowers
across various industry sectors. The Company focuses on CLO debt tranches rated “BB” (e.g., BB+, BB or BB-, or their equivalent)
by Moody’s Investors Service, Inc., or “Moody’s,” Standard & Poor’s, or “S&P,” or Fitch
Ratings, Inc., or “Fitch,” and/or other applicable nationally recognized statistical rating organizations. The Company may
invest up to 35% of its total assets (at the time of investment) in unrated CLO equity securities and related securities and instruments.
The Company may also invest in other junior debt tranches of CLOs, senior debt tranches of CLOs, loan accumulation facilities (“LAF”)
and other related securities and instruments.
The Company was initially
formed on September 28, 2018 and commenced operations on October 4, 2018. On July 23, 2019, the Company priced its initial public offering
(the “IPO”) and on July 24, 2019, the Company’s shares began trading on the New York Stock Exchange (“NYSE”)
under the symbol “EIC”.
The Company intends
to operate so as to qualify to be taxed as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue
Code of 1986, as amended (the “Code”), for federal income tax purposes.
Eagle Point Income
Management LLC (the “Adviser”) is the investment adviser of the Company and manages the investments of the Company subject
to the supervision of the Company’s Board of Directors (the “Board”). The Adviser is registered as an investment adviser
with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Advisers Act of 1940, as amended. Eagle
Point Administration LLC, an affiliate of the Adviser, is the administrator of the Company (the “Administrator”).
The consolidated financial
statements include the accounts of the Company and its wholly-owned subsidiaries- Eagle Point Income Company Sub II (Cayman) Ltd. (the
“Cayman Subsidiary”), a Cayman Islands exempted company, and Eagle Point Income Company Sub (US) LLC (the “US Subsidiary),
a Delaware limited liability company (together the “Subsidiaries”). All intercompany accounts have been eliminated upon consolidation.
As of March 31, 2024, the US Subsidiary and the Cayman Subsidiary represented 0.1% and 0.0% of the Company’s net assets, respectively.
| 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
Basis of Accounting
The consolidated financial
statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Company
is an investment company and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting
Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services – Investment
Companies. Items included in the consolidated financial statements are measured and presented in United States dollars.
Use of Estimates
The preparation of
financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions which affect the reported amounts
included in the consolidated financial statements and accompanying notes as of the reporting date. Actual results may differ from those
estimates.
Valuation of Investments
The most significant
estimate inherent in the preparation of the consolidated financial statements is the valuation of investments.
The Company
accounts for its investments in accordance with U.S. GAAP, and fair values its investment portfolio in
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
accordance with the
provisions of the FASB ASC Topic 820, Fair Value Measurements and Disclosures, which defines fair value, establishes a
framework for measuring fair value and requires enhanced disclosures about fair value measurements. Investments are reflected in the
consolidated financial statements at fair value. Fair value is the estimated amount that would be received to sell an asset, or paid
to transfer a liability, in an orderly transaction between market participants at the measurement date (i.e., the exit price).
Pursuant to Rule 2a-5
under the 1940 Act adopted by the SEC in December 2020 (“Rule 2a-5”), the Board has elected to designate the Adviser as “valuation
designee” to perform fair value determinations, subject to Board oversight and certain other conditions. In the absence of readily
available market quotations, as defined by Rule 2a-5, the Adviser determines the fair value of the Company’s investments in accordance
with its written valuation policy approved by the Board. There is no single method for determining fair value in good faith. As a result,
determining fair value requires judgment be applied to the specific facts and circumstances of each portfolio investment while employing
a consistently applied valuation process for the types of investments held by the Company. Due to the uncertainty of valuation, this estimate
may differ significantly from the value that would have been used had a ready market for the investments existed, and the differences
could be material.
The Company determines
fair value based on assumptions that market participants would use in pricing an asset or liability in an orderly transaction at the measurement
date. When considering market participant assumptions in fair value measurements, the following fair value hierarchy prioritizes and ranks
the level of market price observability used in measuring investments:
| · | Level I – Unadjusted quoted prices in active markets for identical assets or liabilities
that the Company is able to access as of the reporting date. |
| · | Level II – Inputs, other than quoted prices included in Level I, that are observable either
directly or indirectly as of the reporting date. These inputs may include (a) quoted prices for similar assets in active markets, (b)
quoted prices for identical or similar assets in markets that are not active, (c) inputs other than quoted prices that are observable
for the asset, or (d) inputs derived principally from or corroborated by observable market data by correlation or other means. |
| · | Level III – Pricing inputs are unobservable for the investment and little, if any, active
market exists as of the reporting date. Fair value inputs require significant judgment or estimation from the Adviser. |
In certain cases, inputs
used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the determination of which category
within the fair value hierarchy is appropriate for any given investment is based on the lowest level of input significant to that fair
value measurement. The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment
and consideration of factors specific to the investment.
Market price observability
is impacted by a number of factors, including the type of investment, the characteristics specific to the investment and the state of
the marketplace (including the existence and transparency of transactions between market participants). Investments with readily available
actively quoted prices, or for which fair value can be measured from actively quoted prices in an orderly market, will generally have
a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Investments for which
observable, quoted prices in active markets do not exist are reported at fair value based on Level III inputs. The amount determined to
be fair value may incorporate the Adviser’s own assumptions (including assumptions the Adviser believes market participants would
use in valuing investments and assumptions relating to appropriate risk adjustments for nonperformance and lack of marketability), as
provided for in the Adviser’s valuation policy.
An estimate of fair
value is made for each investment at least monthly taking into account information available as of the reporting date and is subject to
review by the Board on a quarterly basis.
See Note 3 “Investments”
for further discussion relating to the Company’s investments.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
Other Financial
Assets and Financial Liabilities at Fair Value
The Fair Value Option
(“FVO”) under FASB ASC Subtopic 825-10, Fair Value Option (“ASC 825”), allows companies to make an irrevocable
election to use fair value as the initial and subsequent accounting measurement for certain financial assets and liabilities. The decision
to elect the FVO is determined on an instrument-by-instrument basis and must be applied to an entire instrument. Assets and liabilities
measured at fair value are required to be reported separately from those instruments measured using another accounting method and changes
in fair value attributable to instrument-specific credit risk on financial liabilities for which the FVO is elected are required to be
presented separately in other comprehensive income. Additionally, upfront offering costs related to such instruments, inclusive of costs
associated with issuances under the Company’s at-the-market (“ATM”) program, are recognized in earnings as incurred
and are not deferred.
The Company elected
to account for its 5.00% Series A Term Preferred Stock due 2026 (the “Series A Term Preferred Stock”) and its 7.75% Series
B Term Preferred Stock due 2028 (“Series B Term Preferred Stock”, and collectively with the Series A Term Preferred Stock,
the “Preferred Stock”) utilizing the FVO under ASC 825. The primary reason for electing the FVO is to reflect economic events
in the same period in which they are incurred and address simplification of reporting and presentation.
Investment Income
Recognition
Interest income from
investments in CLO debt and collateralized fund obligation (“CFO”) debt is recorded using the accrual basis of accounting
to the extent such amounts are expected to be collected. Interest income on such investments is generally expected to be received in cash.
The Company applies the provisions of Accounting Standards Update No. 2017-08, Premium Amortization on Purchased Callable Debt Securities
(“ASU 2017-08”), in calculating amortization of premium for applicable investments. Amortization of premium or accretion of
discount is recognized using the effective interest method.
In certain circumstances,
all or a portion of interest income from a given investment may be paid in the form of additional investment principal, often referred
to as payment-in-kind (“PIK”) interest. PIK interest is included in interest income and interest receivable through the payment
date. The PIK interest rate represents the coupon rate at payment date when PIK interest is received. On the payment date, all or a portion
of interest receivable is capitalized as additional principal in the investment. To the extent the Company does not believe it will ultimately
be able to collect PIK interest, the investment will be placed on non-accrual status, and previously recorded PIK interest income will
be reversed.
CLO equity investments,
fee rebates and CFO equity investments recognize investment income for U.S. GAAP purposes on the accrual basis utilizing an effective
interest methodology based upon an effective yield to maturity utilizing projected cash flows. ASC Topic 325-40, Beneficial Interests
in Securitized Financial Assets, requires investment income from such investments to be recognized under the effective interest method,
with any difference between cash distributed and the amount calculated pursuant to the effective interest method being recorded as an
adjustment to the cost basis of the investment. It is the Adviser’s policy to update the effective yield for each CLO equity and
fee rebate position held within the Company’s portfolio at the initiation of each investment and each subsequent quarter thereafter.
It is the Adviser’s policy to review the effective yield for each CFO equity position at each measurement date and update periodically
based on the facts and circumstances known to the Adviser.
Other Income
Other income includes
the Company’s share of income under the terms of fee rebate agreements and commitment fee income.
Interest Expense
Interest expense includes
the Company’s distributions associated with its Series A Term Preferred Stock, Series B Term Preferred Stock and amounts due under
the credit facility agreement in relation to the outstanding borrowings and unused commitment fees. Interest expense also includes the
Company’s amortization of original issue premiums and discounts associated with its Preferred Stock.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
The following table
summarizes the components of interest expense for the three months ended March 31, 2024:
| | |
Series A Term
Preferred Stock | | |
Series B Term
Preferred Stock | | |
Revolving Credit
Facility | | |
Total | |
| Distributions declared and paid | |
$ | 475,517 | | |
$ | 690,319 | | |
$ | - | | |
$ | 1,165,836 | |
| Interest expense on credit facility | |
| | | |
| | | |
| 74,458 | | |
| 74,458 | |
| Amortization of issuance premium | |
| - | | |
| (1,404 | ) | |
| | | |
| (1,404 | ) |
| | |
$ | 475,517 | | |
$ | 688,915 | | |
$ | 74,458 | | |
$ | 1,238,890 | |
Interest expense is
recorded as an expense on the Consolidated Statement of Operations. The Company’s Preferred Stock has no interest payable as of
March 31, 2024.
Please refer to Note
6 “Mandatory Redeemable Preferred Stock” and Note 9 “Revolving Credit Facility” for further discussion relating
to the Preferred Stock issuances and on the interest expense due under the credit facility agreement, respectively.
Original Issue Discounts
and Premiums
Original issue discounts
and premiums on liabilities consist of discounts or premiums recorded in connection with the issuance of the Preferred Stock as part of
the Company’s ATM program, consistent with FASB ASC Topic 835-30-35-2. The original issue discounts and premiums are capitalized
at the time of issuance and amortized using the effective interest method over the respective terms of each of the Preferred Stock. Amortization
and accretion of original issue discounts and premiums are reflected as an expense and a contra expense within interest expense in the
Consolidated Statement of Operations, respectively.
Securities Transactions
The Company records
the purchase and sale of securities on the trade date. Realized gains and losses on investments sold are recorded on the basis of the
specific identification method.
In certain circumstances
where the Adviser determines it is unlikely to fully amortize a CLO equity or CLO debt investment’s remaining amortized cost, such
remaining cost is written-down to its current fair value and recognized as a realized loss in the Consolidated Statement of Operations.
Cash
and Cash Equivalents
The
Company has defined cash and cash equivalents as cash and short-term, highly liquid investments with original maturities of three months
or less from the date of purchase. The Company maintains its cash in bank accounts which, at times, may exceed federal insured limits.
The Adviser monitors the performance of the financial institution where the accounts are held in order to manage any risk associated with
such accounts.
Expense Recognition
Expenses are recorded
on the accrual basis of accounting.
Prepaid Expenses
Prepaid expenses consist
primarily of insurance premiums, shelf registration expenses, ATM program expenses and the Committed Equity Financing (as defined in Note
5 “Common Stock”) expenses. Prepaid shelf registration expenses, ATM program expenses and Committed Equity Financing expenses
represent fees and expenses incurred in connection with the initial registration of the Company’s current shelf registration, ATM
program and the Committed Equity Financing. Such costs are allocated pro-rata based on the amount issued relative to the total respective
offering amount to paid-in-capital or expense depending on the security being issued pursuant to the shelf registration, ATM program and
the Committed Equity Financing. Any subsequent costs incurred to maintain the Company’s ATM program and the Committed Equity Financing
are expensed as incurred.
Any unallocated prepaid
expense balance associated with the shelf registration, ATM program and the Committed Equity Financing are accelerated into expense at
the earlier of the end of the program period or at the effective date of a new shelf registration or ATM program.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
Deferred Financing
Costs
Deferred financing
costs consist of fees and expenses incurred in connection with the Revolving Credit Facility (refer to Note 9 “Revolving Credit
Facility”). Deferred financing costs are capitalized and amortized over the term of the Revolving Credit Facility, and are reflected
in borrowings under the credit facility on the Consolidated Statement of Asset and Liabilities (if any). Amortization of deferred financing
costs are recorded as an expense on the Consolidated Statement of Operations on a straight-line basis, which approximates the effective
interest method.
Offering Expenses
Offering expenses associated
with the issuance and sale of shares of common stock, inclusive of expenses incurred associated with offerings under the ATM program,
are charged to paid-in capital at the time the shares are sold in accordance with guidance noted in FASB ASC Topic 946-20-25-5, Investment
Companies – Investment Company Activities – Recognition, during the period incurred.
Federal and Other
Taxes
The Company intends
to continue to operate so as to qualify to be taxed as a RIC under subchapter M of the Code and, as such, to not be subject to federal
income tax on the portion of its taxable income and gains distributed to stockholders. To qualify for RIC tax treatment, among other requirements,
the Company is required to distribute at least 90% of its investment company taxable income, as defined by the Code.
Because U.S. federal
income tax regulations differ from U.S. GAAP, distributions in accordance with tax regulations may differ from net investment income and
realized gains recognized for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified
among capital accounts in the consolidated financial statements to reflect their tax character. Temporary differences arise when certain
items of income, expense, gain or loss are recognized at some time in the future. Differences in classification may also result from the
treatment of short-term gains as ordinary income for federal income tax purposes. The tax basis components of distributable earnings may
differ from the amounts reflected in the Consolidated Statement of Assets and Liabilities due to temporary book/tax differences arising
primarily from partnerships and passive foreign investment company investments.
As of March 31, 2024,
the federal income tax cost and net unrealized depreciation on securities were as follows:
| Cost for federal income tax purposes | |
$ | 295,516,278 | |
| | |
| | |
| Gross unrealized appreciation | |
$ | 5,356,472 | |
| Gross unrealized depreciation | |
| (20,017,577 | ) |
| Net unrealized depreciation | |
$ | (14,661,104 | ) |
For the three months ended March 31,
2024, the Company incurred $75,000 in tax expenses which is comprised of $25,000 of Delaware franchise tax expense related to the 2023
tax year, and $50,000 of excise tax expense related to the 2023 tax year, and is reported on the Consolidated Statement of Operations.
Distributions
The composition of
distributions paid to common stockholders from net investment income and capital gains are determined in accordance with U.S. federal
income tax regulations, which differ from U.S. GAAP. Distributions to common stockholders and can be comprised of net investment income,
net realized capital gains and return of capital for U.S. federal income tax purposes and are intended to be paid monthly. Distributions
payable to common stockholders are recorded as a liability on ex-dividend date. Unless a common stockholder opts out of the Company’s
dividend reinvestment plan (the “DRIP”), distributions are automatically reinvested in full shares of the Company as of the
payment date, pursuant to the DRIP. The Company’s common stockholders who opt-out of participation in the DRIP (including those
common stockholders whose shares are held through a broker who has opted out of participation in the DRIP) generally will receive all
distributions in cash.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
In addition to the
regular monthly distributions, and subject to available taxable earnings of the Company, the Company may make periodic special and/or
supplemental distributions representing the excess of the Company’s net taxable income over the Company’s aggregate monthly
distributions paid during the year.
The characterization
of distributions paid to common stockholders, as set forth in the Consolidated Financial Highlights, reflect estimates made by the Company
for federal income tax purposes. Such estimates are subject to change once the final determination of the source of all distributions
has been made and the final tax return has been filed by the Company.
For the three months
ended March 31, 2024, the Company declared and paid monthly distributions on common stock of approximately $7.3 million or $0.60 per share.
For the three months
ended March 31, 2024, the Company declared and paid dividends on the Series A Term Preferred Stock of approximately $0.5 million or approximately
$0.31 per share of Series A Term Preferred Stock.
For the three months
ended March 31, 2024,, the Company declared and paid dividends on the Series B Term Preferred Stock of approximately $0.7 million or approximately
$0.48 per share of Series B Term Preferred Stock.
Fair
Value Measurement
The following table
summarizes the valuation of the Company’s investments measured and reported at fair value under the fair value hierarchy levels
described in Note 2 “Summary of Significant Accounting Policies” as of March 31, 2024:
Fair Value Measurement (in millions)
| | |
Level I | | |
Level II | | |
Level III | | |
Total | |
| Assets at Fair Value | |
| | | |
| | | |
| | | |
| | |
| Investments at Fair Value | |
| | | |
| | | |
| | | |
| | |
| CLO Debt | |
$ | - | | |
$ | 210.59 | | |
$ | - | | |
$ | 210.59 | |
| CLO Equity | |
| - | | |
| - | | |
| 69.58 | | |
| 69.58 | |
| CFO Debt | |
| | | |
| - | | |
| 0.39 | | |
| 0.39 | |
| CFO Equity | |
| | | |
| - | | |
| 0.32 | | |
| 0.32 | |
| Total Investentments at Fair Value ⁽¹⁾ | |
$ | - | | |
$ | 210.59 | | |
$ | 70.30 | | |
$ | 280.89 | |
| Total Assets at Fair Value ⁽¹⁾ | |
$ | - | | |
$ | 210.59 | | |
$ | 70.30 | | |
$ | 280.89 | |
| | |
| | | |
| | | |
| | | |
| | |
| Liabilities at Fair Value Under FVO | |
| | | |
| | | |
| | | |
| | |
| Series A Term Preferred Stock | |
$ | 35.68 | | |
$ | - | | |
$ | - | | |
$ | 35.68 | |
| Series B Term Preferred Stock | |
$ | 37.30 | | |
| - | | |
| - | | |
| 37.30 | |
| | |
| | | |
| | | |
| | | |
| | |
| Total Liabilities at Fair Value Under FVO ⁽¹⁾ | |
$ | 72.98 | | |
$ | - | | |
$ | - | | |
$ | 72.98 | |
⁽¹⁾ Amounts may not foot due to rounding.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
Significant Unobservable
Inputs
The following table
summarizes the quantitative inputs and assumptions used for investments categorized as Level III of the fair value hierarchy as of March
31, 2024.
| | |
Quantitative Information about Level III Fair Value Measurements | |
| Assets | |
Fair Value
(in millions) | | |
Valuation
Techniques/Methodologies | |
Unobservable Inputs | |
Range / Weighted Average⁽¹⁾ |
| CLO Equity | |
$ | 69.58 | | |
Discounted Cash Flows | |
Annual Default Rate ⁽²⁾ | |
0.00% - 4.01% |
| | |
| | | |
| |
Annual Prepayment Rate ⁽²⁾ ⁽³⁾ | |
25.00% |
| | |
| | | |
| |
Reinvestment Spread | |
3.50% - 4.00% / 3.69% |
| | |
| | | |
| |
Reinvestment Price ⁽²⁾ | |
99.50% |
| | |
| | | |
| |
Recovery Rate | |
68.64% - 69.97% / 69.58% |
| | |
| | | |
| |
Expected Yield | |
14.93% - 89.73% / 26.03% |
| CFO Debt | |
| 0.39 | | |
Discounted Cash Flows | |
Discount Rate | |
11.40% - 14.70% / 12.44% |
| CFO Equity | |
| 0.32 | | |
Discounted Cash Flows | |
Discount Rate ⁽⁴⁾ | |
41.01% |
| Total Fair Value of Level III Investments⁽⁵⁾ | |
$ | 70.30 | | |
| |
| |
|
⁽¹⁾ Weighted average calculations are based on the fair value of investments.
⁽²⁾ A weighted average is not presented as the input in the discounted cash flow model varies over the life of an investment.
⁽³⁾ 0% is assumed for defaulted and non-performing assets.
⁽⁴⁾ Range not shown as only one position is included in the category.
⁽⁵⁾ Amounts may not foot due to rounding.
In addition to the
techniques and inputs noted in the above table, the Adviser may use other valuation techniques and methodologies when determining the
fair value measurements of the Company’s investments, as provided for in the Adviser’s valuation policy approved by the Board.
Please refer to Note 2 “Summary of Significant Accounting Policies” for further discussion. The above table is not intended
to be all-inclusive, but rather provides information on the significant Level III inputs as they relate to the Company’s fair value
measurements as of March 31, 2024. Unobservable inputs and assumptions are reviewed at each measurement date and updated as necessary
to reflect current market conditions.
Increases (decreases)
in the annual default rate, reinvestment price, expected yield and discount rate in isolation would result in a lower (higher) fair value
measurement. Increases (decreases) in the reinvestment spread and recovery rate in isolation would result in a higher (lower) fair value
measurement. Changes in the annual prepayment rate may result in a higher (lower) fair value, depending on the circumstances. Generally,
a change in the assumption used for the annual default rate may be accompanied by a directionally opposite change in the assumption used
for the annual prepayment rate and recovery rate.
Change
in Investments Classified as Level III
The changes in investments
classified as Level III are as follows for the three months ended March 31, 2024:
Change in Investments Classified as Level III (in millions)
| | |
CLO Equity | | |
CFO Debt | | |
CFO Equity | | |
Total | |
| Balance as of January 1, 2024 | |
$ | 63.33 | | |
$ | 0.27 | | |
$ | 0.22 | | |
$ | 63.82 | |
| | |
| | | |
| | | |
| | | |
| | |
| Purchases of investments | |
| 6.57 | | |
| 0.12 | | |
| 0.09 | | |
| 6.78 | |
| | |
| | | |
| | | |
| | | |
| | |
| Proceeds from sales or maturity of investments ⁽¹⁾ | |
| (1.64 | ) | |
| | | |
| - | | |
| (1.64 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Net realized gains
(losses) and net change in unrealized appreciation (depreciation) | |
| 1.32 | | |
| 0.00 | | |
| 0.01 | | |
| 1.34 | |
| | |
| | | |
| | | |
| | | |
| | |
| Balance as of March 31, 2024 ⁽²⁾ ⁽³⁾ | |
$ | 69.58 | | |
$ | 0.39 | | |
$ | 0.32 | | |
$ | 70.30 | |
| | |
| | | |
| | | |
| | | |
| | |
| Change in unrealized appreciation (depreciation) on investments still held as of March 31, 2024 | |
$ | 1.32 | | |
$ | 0.00 | | |
$ | 0.01 | | |
$ | 1.34 | |
⁽¹⁾ Proceeds from sales or maturity of investments represent the return of capital on portfolio investments from recurring cash flows.
⁽²⁾ There were no transfers in or out of Level III during the period.
⁽³⁾ Amounts may not foot due to rounding.
The net realized
gains (losses) recorded for Level III investments, if any, are reported in the net realized gain (loss)
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
on investments balance in
the Consolidated Statement of Operations. Net changes in unrealized appreciation (depreciation) are reported in the net change in
unrealized appreciation (depreciation) on investments balance in the Consolidated Statement of Operations.
Fair Value –
Valuation Techniques and Inputs
The Adviser establishes
valuation processes and procedures to ensure the valuation techniques are fair and consistent, and valuation inputs are supportable. The
Adviser has a Valuation Committee comprised of various senior personnel of the Adviser, the majority of which are not members of the Company’s
portfolio management function. The Valuation Committee is responsible for overseeing the valuation process, evaluating the overall fairness
and consistent application of the Adviser’s written valuation policies approved by the Board. The Valuation Committee reviews and
approves the valuation on a monthly basis.
Valuation of
CLO Debt
The Company’s
investments in CLO debt have been valued using an independent pricing service. The valuation methodology of the independent pricing service
includes incorporating data comprised of observable market transactions, executable bids, broker quotes from dealers with two sided markets,
as well as transaction activity from comparable securities to those being valued. As the independent pricing service contemplates real
time market data and no unobservable inputs or significant judgment has been used by the Adviser in the valuation of the Company’s
investment in CLO debt, such positions are considered Level II assets.
Valuation of
CLO Equity
The Adviser estimates
the fair value of CLO equity investments utilizing the output from a third-party financial tool based on assumptions derived from internal
and external (market) data. The tool contains detailed information on the characteristics of each CLO, including recent information about
assets and liabilities from data sources such as trustee reports, and uses market data inputs to project future cash flows to CLO equity
tranches. Key inputs to the model, including, but not limited to assumptions for future loan default rates, recovery rates, prepayment
rates, reinvestment rates and discount rates are determined by considering both observable and third-party market data and prevailing
general market assumptions and conventions as well as those of the Adviser. Additionally, a third-party independent valuation firm is
used as an input by the Adviser to determine the fair value of the Company’s investments in CLO equity. The valuation firm’s
advice is only one factor considered in the valuation of such investments, and the Adviser does not solely rely on such advice in determining
the fair value of the Company’s investments in accordance with the 1940 Act.
The Adviser categorizes
CLO equity as Level III investments. Certain pricing inputs may be unobservable. An active market may exist, but not necessarily for CLO
equity investments that the Company holds as of the reporting date.
Valuation of
CFO Debt and CFO Equity
The Adviser engages
a nationally recognized independent valuation agent to determine fair value of the CFO debt and CFO equity held by the Company. The independent
valuation agent performs a discounted cash flow analysis, or other valuation techniques appropriate for the facts and circumstances, to
determine the fair value of such investments, ultimately providing a high and low valuation for each investment. The final valuation recorded
is within the high and low band provided by the valuation agent. Given the illiquidity of these investments and lack of observable inputs,
the Adviser categorizes these investments as Level III investments.
The Adviser may also
utilize the mid-point of an indicative broker quotation, if available, to value such investments as of the reporting date. The Adviser
generally categorizes investments valued utilizing indicative broker quotations as Level II or Level III depending on whether an active
market exists as of the reporting date.
Valuation of
Preferred Stock
The Preferred Stock
is considered a Level I security and is valued at the official closing price, taken from the NYSE.
Investment
Risk Factors
The following
list is not intended to be a comprehensive list of all of the potential risks associated with the Company.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
The Company’s
prospectus provides a detailed discussion of the Company’s risks and considerations. The risks described in the prospectus are
not the only risks the Company faces. Additional risks and uncertainties not currently known to the Company or that are currently
deemed to be immaterial also may materially and adversely affect its business, financial condition and/or operating results.
Risks of Investing
in CLOs and Other Structured Debt Securities
CLOs and other structured
finance securities are generally backed by a pool of credit-related assets that serve as collateral. Accordingly, CLO and structured finance
securities present risks similar to those of other types of credit investments, including default (credit), interest rate and prepayment
risks. In addition, CLOs and other structured finance securities are often governed by a complex series of legal documents and contracts,
which increases the risk of dispute over the interpretation and enforceability of such documents relative to other types of investments.
There is also a risk that the trustee of a CLO does not properly carry out its duties to the CLO, potentially resulting in loss to the
CLO. CLOs are also inherently leveraged vehicles and are subject to leverage risk.
Subordinated
Securities Risk
CLO junior debt and
equity securities that the Company may acquire are subordinated to more senior tranches of CLO debt. CLO junior debt and equity securities
are subject to increased risks of default relative to the holders of superior priority interests in the same CLO. In addition, at the
time of issuance, CLO equity securities are under-collateralized in that the face amount of the CLO debt and CLO equity of a CLO at inception
exceed its total assets. The Company will typically be in a subordinated or first loss position with respect to realized losses on the
underlying assets held by the CLOs in which the Company is invested.
High-Yield Investment
Risk
The CLO junior debt
and equity securities that the Company acquires are typically rated below investment grade or, in the case of CLO equity securities, unrated
and are therefore considered “higher-yield” or “junk” securities and are considered speculative with respect to
timely payment of interest and repayment of principal. The senior secured loans and other credit-related assets underlying CLOs are also
higher-yield investments. Investing in CLO junior debt and equity securities and other high-yield investments typically involves greater
credit and liquidity risk than investment grade obligations, which may adversely impact the Company’s performance.
Leverage Risk
The use of leverage,
whether directly or indirectly through investments such as CLO junior debt and equity securities that inherently involve leverage, may
magnify the Company’s risk of loss. CLO junior debt and equity securities are very highly leveraged (with CLO equity securities
typically being leveraged ten times), and therefore the CLO securities in which the Company invests are subject to a higher degree of
risk of loss since the use of leverage magnifies losses.
Credit Risk
If (1) a CLO in which
the Company invests, (2) an underlying asset of any such CLO or (3) any other type of credit investment in the Company’s portfolio
declines in price or fails to pay interest or principal when due because the issuer or debtor, as the case may be, experiences a decline
in its financial status, the Company’s income, net asset value (“NAV”) and/or market price would be adversely impacted.
Key Personnel
Risk
The Adviser manages
our investments. Consequently, the Company’s success depends, in large part, upon the services of the Adviser (including Eagle Point
Credit Management LLC, which provides the Adviser with investment professionals and other resources under a personnel and resources agreement)
and the skill and expertise of the Adviser’s professional personnel. There can be no assurance that the professional personnel of
the Adviser (or Eagle Point Credit Management LLC) will continue to serve in their current positions or continue to be employed by the
Adviser. We can offer no assurance that their services will be available for any length of time or that the Adviser will continue indefinitely
as the Company’s investment adviser.
Conflicts of
Interest Risk
The
Company’s executive officers and directors, and the Adviser and certain of its affiliates and their officers and
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
employees,
including the members of the Investment Committee, have several conflicts of interest as a result of the other activities in which
they engage.
Prepayment Risk
The assets underlying
the CLO securities in which the Company invests are subject to prepayment by the underlying corporate borrowers. As such, the CLO securities
and related investments in which the Company invests are subject to prepayment risk. If the Company or a CLO collateral manager are unable
to reinvest prepaid amounts in a new investment with an expected rate of return at least equal to that of the investment repaid, the Company’s
investment performance will be adversely impacted.
Liquidity Risk
Generally, there is
no public market for the CLO investments in which the Company invests. As such, the Company may not be able to sell such investments quickly,
or at all. If the Company is able to sell such investments, the prices the Company receives may not reflect the Adviser’s assessment
of their fair value or the amount paid for such investments by the Company.
Management Fee
Risk
The Company’s
management fee structure may incentivize the Adviser to use leverage in a manner that adversely impacts the Company’s performance.
Fair Valuation
of the Company’s Portfolio Investments
Generally, there is
no public market for the CLO investments and certain other credit assets in which the Company may invest. The Adviser values these securities
at least quarterly, or more frequently as may be required from time to time, at fair value. The Adviser’s determinations of the
fair value of the Company’s investments have a material impact on the Company’s net earnings through the recording of unrealized
appreciation or depreciation of investments and may cause the Company’s NAV on a given date to understate or overstate, possibly
materially, the value that the Company ultimately realizes on one or more of the Company’s investments.
Limited Investment
Opportunities Risk
The market for CLO
securities is more limited than the market for other credit related investments. The Company can offer no assurances that sufficient investment
opportunities for the Company’s capital will be available. In recent years there has been a marked increase in the number of, and
flow of capital into, investment vehicles established to pursue investments in CLO securities whereas the size of this market is relatively
limited. While the Company cannot determine the precise effect of such competition, such increase may result in greater competition for
investment opportunities, which may result in an increase in the price of such investments relative to the risk taken on by holders of
such investments. Such competition may also result under certain circumstances in increased price volatility or decreased liquidity with
respect to certain positions.
Market Risk
Political, regulatory,
economic and social developments, and developments that impact specific economic sectors, industries or segments of the market, can affect
the value of the Company’s investments. A disruption or downturn in the capital markets and the credit markets could impair the
Company’s ability to raise capital, reduce the availability of suitable investment opportunities for the Company, or adversely and
materially affect the value of the Company’s investments, any of which would negatively affect the Company’s business. These
risks may be magnified if certain events or developments adversely interrupt the global supply chain, and could affect companies worldwide.
Loan Accumulation
Facilities Risk
The
Company may invest in LAFs, which are short to medium term facilities often provided by the bank that will serve as placement agent
or arranger on a CLO transaction and which acquire loans on an interim basis which are expected to form part of the portfolio of a
future CLO. Investments in LAFs have risks similar to those applicable to investments in CLOs. Leverage is typically utilized in
such a facility and as such the potential risk of loss will be increased for such facilities employing leverage. In the event a
planned CLO is not consummated, or the loans are not eligible for purchase by the CLO, the Company may be responsible for either
holding or disposing of the loans.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
This could expose the Company to credit and/or mark-to-market losses, and other risks.
Synthetic Investments
Risk
The Company may invest
in synthetic investments, such as significant risk transfer securities and credit risk transfer securities issued by banks or other financial
institutions, or acquire interests in lease agreements that have the general characteristics of loans and are treated as loans for withholding
tax purposes. In addition to the credit risks associated with the applicable reference assets, the Company will usually have a contractual
relationship only with the counterparty of such synthetic investment, and not with the reference obligor of the reference asset. Accordingly,
the Company generally will have no right to directly enforce compliance by the reference obligor with the terms of the reference asset
nor will it have any rights of setoff against the reference obligor or rights with respect to the reference asset. The Company will not
directly benefit from the collateral supporting the reference asset and will not have the benefit of the remedies that would normally
be available to a holder of such reference asset. In addition, in the event of the insolvency of the counterparty, the Company may be
treated as a general creditor of such counterparty, and will not have any claim with respect to the reference asset.
Currency Risk
Although the Company
primarily makes investments denominated in U.S. dollars, the Company may make investments denominated in other currencies. The Company’s
investments denominated in currencies other than U.S. dollars will be subject to the risk that the value of such currency will decrease
in relation to the U.S. dollar. The Company may or may not hedge currency risk.
Hedging Risk
Hedging transactions
seeking to reduce risks may result in poorer overall performance than if the Company had not engaged in such hedging transactions. Additionally,
such transactions may not fully hedge the Company’s risks.
Reinvestment
Risk
CLOs will typically
generate cash from asset repayments and sales that may be reinvested in substitute assets, subject to compliance with applicable investment
tests. If the CLO collateral manager causes the CLO to purchase substitute assets at a lower yield than those initially acquired or sale
proceeds are maintained temporarily in cash, it would reduce the excess interest-related cash flow, thereby having a negative effect on
the fair value of the Company’s assets and the market value of the Company’s securities. In addition, the reinvestment period
for a CLO may terminate early, which would cause the holders of the CLO’s securities to receive principal payments earlier than
anticipated. There can be no assurance that the Company will be able to reinvest such amounts in an alternative investment that provides
a comparable return relative to the credit risk assumed.
Interest Rate
Risk
The price of certain
of the Company’s investments may be significantly affected by changes in interest rates, including recent increases in interest
rates. Although senior secured loans are generally floating rate instruments, the Company’s investments in senior secured loans
through investments in junior equity and debt tranches of CLOs are sensitive to interest rate levels and volatility. For example, because
CLO debt securities are floating rate securities, a reduction in interest rates would generally result in a reduction in the coupon payment
and cash flow the Company receives on the Company’s CLO debt investments. Further, in the event of a significant rising interest
rate environment and/or economic downturn, loan defaults may increase and result in credit losses that may adversely affect the Company’s
cash flow, fair value of the Company’s assets and operating results. Because CLOs generally issue debt on a floating rate basis,
an increase in the relevant benchmark index will increase the financing costs of CLOs.
Refinancing Risk
If the Company incurs
debt financing and subsequently refinances such debt, the replacement debt may be at a higher cost and on less favorable terms and conditions.
If the Company fails to extend, refinance or replace such debt financings prior to their maturity on commercially reasonable terms, the
Company’s liquidity will be lower than it would have been with the benefit of such financings, which would limit the Company’s
ability to grow, and holders of the Company’s common stock would not benefit from the potential for increased returns on equity
that incurring leverage creates.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
Tax Risk
If the Company fails
to qualify for tax treatment as a RIC under Subchapter M of the Code for any reason, or otherwise becomes subject to corporate income
tax, the resulting corporate taxes (and any related penalties) could substantially reduce the Company’s net assets, the amount of
income available for distributions to the Company’s stockholders, and the amount of income available for payment of the Company’s
other liabilities.
Counterparty
Risk
The Company may be
exposed to counterparty risk, which could make it difficult for the Company or the issuers in which the Company invests to collect on
obligations, thereby resulting in potentially significant losses.
Price Risk
Investors who buy shares
at different times will likely pay different prices.
Global Risks
Due to highly interconnected
global economies and financial markets, the value of the Company’s securities and its underlying investments may go up or down in
response to governmental actions and/or general economic conditions throughout the world. Events such as war, military conflict, acts
of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions,
the spread of infectious illness or other public health threats could also significantly impact the Company and its investments.
Banking Risk
The possibility of
future bank failures poses risks of reduced financial market liquidity at clearing, cash management and other custodial financial institutions.
The failure of banks which hold cash on behalf of the Company, the Company's underlying obligors, the collateral managers of the CLOs
in which the Company invests (or managers of other securitized or pooled vehicles in which the Company invests), or the Company’s
service providers could adversely affect the Company’s ability to pursue its investment strategies and objectives. For example,
if an underlying obligor has a commercial relationship with a bank that has failed or is otherwise distressed, such company may experience
delays or other disruptions in meeting its obligations and consummating business transactions. Additionally, if a collateral manager has
a commercial relationship with a distressed bank, the manager may experience issues conducting its operations or consummating transactions
on behalf of the CLOs it manages, which could negatively affect the performance of such CLOs (and, therefore, the performance of the Company).
| 4. | REVOLVING CREDIT FACILITY |
The
Company may utilize leverage to the extent permitted by the 1940 Act. The Company may obtain leverage using any form of financial leverage
instruments, including funds borrowed from banks or other financial institutions, margin facilities, notes or preferred stock and leverage
attributable to repurchase agreements or similar transactions. Instruments that create leverage are generally considered to be senior
securities under the 1940 Act. The use of leverage creates an opportunity for increased net income and capital appreciation, but also
creates additional risks and expenses which will be borne entirely by common stock holders. The Company’s leverage strategy may
not ultimately be successful.
On
September 24, 2021 the Company entered into a credit agreement, which was amended on September 6, 2022 and September 18, 2023, with BNP
Paribas, as lender, that established a revolving credit facility (the “Revolving Credit Facility”). Pursuant to the terms
of the Revolving Credit Facility, the Company can borrow up to an aggregate principal balance of $25.0 million (the “Commitment
Amount”). The Revolving Credit facility is collateralized by certain investments held by the Company. The Company has granted a
security interest in certain assets to BNP Paribus, as lender. Such borrowings under the Revolving Credit Facility bore interest at 1-month
LIBOR plus a spread under the original credit agreement, and bear interest at Term SOFR plus a spread under the amended credit agreement.
The Company is required to pay a commitment fee on the unused amount.
The
Revolving Credit Facility will mature on the earlier of (i) the termination of the Commitment, as defined by the terms of the Revolving
Credit Facility or (ii) the scheduled maturity date of September 21, 2024. The Company has the option to extend the maturity from time
to time in accordance with the Revolving Credit Facility agreement.
Eagle Point Income Company Inc.
and Subsidiaries
Notes to Consolidated
Schedule of Investments
March 31, 2024
(Unaudited)
For
the three months ended March 31, 2024, the Company had an average outstanding borrowing and average interest rate of approximately $3.2
million and 7.45%, respectively. The interest expense for the three months ended March 31, 2024 on the Revolving Credit Facility was approximately
$0.1 million, inclusive of the unused fee, and is recorded on the Consolidated Statement of Operations. As of March 31, 2024, the Company
had an outstanding borrowing amount of $18.9 million.
See Note 5 “Asset
Coverage” for further discussion on the Company’s calculation of asset coverage with respect to the Revolving Credit Facility.
Under the provisions
of the 1940 Act, the Company is permitted to issue senior securities, including debt securities and preferred stock, and borrow from banks
or other financial institutions, provided that the Company satisfies certain asset coverage requirements.
With respect to senior
securities that are stocks, such as the Preferred Stock, the Company is required to have asset coverage of at least 200%, as measured
at the time of issuance of any such senior securities that are stocks and calculated as the ratio of the Company’s total consolidated
assets, less all liabilities and indebtedness not represented by senior securities, over the aggregate amount of the Company’s outstanding
senior securities representing indebtedness plus the aggregate liquidation preference of any outstanding shares of senior securities that
are stocks.
With respect to senior
securities representing indebtedness, such as the Revolving Credit Facility or any bank borrowings (other than temporary borrowings as
defined under the 1940 Act), the Company is required to have asset coverage of at least 300%, as measured at the time of borrowing and
calculated as the ratio of the Company’s total consolidated assets, less all liabilities and indebtedness not represented by senior
securities, over the aggregate amount of the Company’s outstanding senior securities representing indebtedness.
If the Company’s
asset coverage declines below 300% (or 200%, as applicable), the Company would be prohibited under the 1940 Act from incurring additional
debt or issuing additional preferred stock and from declaring certain distributions to its stockholders. In addition, the terms of the
Revolving Credit Facility require the Company to cure any breach of the applicable asset coverage if the Company fails to maintain the
applicable asset coverage, and the terms of the Preferred Stock require the Company to redeem shares of the Preferred Stock, if such failure
to maintain the applicable asset coverage is not cured by a certain date.
The following table
summarizes the Company’s asset coverage with respect to its Preferred Stock and Revolving Credit Facility as of March 31, 2024,
and as of December 31, 2023:
| | |
As of | | |
As of | |
| | |
March 31, 2024 | | |
December 31, 2023 | |
| Total Assets | |
$ | 289,539,393 | | |
$ | 243,728,043 | |
| Less liabilities and debts not represented by senior securities | |
| (1,797,416 | ) | |
| (1,513,315 | ) |
| Net total assets and liabilities | |
$ | 287,741,977 | | |
$ | 242,214,728 | |
| | |
| | | |
| | |
| Preferred Stock | |
$ | 75,192,450 | | |
$ | 72,353,275 | |
| Revolving Credit Facility | |
| 18,850,000 | | |
| 14,520,000 | |
| | |
$ | 94,042,450 | | |
$ | 86,873,275 | |
| | |
| | | |
| | |
| Asset coverage for preferred stock ⁽¹⁾ | |
| 306 | % | |
| 279 | % |
| Asset coverage for debt securities ⁽²⁾ | |
| 1526 | % | |
| 1668 | % |
⁽¹⁾ Asset coverage of the preferred stock is calculated in accordance with Section 18(h) of the 1940 act, as generally described above.
⁽²⁾ Asset coverage of the debt securities is calculated in accordance with Section 18(h) of the 1940 act, as generally described above.
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