Eagle Point Credit Company Inc. & Subsidiaries

Consolidated Schedule of Investments

As of September 30, 2023

(expressed in U.S. dollars)

(Unaudited)

  

Issuer ⁽¹⁾  Investment Description  Acquisition
Date ⁽²⁾
  Principal Amount
/ Shares
   Cost   Fair Value ⁽³⁾   % of Net
Assets
 
Investments at fair value ⁽⁴⁾                         
CLO Debt ⁽⁵⁾                         
Structured Finance                         
1988 CLO 1 Ltd.  Secured Note - Class E, 13.36% (3M SOFR + 8.05%, due 10/15/2037)  09/23/22  $1,057,250   $959,350   $1,049,215   0.16%
1988 CLO 2 Ltd.  Secured Note - Class E, 13.09% (3M SOFR + 8.27%, due 04/15/2038)  02/08/23   1,714,550    1,599,063    1,714,893   0.26%
AGL CLO 13 Ltd.  Secured Note - Class E, 12.09% (3M SOFR + 6.76%, due 10/20/2034)  06/14/23   2,500,000    2,223,621    2,398,500   0.36%
AGL CLO 5 Ltd.  Secured Note - Class E-R, 12.04% (3M SOFR + 6.71%, due 07/20/2034)  08/22/23   10,050,000    9,566,553    9,531,420   1.42%
Allegany Park CLO, Ltd.  Secured Note - Class ER, 11.73% (3M SOFR + 6.40%, due 01/20/2035)  06/28/23   6,000,000    5,410,079    5,634,600   0.84%
AMMC CLO 24, Limited  Secured Note - Class E, 12.16% (3M SOFR + 6.83%, due 01/20/2035)  08/01/23   1,000,000    939,319    940,900   0.14%
Ares XXXVII CLO Ltd.  Secured Note - Class DR, 11.72% (3M SOFR + 6.41%, due 10/15/2030)  09/12/23   1,450,000    1,324,070    1,323,705   0.20%
Assurant CLO I Ltd.  Secured Note - Class ER, 12.79% (3M SOFR + 7.46%, due 10/20/2034)  09/19/23   2,000,000    1,840,395    1,826,400   0.27%
Bain Capital Credit CLO 2019-3, Limited  Secured Note - Class ER, 12.70% (3M SOFR + 7.36%, due 10/21/2034)  06/06/23   5,800,000    5,034,949    5,392,260   0.80%
Bain Capital Credit CLO 2021-1, Limited  Secured Note - Class E, 12.07% (3M SOFR + 6.76%, due 04/18/2034)  06/08/23   5,600,000    4,991,761    5,192,880   0.77%
Barings CLO Ltd. 2019-III  Secured Note - Class E-R, 12.29% (3M SOFR + 6.96%, due 04/20/2031)  06/06/23   4,500,000    3,989,499    4,349,250   0.65%
Barings CLO Ltd. 2022-I  Secured Note - Class E, 12.32% (3M SOFR + 7.00%, due 04/15/2035)  03/18/22   4,450,000    4,110,466    3,975,185   0.59%
Barings CLO Ltd. 2022-II  Secured Note - Class E, 13.15% (3M SOFR + 7.84%, due 07/15/2035)  06/21/22   1,080,000    1,069,823    1,054,188   0.16%
Battalion CLO XXI Ltd.  Secured Note - Class E, 12.03% (3M SOFR + 6.72%, due 07/15/2034)  06/27/23   1,500,000    1,204,081    1,237,500   0.18%
Carlyle US CLO 2021-1, Ltd.  Secured Note - Class D, 11.57% (3M SOFR + 6.26%, due 04/15/2034)  02/02/21   1,250,000    1,239,643    1,175,750   0.18%
Carlyle US CLO 2021-5, Ltd.  Secured Note - Class E, 11.84% (3M SOFR + 6.51%, due 07/20/2034)  08/18/23   1,675,000    1,604,414    1,594,098   0.24%
Carlyle US CLO 2022-1, Ltd.  Secured Note - Class D, 8.71% (3M SOFR + 3.40%, due 04/15/2035)  03/15/22   850,000    848,725    814,130   0.12%
CarVal CLO II Ltd.  Secured Note - Class E-R, 12.16% (3M SOFR + 6.83%, due 04/20/2032)  09/06/23   2,350,000    2,231,460    2,214,170   0.33%
CIFC Funding 2015-III, Ltd.  Secured Note - Class F-R, 12.38% (3M SOFR + 7.06%, due 04/19/2029)  02/23/18   2,450,000    2,406,201    1,916,390   0.29%
CIFC Funding 2017-III, Ltd.  Secured Note - Class D, 11.59% (3M SOFR + 6.26%, due 07/20/2030)  09/18/23   2,000,000    1,859,141    1,845,800   0.27%
CIFC Funding 2022-I, Ltd.  Secured Note - Class E, 11.71% (3M SOFR + 6.40%, due 04/17/2035)  01/27/22   1,700,000    1,700,000    1,636,590   0.24%
Dryden 53 CLO, Ltd.  Secured Note - Class F, 13.07% (3M SOFR + 7.76%, due 01/15/2031)  11/28/17   1,095,000    1,060,823    851,472   0.13%
Dryden 75 CLO, Ltd.  Secured Note - Class E-R2, 12.17% (3M SOFR + 6.86%, due 04/15/2034)  05/30/23   3,200,000    2,768,876    2,892,160   0.43%
Flagship CLO VIII, Ltd.  Secured Note - Class F-R, 11.41% (3M LIBOR + 5.84%, due 01/16/2026)  01/18/18   2,945,530    -    295   0.00%
Halcyon Loan Advisors Funding 2018-1 Ltd.  Secured Note - Class A-2, 7.39% (3M SOFR + 2.06%, due 07/21/2031)  10/21/21   10,955,000    10,923,458    10,789,580   1.61%
HarbourView CLO VII-R, Ltd.  Secured Note - Class F, 13.84% (3M SOFR + 8.53%, due 07/18/2031) ⁽⁶⁾  05/17/18   839,857    808,267    114,556   0.02%
HPS Loan Management 12-2018, Ltd.  Secured Note - Class C, 8.32% (3M SOFR + 3.01%, due 07/18/2031)  03/13/23   1,800,000    1,622,339    1,734,300   0.26%
HPS Loan Management 12-2018, Ltd.  Secured Note - Class D, 10.72% (3M SOFR + 5.41%, due 07/18/2031)  06/21/23   550,000    467,326    506,110   0.08%
KKR CLO 17 Ltd.  Secured Note - Class E-R, 12.96% (3M SOFR + 7.65%, due 04/15/2034)  09/07/23   3,900,000    3,655,396    3,650,400   0.54%
KKR CLO 24 Ltd.  Secured Note - Class E, 11.97% (3M SOFR + 6.64%, due 04/20/2032)  06/22/23   1,400,000    1,246,883    1,311,660   0.20%
KKR CLO 28 Ltd.  Secured Note - Class E, 12.17% (3M LIBOR + 6.76%, due 03/15/2031)  07/13/23   550,000    510,172    531,025   0.08%
Marathon CLO VII Ltd.  Secured Note - Class D, 11.03% (3M SOFR + 5.66%, due 10/28/2025) ⁽⁶⁾  02/08/18   3,217,083    1,129,880    1,879,742   0.28%
Marathon CLO VIII Ltd.  Secured Note - Class D-R, 12.01% (3M SOFR + 6.70%, due 10/18/2031)  08/14/18   4,150,000    4,091,685    2,701,650   0.40%
Marathon CLO XI Ltd.  Secured Note - Class D, 11.09% (3M SOFR + 5.76%, due 04/20/2031)  02/06/18   1,650,000    1,650,000    1,126,125   0.17%
Neuberger Berman Loan Advisers CLO 31, Ltd.  Secured Note - Class ER, 12.09% (3M SOFR + 6.76%, due 04/20/2031)  06/08/23   2,000,000    1,810,942    1,898,200   0.28%
Neuberger Berman Loan Advisers CLO 33, Ltd.  Secured Note - Class ER, 11.82% (3M SOFR + 6.51%, due 10/16/2033)  07/27/23   1,000,000    937,270    948,000   0.14%
Octagon 59, Ltd.  Secured Note - Class E, 12.96% (3M SOFR + 7.60%, due 05/15/2035)  06/12/23   3,375,000    3,105,168    3,164,400   0.47%
Octagon Investment Partners XXI, Ltd.  Secured Note - Class DRR, 12.63% (3M SOFR + 7.26%, due 02/14/2031)  06/06/23   825,000    698,297    763,373   0.11%
Octagon Investment Partners 27, Ltd.  Secured Note - Class F-R, 13.42% (3M SOFR + 8.11%, due 07/15/2030)  07/05/18   900,000    855,964    627,660   0.09%
Octagon Investment Partners 43, Ltd.  Secured Note - Class E, 12.21% (3M SOFR + 6.86%, due 10/25/2032)  06/26/23   3,325,000    3,012,605    3,100,230   0.46%
Octagon Investment Partners 44, Ltd.  Secured Note - Class E-R, 12.32% (3M SOFR + 7.01%, due 10/15/2034)  08/27/21   762,500    762,500    637,298   0.09%
OZLM XXII, Ltd.  Secured Note - Class D, 10.87% (3M SOFR + 5.56%, due 01/17/2031)  02/05/18   900,000    897,897    741,960   0.11%
Regatta X Funding Ltd.  Secured Note - Class D, 8.32% (3M SOFR + 3.01%, due 01/17/2031)  06/02/22   1,850,000    1,781,383    1,782,845   0.27%
RR 3 Ltd.  Secured Note - Class C-R2, 8.07% (3M SOFR + 2.76%, due 01/15/2030)  10/27/21   875,000    867,281    837,200   0.12%
RR 4 Ltd.  Secured Note - Class D, 11.42% (3M SOFR + 6.11%, due 04/15/2030)  08/04/23   8,750,000    7,977,889    7,998,375   1.19%
RR 6 Ltd.  Secured Note - Class DR, 11.42% (3M SOFR + 6.11%, due 04/15/2036)  06/26/23   2,875,000    2,486,364    2,642,125   0.39%
Signal Peak CLO 5, Ltd.  Secured Note - Class D, 8.26% (3M SOFR + 2.91%, due 04/25/2031)  10/28/21   2,300,000    2,282,237    2,216,280   0.33%
Steele Creek CLO 2019-1, Ltd.  Secured Note - Class E, 12.58% (3M SOFR + 7.27%, due 04/15/2032)  03/22/19   3,091,000    2,977,444    2,597,058   0.39%
TICP CLO VII, Ltd.  Secured Note - Class ER, 12.62% (3M SOFR + 7.31%, due 04/15/2033)  09/06/23   3,400,000    3,274,376    3,263,660   0.49%
Wind River 2019-2 CLO Ltd.  Secured Note - Class E-R, 12.31% (3M SOFR + 7.00%, due 01/15/2035)  02/04/22   1,912,500    1,805,111    1,689,120   0.25%
               121,620,446    119,814,683   17.85%
CLO Equity ⁽⁷⁾ ⁽⁸⁾                         
Structured Finance                         
1988 CLO 1 Ltd.  Income Note (effective yield 9.47%, maturity 10/15/2037) ⁽¹⁰⁾  09/23/22   7,876,000    5,794,652    5,022,500   0.75%
1988 CLO 2 Ltd.  Income Note (effective yield 7.70%, maturity 04/15/2038) ⁽¹⁰⁾  02/08/23   9,334,000    7,107,934    6,347,022   0.95%
1988 CLO 3 Ltd.  Income Note (effective yield 10.80%, maturity 10/15/2038) ⁽¹⁰⁾  09/12/23   9,267,000    7,099,398    7,099,398   1.06%
ALM VIII, Ltd.  Preferred Share (effective yield 0.00%, maturity 10/20/2028) ⁽⁹⁾  06/02/16   8,725,000    -    17,450   0.00%
Anchorage Credit Funding 12, Ltd.  Income Note (effective yield 15.50%, maturity 10/25/2038)  09/04/20   9,250,000    6,854,009    4,439,482   0.66%
Anchorage Credit Funding 13, Ltd.  Subordinated Note (effective yield 13.42%, maturity 07/27/2039)  05/25/21   1,200,000    1,123,556    766,514   0.11%
Ares XXXIV CLO Ltd.  Subordinated Note (effective yield 14.69%, maturity 04/17/2033)  09/16/20   18,075,000    7,195,179    5,037,144   0.75%
Ares XLI CLO Ltd.  Income Note (effective yield 13.67%, maturity 04/15/2034) ⁽¹⁰⁾  11/29/16   29,388,000    14,787,214    10,803,912   1.61%
Ares XLIII CLO Ltd.  Income Note (effective yield 11.21%, maturity 10/15/2029) ⁽¹⁰⁾  04/04/17   30,850,000    15,735,708    10,490,512   1.56%
Ares XLIII CLO Ltd.  Subordinated Note (effective yield 11.21%, maturity 10/15/2029)  11/10/21   1,505,000    708,991    452,480   0.07%
Ares XLIV CLO Ltd.  Subordinated Note (effective yield 11.57%, maturity 04/15/2034)  10/06/21   10,000,000    4,003,137    2,906,448   0.43%
Ares XLVII CLO Ltd.  Subordinated Note (effective yield 9.63%, maturity 04/15/2030)  10/22/20   8,500,000    3,873,192    2,389,129   0.36%
Ares LI CLO Ltd.  Income Note (effective yield 14.61%, maturity 07/15/2034) ⁽¹⁰⁾  01/25/19   13,353,849    8,767,605    6,477,380   0.96%
Ares LVIII CLO Ltd.  Subordinated Note (effective yield 15.16%, maturity 01/15/2035)  08/17/21   6,175,000    4,395,893    3,484,074   0.52%
Ares LXIV CLO Ltd.  Subordinated Note (effective yield 19.47%, maturity 04/15/2035)  01/26/23   15,875,000    12,440,793    11,430,606   1.70%
Bain Capital Credit CLO 2021-1, Limited  Subordinated Note (effective yield 16.62%, maturity 04/18/2034)  04/29/21   9,100,000    7,075,438    5,495,774   0.82%
Bain Capital Credit CLO 2021-7, Limited  Subordinated Note (effective yield 27.70%, maturity 01/22/2035)  09/05/23   5,050,000    3,162,563    3,283,903   0.49%
Bardin Hill CLO 2021-2 Ltd.  Subordinated Note (effective yield 25.07%, maturity 10/25/2034) ⁽¹⁰⁾  09/24/21   1,500,000    1,055,569    964,606   0.14%
Barings CLO Ltd. 2018-I  Income Note (effective yield 4.21%, maturity 04/15/2031) ⁽¹⁰⁾  02/23/18   20,808,000    10,351,840    6,194,637   0.92%
Barings CLO Ltd. 2019-I  Income Note (effective yield 18.87%, maturity 04/15/2035) ⁽¹⁰⁾  02/12/19   13,085,000    9,029,738    8,034,649   1.20%
Barings CLO Ltd. 2019-II  Income Note (effective yield 16.53%, maturity 04/15/2036) ⁽¹⁰⁾  03/15/19   16,150,000    10,153,757    8,659,784   1.29%
Barings CLO Ltd. 2020-I  Income Note (effective yield 33.76%, maturity 10/15/2036) ⁽¹⁰⁾  09/04/20   5,550,000    2,814,296    3,751,868   0.56%
Barings CLO Ltd. 2021-II  Subordinated Note (effective yield 20.57%, maturity 07/15/2034)  09/07/22   9,250,000    6,941,858    6,750,524   1.01%
Barings CLO Ltd. 2021-III  Subordinated Note (effective yield 15.76%, maturity 01/18/2035)  11/17/21   2,000,000    1,529,449    1,233,954   0.18%
Barings CLO Ltd. 2022-I  Income Note (effective yield 23.13%, maturity 04/15/2035) ⁽¹⁰⁾  03/18/22   7,500,000    5,777,939    5,720,207   0.85%
Barings CLO Ltd. 2022-II  Income Note (effective yield 34.28%, maturity 07/15/2072) ⁽¹⁰⁾  06/21/22   10,800,000    4,065,747    5,590,214   0.83%
Basswood Park CLO, Ltd.  Subordinated Note (effective yield 13.51%, maturity 04/20/2034)  08/17/21   4,750,000    3,937,790    3,225,321   0.48%
Battalion CLO IX Ltd.  Income Note (effective yield 5.66%, maturity 07/15/2031) ⁽¹⁰⁾  07/09/15   18,734,935    9,404,847    6,160,088   0.92%
Battalion CLO 18 Ltd.  Income Note (effective yield 34.54%, maturity 10/15/2036) ⁽¹⁰⁾  08/25/20   8,400,000    4,529,900    5,153,960   0.77%

 

See accompanying notes to the consolidated schedule of investments

  

1

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Consolidated Schedule of Investments

As of September 30, 2023

(expressed in U.S. dollars)

(Unaudited)

 

Issuer ⁽¹⁾  Investment Description  Acquisition
Date ⁽²⁾
  Principal Amount
/ Shares
   Cost   Fair Value ⁽³⁾   % of Net
Assets
 
CLO Equity ⁽⁷⁾ ⁽⁸⁾ (continued)                         
Structured Finance (continued)                         
Battalion CLO XIX Ltd.  Income Note (effective yield 27.33%, maturity 04/15/2034) ⁽¹⁰⁾  03/11/21  $8,600,000   $4,838,824   $4,758,585   0.71%
Battalion CLO XXIII Ltd.  Income Note (effective yield 24.65%, maturity 07/15/2036) ⁽¹⁰⁾  05/19/22   8,800,000    6,357,110    5,314,380   0.79%
BBAM European CLO II DAC  Subordinated Note (effective yield 28.21%, maturity 10/15/2034) ⁽¹⁰⁾ ⁽¹²⁾  11/05/21   1,000,000    1,170,803    1,076,811   0.16%
Bear Mountain Park CLO, Ltd.  Income Note (effective yield 18.22%, maturity 07/15/2035) ⁽¹⁰⁾  07/13/22   12,875,000    10,599,457    10,541,790   1.57%
Bethpage Park CLO, Ltd.  Income Note (effective yield 14.75%, maturity 10/15/2036) ⁽¹⁰⁾  09/24/21   14,750,000    9,244,521    7,900,157   1.18%
BlueMountain CLO 2013-2 Ltd.  Subordinated Note (effective yield 0.00%, maturity 10/22/2030) ⁽¹¹⁾  10/21/14   23,000,000    5,897,833    1,380,000   0.21%
BlueMountain CLO 2018-1 Ltd.  Subordinated Note (effective yield 23.35%, maturity 07/30/2030)  03/26/20   5,550,000    1,043,805    739,120   0.11%
BlueMountain CLO XXIII Ltd.  Subordinated Note (effective yield 11.65%, maturity 10/20/2031)  02/24/21   6,340,000    3,936,571    2,512,924   0.37%
BlueMountain CLO XXIV Ltd.  Subordinated Note (effective yield 30.72%, maturity 04/20/2034)  06/16/20   7,375,000    3,929,639    4,050,763   0.60%
BlueMountain CLO XXV Ltd.  Subordinated Note (effective yield 27.85%, maturity 07/15/2036)  06/23/20   6,525,000    3,860,815    3,636,676   0.54%
Bristol Park CLO, Ltd.  Income Note (effective yield 0.00%, maturity 04/15/2029) ⁽¹⁰⁾ ⁽¹¹⁾  11/01/16   34,250,000    14,385,513    6,917,567   1.03%
Carlyle Global Market Strategies CLO 2014-5, Ltd.  Subordinated Note (effective yield 1.00%, maturity 07/15/2031)  06/02/16   10,800,000    2,669,972    1,701,219   0.25%
Carlyle US CLO 2017-4, Ltd.  Income Note (effective yield 0.00%, maturity 01/15/2030) ⁽¹¹⁾  10/13/17   9,000,000    4,076,947    2,070,000   0.31%
Carlyle US CLO 2018-1, Ltd.  Subordinated Note (effective yield 3.96%, maturity 04/20/2031)  03/23/21   4,730,000    2,143,452    1,213,317   0.18%
Carlyle US CLO 2018-4, Ltd.  Subordinated Note (effective yield 10.47%, maturity 01/20/2031)  02/18/21   6,625,000    4,147,182    2,898,960   0.43%
Carlyle US CLO 2019-4, Ltd.  Subordinated Note (effective yield 22.09%, maturity 04/15/2035) ⁽¹⁰⁾  04/13/21   7,005,000    5,271,370    5,099,971   0.76%
Carlyle US CLO 2021-1, Ltd.  Income Note (effective yield 23.74%, maturity 04/15/2034) ⁽¹⁰⁾  02/02/21   13,425,000    7,216,431    7,310,749   1.09%
Carlyle US CLO 2021-4, Ltd.  Subordinated Note (effective yield 16.23%, maturity 04/20/2034)  11/17/21   11,475,000    9,751,351    8,542,140   1.27%
Carlyle US CLO 2021-7, Ltd.  Income Note (effective yield 20.27%, maturity 10/15/2035) ⁽¹⁰⁾  08/11/21   10,400,000    7,377,086    6,959,432   1.04%
Carlyle US CLO 2022-1, Ltd.  Income Note (effective yield 22.39%, maturity 04/15/2035) ⁽¹⁰⁾  03/15/22   8,150,000    5,913,980    5,863,852   0.87%
Carlyle US CLO 2023-3, Ltd.  Income Note (effective yield 12.37%, maturity 10/15/2036) ⁽¹⁰⁾  07/06/23   9,400,000    7,267,027    6,540,468   0.97%
CIFC Funding 2013-II, Ltd.  Income Note (effective yield 4.94%, maturity 10/18/2030) ⁽¹⁰⁾  06/06/14   17,265,625    4,039,087    2,643,617   0.39%
CIFC Funding 2014, Ltd.  Income Note (effective yield 4.28%, maturity 01/18/2031) ⁽¹⁰⁾  06/06/14   16,033,750    4,537,827    2,885,252   0.43%
CIFC Funding 2014-III, Ltd.  Income Note (effective yield 5.31%, maturity 10/22/2031)  02/17/15   19,725,000    6,098,762    3,884,883   0.58%
CIFC Funding 2014-IV-R, Ltd.  Income Note (effective yield 15.35%, maturity 01/17/2035)  08/05/14   8,457,500    3,297,523    2,511,456   0.37%
CIFC Funding 2015-III, Ltd.  Income Note (effective yield 0.00%, maturity 04/19/2029) ⁽¹⁰⁾ ⁽¹¹⁾  06/23/15   9,724,324    2,199,255    1,099,851   0.16%
CIFC Funding 2019-III, Ltd.  Subordinated Note (effective yield 20.44%, maturity 10/16/2034)  04/18/19   2,875,000    2,126,270    2,133,854   0.32%
CIFC Funding 2019-IV, Ltd.  Income Note (effective yield 18.28%, maturity 10/15/2036) ⁽¹⁰⁾  06/07/19   14,000,000    10,158,582    9,327,405   1.39%
CIFC Funding 2019-V, Ltd.  Subordinated Note (effective yield 20.60%, maturity 01/15/2035)  02/07/23   12,975,000    9,560,374    9,566,252   1.42%
CIFC Funding 2020-I, Ltd.  Income Note (effective yield 33.82%, maturity 07/15/2032) ⁽¹⁰⁾  06/12/20   9,400,000    5,019,431    6,552,582   0.98%
CIFC Funding 2020-II, Ltd.  Subordinated Note (effective yield 22.11%, maturity 10/20/2034)  02/07/23   5,500,000    4,105,600    4,344,992   0.65%
CIFC Funding 2020-IV, Ltd.  Income Note (effective yield 22.23%, maturity 01/15/2034) ⁽¹⁰⁾  12/11/20   7,900,000    5,632,248    5,599,904   0.83%
CIFC Funding 2021-III, Ltd.  Income Note (effective yield 21.07%, maturity 07/15/2036) ⁽¹⁰⁾  04/23/21   17,275,000    10,305,793    10,220,333   1.52%
CIFC Funding 2021-VI, Ltd.  Income Note (effective yield 20.11%, maturity 10/15/2034) ⁽¹⁰⁾  09/22/21   12,200,000    9,144,013    8,362,597   1.25%
CIFC Funding 2022-I, Ltd.  Income Note (effective yield 20.72%, maturity 04/17/2037) ⁽¹⁰⁾  01/27/22   12,950,000    10,203,287    10,230,839   1.52%
CIFC Funding 2022-VI, Ltd.  Income Note (effective yield 16.23%, maturity 07/16/2035) ⁽¹⁰⁾  08/01/22   10,700,000    8,573,324    7,648,608   1.14%
CIFC Funding 2023-I, Ltd.  Income Note (effective yield 20.80%, maturity 10/15/2037) ⁽¹⁰⁾  09/14/23   11,550,000    9,240,446    9,240,446   1.38%
Cutwater 2015-I, Ltd.  Income Note (effective yield 0.00%, maturity 01/15/2029) ⁽¹⁰⁾ ⁽¹¹⁾  05/01/15   31,100,000    8,333,967    1,590,411   0.24%
Dewolf Park CLO, Ltd.  Income Note (effective yield 0.00%, maturity 10/15/2030) ⁽¹⁰⁾ ⁽¹¹⁾  08/10/17   7,700,000    3,911,273    2,317,849   0.35%
Dryden 53 CLO, Ltd.  Income Note (effective yield 0.00%, maturity 01/15/2031) ⁽¹¹⁾  11/28/17   7,684,999    3,096,496    1,613,850   0.24%
Dryden 64 CLO, Ltd.  Subordinated Note (effective yield 10.34%, maturity 04/18/2031)  05/11/20   9,600,000    3,328,537    2,140,937   0.32%
Dryden 68 CLO, Ltd.  Income Note (effective yield 15.86%, maturity 07/15/2049) ⁽¹⁰⁾  05/30/19   14,080,000    9,231,423    6,677,753   0.99%
Dryden 85 CLO, Ltd.  Income Note (effective yield 25.51%, maturity 10/15/2049) ⁽¹⁰⁾  09/17/20   8,610,000    6,199,822    5,989,577   0.89%
Dryden 88 Euro CLO 2020 DAC  Subordinated Note (effective yield 13.58%, maturity 07/20/2034) ⁽¹²⁾  04/23/21   600,000    566,264    342,648   0.05%
Dryden 94 CLO, Ltd.  Income Note (effective yield 23.41%, maturity 07/15/2037) ⁽¹⁰⁾  04/28/22   12,200,000    8,823,659    8,325,972   1.24%
Dryden 109 CLO, Ltd.  Subordinated Note (effective yield 22.82%, maturity 04/20/2035)  02/15/23   8,100,000    6,266,892    5,834,420   0.87%
Eaton Vance CLO 2015-1, Ltd.  Subordinated Note (effective yield 5.87%, maturity 01/20/2030)  06/05/20   6,372,500    1,764,320    1,060,608   0.16%
Eaton Vance CLO 2020-1, Ltd.  Subordinated Note (effective yield 20.86%, maturity 10/15/2034)  08/08/23   6,500,000    4,883,125    4,743,989   0.71%
Eaton Vance CLO 2020-2, Ltd.  Subordinated Note (effective yield 22.52%, maturity 01/15/2035)  09/16/22   11,175,000    7,915,421    8,146,525   1.21%
Elmwood CLO 14 Ltd.  Subordinated Note (effective yield 22.23%, maturity 04/20/2035)  06/06/23   7,000,000    5,137,303    5,672,513   0.84%
Elmwood CLO 17 Ltd.  Subordinated Note (effective yield 20.28%, maturity 07/17/2035)  04/25/23   6,550,000    4,934,911    5,376,664   0.80%
Generate CLO 9 Ltd.  Subordinated Note (effective yield 25.92%, maturity 10/20/2034)  04/27/22   11,250,000    8,597,205    9,612,920   1.43%
Greywolf CLO IV, Ltd.  Subordinated Note (effective yield 21.95%, maturity 04/17/2030)  03/26/21   7,520,000    4,179,313    3,521,302   0.52%
HarbourView CLO VII-R, Ltd.  Subordinated Note (effective yield 0.00%, maturity 07/18/2031) ⁽¹¹⁾  09/29/17   1,100,000    399,175    110   0.00%
Kings Park CLO, Ltd.  Subordinated Note (effective yield 27.24%, maturity 01/21/2035)  04/27/23   4,547,500    2,725,098    3,097,965   0.46%
KKR CLO 36 Ltd.  Subordinated Note (effective yield 22.06%, maturity 10/15/2034)  05/03/22   6,000,000    4,599,633    4,542,462   0.68%
Lake Shore MM CLO I Ltd.  Income Note (effective yield 21.41%, maturity 04/15/2033) ⁽¹⁰⁾  03/08/19   14,550,000    9,427,226    6,334,854   0.94%
Madison Park Funding XXI, Ltd.  Subordinated Note (effective yield 28.48%, maturity 10/15/2049)  08/22/16   6,462,500    3,640,788    3,538,979   0.53%
Madison Park Funding XXII, Ltd.  Subordinated Note (effective yield 22.68%, maturity 01/15/2033)  10/30/18   6,327,082    3,746,108    3,315,018   0.49%
Madison Park Funding XXXIV, Ltd.  Subordinated Note (effective yield 26.58%, maturity 04/25/2032)  09/27/22   8,300,000    5,068,396    5,087,870   0.76%
Madison Park Funding XL, Ltd.  Subordinated Note (effective yield 22.95%, maturity 02/28/2047)  06/02/16   16,550,000    5,339,568    4,699,041   0.70%
Madison Park Funding XLIV, Ltd.  Subordinated Note (effective yield 21.74%, maturity 01/23/2048)  11/16/18   8,744,821    4,844,751    4,363,717   0.65%
Madison Park Funding XLVII, Ltd.  Subordinated Note (effective yield 22.79%, maturity 01/19/2034)  04/29/21   2,000,000    1,612,825    1,672,388   0.25%
Madison Park Funding LXII, Ltd.  Subordinated Note (effective yield 20.60%, maturity 07/17/2033)  07/27/23   5,600,000    4,235,000    4,289,350   0.64%
Marathon CLO VI Ltd.  Subordinated Note (effective yield 0.00%, maturity 05/13/2028) ⁽¹¹⁾  06/06/14   6,375,000    191,250    638   0.00%
Marathon CLO VII Ltd.  Subordinated Note (effective yield 0.00%, maturity 10/28/2025) ⁽¹¹⁾  10/30/14   10,526,000    52,630    1,053   0.00%
Marathon CLO VIII Ltd.  Income Note (effective yield 0.00%, maturity 10/18/2031) ⁽¹¹⁾  06/16/15   16,333,000    7,343,630    1,143,310   0.17%
Marathon CLO X Ltd.  Subordinated Note (effective yield 0.00%, maturity 11/15/2029) ⁽¹¹⁾  08/09/17   2,550,000    229,500    153,000   0.02%
Marathon CLO XI Ltd.  Subordinated Note (effective yield 0.00%, maturity 04/20/2031) ⁽¹¹⁾  02/06/18   2,075,000    1,168,387    290,500   0.04%
Marathon CLO XII Ltd.  Subordinated Note (effective yield 0.00%, maturity 04/18/2031) ⁽¹¹⁾  09/06/18   4,500,000    2,251,667    540,000   0.08%
OCP Euro CLO 2019-3 DAC  Subordinated Note (effective yield 21.17%, maturity 04/20/2033) ⁽¹²⁾  05/26/21   1,500,000    1,319,299    1,034,242   0.15%
Octagon Investment Partners XIV, Ltd.  Income Note (effective yield 0.00%, maturity 07/15/2029) ⁽¹⁰⁾ ⁽¹¹⁾  06/06/14   20,572,125    5,138,350    325,124   0.05%
Octagon Investment Partners 26, Ltd.  Income Note (effective yield 5.12%, maturity 07/15/2030) ⁽¹⁰⁾  03/23/16   13,750,000    3,987,250    2,320,469   0.35%
Octagon Investment Partners 27, Ltd.  Income Note (effective yield 8.06%, maturity 07/15/2030) ⁽¹⁰⁾  05/25/16   11,804,048    3,747,948    2,330,086   0.35%
Octagon Investment Partners 29, Ltd.  Subordinated Note (effective yield 10.73%, maturity 01/24/2033)  05/05/21   9,875,000    6,258,201    4,126,231   0.61%
Octagon Investment Partners 37, Ltd.  Subordinated Note (effective yield 4.31%, maturity 07/25/2030)  05/25/21   1,550,000    866,181    489,258   0.07%
Octagon Investment Partners 44, Ltd.  Income Note (effective yield 15.45%, maturity 07/20/2034) ⁽¹⁰⁾  06/19/19   13,500,000    8,987,239    6,436,771   0.96%
Octagon Investment Partners 45, Ltd.  Income Note (effective yield 25.25%, maturity 04/15/2035)  07/27/23   18,155,000    11,437,650    10,825,576   1.61%
Octagon Investment Partners 46, Ltd.  Income Note (effective yield 33.93%, maturity 07/15/2036) ⁽¹⁰⁾  06/26/20   10,650,000    4,740,705    5,004,173   0.75%
Octagon Investment Partners 48, Ltd.  Subordinated Note (effective yield 18.67%, maturity 10/20/2034)  03/25/22   10,000,000    7,923,538    6,627,928   0.99%
Octagon Investment Partners 50, Ltd.  Income Note (effective yield 26.98%, maturity 01/16/2035) ⁽¹⁰⁾  10/06/20   9,250,000    5,199,935    5,007,933   0.75%
Octagon 51, Ltd.  Income B Note (effective yield 17.49%, maturity 07/20/2034)  04/16/21   10,350,000    8,081,289    7,501,415   1.12%
Octagon 55, Ltd.  Subordinated Note (effective yield 14.38%, maturity 07/20/2034)  02/11/22   8,700,000    6,614,255    4,868,331   0.73%

 

See accompanying notes to the consolidated schedule of investments

 

2

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Consolidated Schedule of Investments

As of September 30, 2023

(expressed in U.S. dollars)

(Unaudited)

 

Issuer ⁽¹⁾  Investment Description  Acquisition
Date ⁽²⁾
  Principal Amount
/ Shares
   Cost   Fair Value ⁽³⁾   % of Net
Assets
 
CLO Equity ⁽⁷⁾ ⁽⁸⁾ (continued)                         
Structured Finance (continued)                         
Octagon 58, Ltd.  Income Note (effective yield 22.01%, maturity 07/15/2037) ⁽¹⁰⁾  04/21/22  $14,900,000   $10,676,675   $10,676,341   1.59%
OFSI BSL VIII, Ltd.  Income Note (effective yield 0.00%, maturity 08/16/2037) ⁽¹⁰⁾ ⁽¹¹⁾  07/18/17   7,719,320    3,366,049    632,368   0.09%
Regatta VII Funding Ltd.  Subordinated Note (effective yield 12.36%, maturity 12/20/2028)  10/01/21   6,450,000    2,781,907    1,926,101   0.29%
Regatta VII Funding Ltd.  Class R1A Note (effective yield 52.02%, maturity 06/20/2034)  10/01/21   10,126,500    19,140    23,403   0.00%
Regatta VII Funding Ltd.  Class R2 Note (effective yield 100.99%, maturity 06/20/2034)  10/01/21   10,126,500    113,502    210,425   0.03%
Regatta XX Funding Ltd.  Income Note (effective yield 19.27%, maturity 10/15/2034) ⁽¹⁰⁾  08/04/21   11,000,000    7,279,784    7,054,831   1.05%
Regatta XXI Funding Ltd.  Subordinated Note (effective yield 17.05%, maturity 10/20/2034)  06/10/22   9,000,000    6,501,935    6,274,941   0.93%
Regatta XXII Funding Ltd.  Subordinated Note (effective yield 20.69%, maturity 07/20/2035)  06/20/23   3,000,000    2,146,821    2,438,866   0.36%
Regatta XXIV Funding Ltd.  Subordinated Note (effective yield 19.15%, maturity 01/20/2035)  02/14/23   4,300,000    2,786,807    2,826,018   0.42%
Rockford Tower CLO 2019-1, Ltd.  Subordinated Note (effective yield 22.51%, maturity 04/20/2034)  06/14/21   10,300,000    7,302,797    5,984,742   0.89%
Rockford Tower CLO 2021-3, Ltd.  Subordinated Note (effective yield 17.33%, maturity 10/20/2034)  04/22/22   26,264,625    20,506,987    14,839,259   2.21%
Rockford Tower CLO 2022-3, Ltd.  Subordinated Note (effective yield 23.09%, maturity 01/20/2035)  07/27/23   3,600,000    2,560,500    2,681,534   0.40%
Steele Creek CLO 2018-1, Ltd.  Income Note (effective yield 0.00%, maturity 04/15/2048) ⁽¹⁰⁾ ⁽¹¹⁾  03/28/18   11,370,000    5,263,092    2,102,356   0.31%
Steele Creek CLO 2019-1, Ltd.  Income Note (effective yield 10.63%, maturity 04/15/2049) ⁽¹⁰⁾  03/22/19   8,500,000    5,436,091    2,863,667   0.43%
Taconic Park CLO Ltd.  Subordinated Note (effective yield 0.00%, maturity 01/20/2029) ⁽⁹⁾  01/14/22   10,700,000    66,436    107,000   0.02%
Unity-Peace Park CLO, Ltd.  Subordinated Note (effective yield 20.61%, maturity 04/20/2035)  09/07/23   2,000,000    1,505,000    1,525,247   0.23%
Venture 41 CLO, Limited  Subordinated Note (effective yield 24.54%, maturity 01/20/2034)  11/30/21   3,325,000    2,451,987    2,019,513   0.30%
Wellman Park CLO, Ltd.  Subordinated Note (effective yield 21.39%, maturity 07/15/2034)  09/20/23   10,275,000    7,192,500    7,161,879   1.07%
Wellman Park CLO, Ltd.  Class M-1 Notes (effective yield 19.45%, maturity 07/15/2034)  09/20/23   10,275,000    102,750    80,525   0.01%
Wellman Park CLO, Ltd.  Class M-2 Notes (effective yield 15.49%, maturity 07/15/2034)  09/20/23   10,275,000    256,875    188,015   0.03%
Whetstone Park CLO, Ltd.  Subordinated Note (effective yield 17.67%, maturity 01/20/2035)  05/03/22   10,560,000    8,352,543    7,647,521   1.14%
Wind River 2013-2 CLO Ltd.  Income Note (effective yield 0.00%, maturity 10/18/2030) ⁽¹⁰⁾ ⁽¹¹⁾  06/06/14   11,597,500    4,086,409    1,321,900   0.20%
Wind River 2014-1 CLO Ltd.  Subordinated Note (effective yield 0.00%, maturity 07/18/2031) ⁽¹¹⁾  05/05/16   9,681,764    2,746,491    968,176   0.14%
Wind River 2014-3 CLO Ltd.  Subordinated Note (effective yield 0.00%, maturity 10/22/2031) ⁽¹¹⁾  12/17/14   11,000,000    4,147,085    1,870,000   0.28%
Wind River 2017-1 CLO Ltd.  Income Note (effective yield 17.48%, maturity 04/18/2036) ⁽¹⁰⁾  02/02/17   17,700,000    10,213,399    7,547,240   1.12%
Wind River 2017-3 CLO Ltd.  Income Note (effective yield 15.76%, maturity 04/15/2035) ⁽¹⁰⁾  08/09/17   23,940,000    14,716,573    10,618,558   1.58%
Wind River 2018-1 CLO Ltd.  Income Note (effective yield 11.71%, maturity 07/15/2030) ⁽¹⁰⁾  06/22/18   15,750,000    9,266,859    5,796,292   0.86%
Wind River 2019-2 CLO Ltd.  Income Note (effective yield 25.75%, maturity 01/15/2035) ⁽¹⁰⁾  09/20/19   13,470,000    8,323,841    7,890,795   1.18%
Wind River 2022-2 CLO Ltd.  Income Note (effective yield 27.84%, maturity 07/20/2035) ⁽¹⁰⁾  06/03/22   8,950,000    6,312,478    5,945,679   0.89%
Zais CLO 3, Limited  Income Note (effective yield 0.00%, maturity 07/15/2031) ⁽¹⁰⁾ ⁽¹¹⁾  04/08/15   16,871,644    6,460,267    1,666,410   0.25%
Zais CLO 5, Limited  Subordinated Note (effective yield 0.00%, maturity 10/15/2028) ⁽¹¹⁾  09/23/16   5,950,000    595    595   0.00%
Zais CLO 6, Limited  Subordinated Note (effective yield 0.00%, maturity 07/15/2029) ⁽¹⁰⁾ ⁽¹¹⁾  05/03/17   11,600,000    -    30,157   0.00%
Zais CLO 7, Limited  Income Note (effective yield 0.00%, maturity 04/15/2030) ⁽¹¹⁾  09/11/17   12,777,500    1,278    1,278   0.00%
Zais CLO 8, Limited  Subordinated Note (effective yield 0.00%, maturity 04/15/2029) ⁽¹¹⁾  10/11/18   750,000    75    75   0.00%
Zais CLO 9, Limited  Subordinated Note (effective yield 0.00%, maturity 07/20/2031) ⁽¹¹⁾  10/29/18   3,015,000    1,635,162    431,406   0.06%
               787,987,596    636,954,135   94.84%
Loan Accumulation Facilities ⁽⁷⁾ ⁽¹³⁾                         
Structured Finance                         
Steamboat XXXII Ltd.  Loan Accumulation Facility  11/22/21   5,829,000    5,829,000    5,809,928   0.87%
Steamboat XXXIX Ltd.  Loan Accumulation Facility  04/13/22   4,817,500    4,817,500    4,801,903   0.72%
Steamboat XLII Ltd.  Loan Accumulation Facility  09/06/22   1,372,500    1,372,500    1,389,631   0.21%
Steamboat XLIV Ltd.  Loan Accumulation Facility  03/21/23   4,172,500    4,172,500    4,156,098   0.62%
Steamboat XLV Ltd.  Loan Accumulation Facility  03/14/23   2,735,000    2,735,000    2,740,392   0.41%
               18,926,500    18,897,952   2.83%
Asset Backed Securities ⁽⁵⁾ ⁽⁷⁾                         
Structured Finance                         
Cork Harmony Consumer Loans DAC  Mezzanine Loan, 13.96% (1M EURIBOR + 10.50%, due 07/14/2026) ⁽¹²⁾  07/13/23   7,103,571    7,820,422    7,518,512   1.12%
FCT Alma 2022  Mezzanine Notes, 12.50% (due 08/04/2025) ⁽¹²⁾  08/02/23   14,700,000    15,959,729    15,541,574   2.31%
               23,780,151    23,060,086   3.43%
Bank Debt Term Loan ⁽⁵⁾                         
Consumer Products                         
JP Intermediate B LLC  Term B 1L Senior Secured Loan, 10.77% (3M LIBOR + 5.50%, due 11/20/2025)  03/02/21   502,328    488,383    181,677   0.03%
                          
CFO Debt ⁽⁵⁾ ⁽⁷⁾                         
Structured Finance                         
Glendower Capital Secondaries CFO, LLC  Class B Loan, Delayed Draw, 11.50% (due 07/12/2038) ⁽¹⁴⁾  07/13/23   729,304    708,193    727,809   0.11%
Glendower Capital Secondaries CFO, LLC  Class C Loan, Delayed Draw, 14.50% (due 07/12/2038) ⁽¹⁴⁾  07/13/23   333,947    324,281    333,096   0.05%
               1,032,474    1,060,905   0.16%
CFO Equity ⁽⁷⁾ ⁽⁸⁾                         
Structured Finance                         
Glendower Capital Secondaries CFO, LLC  Subordinated Loan, Delayed Draw (effective yield 44.85%, maturity 07/12/2038) ⁽¹⁴⁾  07/13/23   761,278    761,278    814,195   0.12%
                          
Common Stock                         
Financial Services                         
Delta Financial Holdings LLC  Common Units ⁽⁷⁾  07/19/23   1    1,147    574   0.00%
Delta Leasing SPV III, LLC  Common Equity ⁽⁷⁾  07/19/23   18    18    9   0.00%
Lender MCS Holdings, Inc.  Common Stock  08/12/22   589    -    8,835   0.00%
Senior Credit Corp 2022 LLC  Common Stock ⁽¹⁴⁾  01/30/23   1,713,940    1,713,940    1,954,992   0.29%
                          
Leisure                         
All Day Holdings LLC  Common Stock  08/19/22   560    -    8   0.00%
                          
Oil & Gas                         
McDermott International Ltd  Common Stock  12/31/20   243,875    126,820    45,117   0.01%
               1,841,925    2,009,535   0.30%
Corporate Bonds ⁽⁵⁾                         
Financial Services                         
Delta Leasing SPV III, LLC  Notes, Delayed Draw, 13.00% (due 07/18/2030) ⁽⁷⁾ ⁽¹⁴⁾  07/19/23   2,926,903    2,926,903    2,928,366   0.44%
Senior Credit Corp 2022 LLC  Senior Unsecured, 8.50% (due 12/05/2028) ⁽¹⁴⁾  01/30/23   3,999,194    3,999,194    3,999,194   0.60%
                          
Oil & Gas                         
Energy Ventures Gom LLC / EnVen Finance Corp  Second Lien, 11.75% (due 04/15/2026)  06/15/21   533,000    547,139    553,894   0.08%
               7,473,236    7,481,454   1.12%
Preferred Stock                         
Financial Services                         
Delta Financial Holdings LLC  Preferred Units  07/19/23   252    251,801    251,894   0.04%

 

See accompanying notes to the consolidated schedule of investments

 

3

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Consolidated Schedule of Investments

As of September 30, 2023

(expressed in U.S. dollars)

(Unaudited)

 

Issuer ⁽¹⁾  Investment Description  Acquisition
Date ⁽²⁾
  Principal Amount
/ Shares
   Cost   Fair Value ⁽³⁾   % of Net
Assets
 
Regulatory Capital Relief Securities ⁽⁵⁾ ⁽⁷⁾                         
Structured Finance                         
AASFL 2022-1  Credit Linked Note - Class B, 16.37% (1M EURIBOR + 12.50%, due 12/27/2030) ⁽¹²⁾  11/22/22  $3,100,000   $3,192,845   $3,280,752   0.49%
Autonoria Spain 2022 FT  Note - Class G, 15.87% (1M EURIBOR + 12.00%, due 01/31/2040) ⁽¹²⁾  09/14/22   2,352,040    2,346,983    2,519,866   0.38%
BNP Paribas  Marianne Credit Linked Note, 13.44% (3M EURIBOR + 9.50%, due 10/12/2032) ⁽¹²⁾  09/22/23   1,200,000    1,277,580    1,268,700   0.19%
Boreal Series 2022-2  Guarantee Linked Note - Class F, 18.50% (3M CDOR + 13.00%, due 02/20/2028) ⁽¹⁵⁾  11/30/22   4,550,000    3,382,020    3,343,783   0.50%
CRAFT 2022-1A  Credit Linked Note, 17.05% (CD SOFR + 12.00%, due 04/21/2032)  10/26/22   4,300,000    4,300,000    4,403,200   0.66%
FCT Junon 2023-1  Class A Notes, 13.69% (3M EURIBOR + 9.75%, due 11/08/2033) ⁽¹²⁾  09/26/23   4,800,000    5,074,320    5,074,800   0.76%
LOFT 2022-1A  Note - Class C, 24.17% (CD SOFR + 19.00%, due 02/28/2032)  08/22/22   1,700,000    1,700,000    1,726,350   0.26%
Muskoka Series 2022-1  Guarantee Linked Note - Class F, 15.37% (CD SOFR + 10.25%, due 11/10/2027)  10/12/22   3,800,000    3,800,000    3,751,286   0.56%
PXL 2022-1  Junior Credit Linked Note, 16.85% (3M EURIBOR + 12.875%, due 12/29/2029) ⁽¹²⁾  12/16/22   3,800,000    4,025,340    4,017,550   0.60%
Standard Chartered 7  Note - Class B, 16.05% (CD SOFR + 11.00%, due 04/25/2031)  10/07/22   6,100,000    6,100,000    5,886,500   0.88%
               35,199,088    35,272,787   5.28%
Warrants                         
Oil & Gas                         
Greenfire Resources Ltd  Warrant  09/27/23   2,008    -    -   0.00%
                          
Total investments at fair value as of September 30, 2023          $999,362,878   $845,799,303   126.00%
                          
Liabilities at fair value ⁽¹⁶⁾                         
6.6875% Unsecured Notes due 2028  Unsecured Note     $(32,423,800)  $(32,423,800)  $(30,154,134)  -4.49%
5.375% Unsecured Notes due 2029  Unsecured Note      (93,250,000)   (93,250,000)   (79,216,248)  -11.80%
6.75% Unsecured Notes due 2031  Unsecured Note      (44,850,000)   (44,850,000)   (39,665,340)  -5.91%
6.50% Series C Term Preferred Stock due 2031  Preferred Stock      (54,313,825)   (54,420,689)   (46,340,555)  -6.90%
Total liabiltities at fair value as of September 30, 2023          $(224,944,489)  $(195,376,277)  -29.10%
                          
Net assets above (below) fair value of investments and liabilities at fair value             20,961,667     
                          
Net assets as of September 30, 2023               $671,384,693     

 

(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 it owned 25% or more of its voting securities.
(2)   Acquisition date represents the initial date of purchase or the date the investment was contributed to the Company at the time of the Company's formation.
(3)   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.
(4)   All securities are exempt from registration under the Securities Act of 1933, and are deemed to be “restricted securities”.
(5)   CLO debt, asset backed securities, bank debt term loan, CFO debt, corporate bond, regulatory capital relief security investments reflect interest rates as of the reporting date.
(6)   As of September 30, 2023, the investment includes interest income capitalized as additional investment principal ("PIK" Interest).  The PIK interest rate for CLO debt positions represents the interest rate at payment date when PIK interest is received. See Note 2 "Summary of Significant Accounting Policies" for further discussion.
(7)   Classified as Level III investment.  See Note 3 "Investments" for further discussion.
(8)   CLO equity and CFO subordinated notes 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 September 30, 2023, the Company's weighted average effective yield on its aggregate CLO equity positions, based on current amortized cost, was 16.29%.  When excluding called CLOs, the Company's weighted average effective yield on its CLO equity positions was 16.29%.
(9)   As of September 30, 2023 the investment has been called. Expected value of residual distributions, once received, is anticipated to be recognized as return of capital, pending any remaining amortized cost, and/or realized gain for any amounts received in excess of such amortized cost.
(10)   Fair value includes the Company's interest in fee rebates on CLO subordinated and income notes.
(11)   As of September 30, 2023, the effective yield has been estimated to be 0%. The aggregate projected amount of future recurring distributions and terminal principal payment is less than the amortized investment cost. Future recurring distributions, once received, will be recognized solely as return of capital until the aggregate projected amount of future recurring distributions and terminal principal payment exceeds the amortized  investment cost.
(12)   Investment principal amount is denominated in EUR.
(13)   Loan accumulation facilities are financing structures intended to aggregate loans that may be used to form the basis of a CLO vehicle.
(14)   This investment has an unfunded commitment as of September 30, 2023.
(15)   Investment principal amount is denominated in CAD.
(16)   The Company has accounted for its 6.6875% Notes due 2028, 5.375% Notes due 2029, 6.75% Notes due 2031 and 6.50% Series C Term Preferred Stock due 2031 utilizing the fair value option election under ASC Topic 825.  Accordingly, the aforementioned notes and preferred stock are carried at their fair value.  See Note 2 "Summary of Significant Accounting Policies" for further discussion.
     
    Reference Key:
    CAD  Canadian Dollar
    CD Compounded Daily
    CDOR Canadian Dollar Offered Rate
    EUR Euro
    EURIBOR Euro London Interbank Offered Rate
    LIBOR London Interbank Offered Rate
    SOFR Secured Overnight Financing Rate

 

See accompanying notes to the consolidated schedule of investments

 

4

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

1.ORGANIZATION

  

Eagle Point Credit Company Inc. (the “Company”) is an externally managed, non-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 equity and junior debt tranches of collateralized loan obligations (“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 may also invest in other related securities and instruments or other securities and instruments that Eagle Point Credit Management LLC (the “Adviser”) believes are consistent with the Company’s investment objectives, including senior debt tranches of CLOs, loan accumulation facilities (“LAFs”) and securities and instruments of corporate issuers. From time to time, in connection with the acquisition of CLO equity, the Company may receive fee rebates from the CLO issuer. The CLO securities in which the Company primarily seeks to invest are unrated or rated below investment grade and are considered speculative with respect to timely payment of interest and repayment of principal. The Company’s common stock is listed on the New York Stock Exchange (the “NYSE”) under the symbol “ECC.”

 

As of September 30, 2023, the Company had three wholly-owned subsidiaries: Eagle Point Credit Company Sub (Cayman) Ltd. (“Sub I”), a Cayman Islands exempted company, Eagle Point Credit Company Sub II (Cayman) Ltd (“Sub II”), a Cayman Islands exempted company and Eagle Point Credit Company Sub II (US) LLC (“Sub II US”), a Delaware limited liability company. As of September 30, 2023, Sub I, Sub II and Sub II US represent 49.3%, 3.3% and 0.6% of the Company’s net assets, respectively.

 

The Company was initially formed on March 24, 2014 as Eagle Point Credit Company LLC, a Delaware limited liability company and a wholly-owned subsidiary of Eagle Point Credit Partners Sub Ltd., a Cayman Island exempted company (the “Sole Member”), which, in turn, is a subsidiary of Eagle Point Credit Partners LP, a private fund managed by the Adviser.

 

The Company commenced operations on June 6, 2014, the date the Sole Member contributed, at fair value, a portfolio of cash and securities to the Company.

 

For the period of June 6, 2014 to October 5, 2014, the Company was a wholly-owned subsidiary of the Sole Member. As of October 5, 2014, the Company had 2,500,000 units issued and outstanding, all of which were held by the Sole Member.

 

On October 6, 2014, the Company converted from a Delaware limited liability company into a Delaware corporation (the “Conversion”). At the time of the Conversion, the Sole Member became a stockholder of Eagle Point Credit Company Inc. In connection with the Conversion, the Sole Member converted 2,500,000 units of the Delaware limited liability company into shares of common stock in the Delaware corporation at $20 per share, resulting in 8,656,057 shares and an effective conversion rate of 3.4668 shares per unit. On October 7, 2014, the Company priced its initial public offering (the “IPO”) and sold an additional 5,155,301 shares of its common stock at a public offering price of $20 per share. On October 8, 2014, the Company’s shares began trading on the NYSE.

 

Computershare Trust Company, N.A. serves as the Company’s custodian.

 

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.

 

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”).

 

5

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

  

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

  

Basis of Accounting

The consolidated schedule of investments include the accounts of the Company and its wholly-owned subsidiaries. All intercompany accounts have been eliminated upon consolidation. The Company is considered an investment company under accounting principles generally accepted in the United States of America (“U.S. GAAP”). The Company 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 schedule of investments are measured and presented in United States dollars.

 

Use of Estimates

The preparation of schedule of investments in conformity with U.S. GAAP requires management to make estimates and assumptions which affect the reported amounts included in the consolidated schedule of investments 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 schedule of investments is the valuation of investments. Pursuant to Rule 2a-5 under the 1940 Act, the Board has elected to designate the Adviser as “valuation designee” to perform fair value determinations in respect of the Company’s portfolio investments that do not have readily available market quotations. In the absence of readily available market quotations, as defined by Rule 2a-5 under the 1940 Act, the Adviser determines the fair value of the Company’s investments in accordance with its written valuation policy, subject to Board oversight. 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.

 

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.

 

The Company accounts for its investments in accordance with U.S. GAAP, and fair values its investment portfolio in 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 schedule of investments 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). In accordance with Rule 2a-5 under the 1940 Act adopted by the SEC in December 2020, the Board has designated the Adviser to perform the determination of fair value of the Company’s investment portfolio, subject to Board oversight and certain other conditions.

 

The fair value hierarchy prioritizes and ranks the level of market price observability used in measuring investments at fair value. 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 measured and reported at fair value are classified and disclosed in one of the following categories based on inputs:

 

·Level I – Observable, quoted prices for identical investments in active markets as of the reporting date.

·Level II – Quoted prices for similar investments in active markets or quoted prices for identical investments in markets that are not active as of the reporting date.

 

6

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

·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.

 

Joint Venture (“JV”) investments held by the Company are measured using net asset value (“NAV”) as a practical expedient and are not categorized within the fair value hierarchy.

 

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. For financial reporting purposes, valuations are determined by the Adviser on a quarterly basis.

 

In valuing the Company’s Level II and III investments, the Adviser considers a variety of relevant factors, including, as applicable, price indications from a third-party pricing service, non-binding price indications from brokers, recent trading prices for specific investments, recent purchases and sales known to the Adviser in similar securities. Additionally, in valuing the Company’s CLO investments, the Adviser utilizes output from a third-party financial model, which contains detailed information on the characteristics of CLOs, including recent information about assets and liabilities, to project future cash flows. 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.

 

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.

 

See Note 3 “Investments” for further discussion relating to the Company’s investments.

 

Temporary Equity

The Company’s 6.75% Series D Preferred Stock (the “Series D Preferred Stock”) is accounted for in the Company’s Consolidated Statement of Assets and Liabilities as temporary equity. FASB ASC Topic 480-10-S99, Distinguishing Liabilities from Equity (“ASC 480”), requires preferred stock that is contingently redeemable upon an occurrence of an event outside the Company’s control to be classified as temporary equity. Deferred issuance costs on the Series D Preferred Stock consist of fees and expenses incurred in connection with the issuance net of issuance premiums/(discounts), which are capitalized into temporary equity, and are amortized only when it is probable the Series D Preferred Stock will become redeemable. As of September 30, 2023, the Company is compliant with all contingent redemption provisions of the preferred offering; therefore, no deferred issuance costs have been amortized. The following table reflects Series D Preferred Stock balances as of September 30, 2023:

 

7

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

   Shares Outstanding   Liquidation
Preference
   Deferred Issuance
Costs
   Carrying Value 
Series D Preferred Stock   1,110,993   $27,774,825   $(1,224,351)  $26,550,474 

 

Distributions paid on the Series D Preferred Stock are included in the Consolidated Statement of Operations as a component of net increase (decrease) in net assets resulting from operations.

 

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 the 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 6.6875% Unsecured Notes due 2028 (the “Series 2028 Notes”), the 5.375% Unsecured Notes due 2029 (the “Series 2029 Notes”), 6.75% Unsecured Notes due 2031 (the “Series 2031 Notes” and collectively with the Series 2028 Notes and Series 2029 Notes, the “Unsecured Notes”), and 6.50% Series C Term Preferred Stock due 2031 (the “Series C Term 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, asset backed securities (“ABS”), bank debt term loans, collateralized fund obligation (“CFO”) debt, corporate bonds and regulatory capital relief securities 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, interest income 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, interest receivable is capitalized as additional investment 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.

 

LAFs recognize interest income according to the guidance noted in ASC Topic 325-40-35-1, Beneficial Interest in Securitized Financial Assets, which states that the holder of a beneficial interest in securitized financial assets shall determine interest income over the life of the beneficial interest in accordance with the effective yield

 

8

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

method, provided such amounts are expected to be collected. FASB ASC 325-40-20 further defines “beneficial interests,” among other things, as “rights to receive all or portions of specified cash inflows received by a trust or other entity.” FASB ASC 325-40-15-7 also states that for income recognition purposes, beneficial interests in securitized financial assets (such as those in LAFs) are within the scope of ASC 325-40 because it is customary for certain industries, such as investment companies, to report interest income as a separate item in their income statements even though the investments are accounted for at fair value. The amount of interest income from loan accumulation facilities recorded for the nine months ended September 30, 2023 was $3.8 million.

  

Other Income

Other income includes the Company’s share of income under the terms of fee rebate agreements and commitment fee income.

 

Dividend Income

Dividend income represents dividend income from the Company’s common stock investments.

 

Interest Expense

Interest expense includes the Company’s distributions associated with its 6.50% Series C Term Preferred Stock and interest paid associated with its Unsecured Notes.

 

Interest expense also includes the Company’s amortization of original issue premiums associated with its Series C Term Preferred Stock.

 

The following table summarizes the components of interest expense for the nine months ended September 30, 2023:

 

   Series C Term
Preferred Stock
   Series 2028 Notes   Series 2029 Notes   Series 2031 Notes   Total 
Distributions declared and paid  $2,647,805   $1,626,256   $3,759,141   $2,270,531   $10,303,733 
Amortization of issuance premium   (79,898)   -    -    -    (79,898)
Total interest expense  $2,567,907   $1,626,256   $3,759,141   $2,270,531   $10,223,835 

 

The Company’s Series C Term Preferred Stock and Unsecured Notes had no interest payable outstanding as of September 30, 2023.

 

Original Issue Premiums

Original issue premiums on liabilities consist of premiums received in connection with the issuance of the Series C Term Preferred Stock as part of the Company’s ATM program, consistent with FASB ASC Topic 835-30-35-2. The original issue premiums are capitalized at the time of issuance and amortized using the effective interest method over the term of the Series C Term Preferred Stock. Amortization of original issue premiums is reflected as a contra expense within interest expense in the Consolidated Statement of Operations.

 

Repurchase of Debt Securities

The Company records any gains from the repurchase of the Company’s debt at a discount through open market transactions and subsequent retirement as a realized gain in the Consolidated Statement of Operations.

  

Securities Transactions

The Company records the purchase and sale of securities on 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

 

9

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

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.

 

As of September 30, 2023, the Company held cash in a Computershare Corporate Trust interest earning cash deposit account with a balance of $25.1 million. This account is classified as Level I in the fair value hierarchy.

 

Foreign Currency

The Company does not isolate the portion of its results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market price of such investments. Such fluctuations are included with the net change in unrealized appreciation (depreciation) on investments, foreign currency and cash equivalents. Reported net realized foreign exchange gains or losses may arise from sales of foreign currency, currency gains or losses realized between trade and settlement dates on investment transactions, and the difference between the amounts of dividends and interest income recorded on the Company’s books and the U.S. dollar equivalent of the amounts actually received.

 

Expense Recognition

Expenses are recorded on the accrual basis of accounting.

 

Prepaid Expenses

Prepaid expenses consist primarily of filing fees, shelf registration expenses and ATM program expenses. Prepaid shelf registration expenses and ATM program expenses represent fees and expenses incurred in connection with the initial registration of the Company’s current shelf registration and ATM program. 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 and ATM program. Any subsequent costs incurred to maintain the Company’s ATM program are expensed as incurred.

 

Any unallocated prepaid expense balance associated with the shelf registration and the ATM program 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.

 

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

 

10

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

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 September 30, 2023, the federal income tax cost and net unrealized depreciation on securities were as follows:

 

Cost for federal income tax purposes  $1,028,193,635 
      
Gross unrealized appreciation  $35,426,461 
Gross unrealized depreciation   (217,820,793)
Net unrealized depreciation  $(182,394,332)

 

For the nine months ended September 30, 2023, the Company incurred $80,050 in Delaware franchise tax expense.

 

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 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.

 

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 (or for other purposes).

 

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 by the Company.

 

For the nine months ended September 30, 2023, the Company paid distributions on common stock with record dates during 2023 of $85.1 million or $1.38 per share. In addition, on January 24, 2023, the Company paid a special distribution on common stock to stockholders of record on December 23, 2022 of $27.4 million or $0.50 per share.

  

For the nine months ended September 30, 2023, the Company declared and paid dividends on the Series C Term Preferred Stock of $2.6 million or approximately $1.22 per share of the Series C Term Preferred Stock.

 

For the nine months ended September 30, 2023, the Company declared and paid dividends on the Series D Preferred Stock of $1.4 million or approximately $1.27 per share of the Series D Preferred Stock.

 

11

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

3.INVESTMENTS

 

Fair Value Measurement

 

The following tables summarize 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 September 30, 2023:

  

Fair Value Measurement (in millions)

 

   Level I   Level II   Level III   Investments
measured at
net asset
value
   Total 
Assets at Fair Value                         
Cash Equivalents  $25.1   $-   $-   $-   $25.1 
Investments at Fair Value                         
CLO Debt  $-   $119.8   $-   $-   $119.8 
CLO Equity   -    -    637.0    -    637.0 
Loan Accumulation Facilities   -    -    18.9    -    18.9 
Asset Backed Securities   -    -    23.1    -    23.1 
Bank Debt Term Loan   -    0.2    -    -    0.2 
CFO Debt   -    -    1.1    -    1.1 
CFO Equity   -    -    0.8    -    0.8 
Common Stock   -    0.1    0.0    2.0    2.1 
Corporate Bonds   -    0.6    2.9    4.0    7.5 
Preferred Stock   -    -    0.3    -    0.3 
Regulatory Capital Relief Securities   -    -    35.3    -    35.3 
Warrants   -    -    -    -    - 
Total Investments at Fair Value (1)   $-   $120.6   $719.2   $6.0   $845.8 
Total Assets at Fair Value (1)   $25.1   $120.6   $719.2   $6.0   $870.9 
                          
Liabilities at Fair Value                         
                         
Term Preferred Stock and Unsecured Notes                         
Series 2028 Notes  $30.2   $-   $-   $-   $30.2 
Series 2029 Notes   79.2    -    -    -    79.2 
Series 2031 Notes   39.7    -    -    -    39.7 
Series C Term Preferred Stock   46.3    -    -    -    46.3 
Total Liabilities at Fair Value (1)   $195.4   $-   $-   $-   $195.4 

 

(1) Amounts may not foot due to rounding.

  

Valuation of CLO Equity

The Adviser utilizes the output of a third-party financial model to estimate the fair value of CLO equity investments. The model contains detailed information on the characteristics of each CLO, including recent information about assets and liabilities from data sources such as trustee reports, and is used to project future cash flows to the CLO note tranches, as well as management fees.

 

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 the Company holds as of the reporting date.

 

12

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

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 Loan Accumulation Facilities

The Adviser determines the fair value of LAFs in accordance with FASB ASC Topic 820, Fair Value Measurements and Disclosures, utilizing the income approach as noted in ASC 820-10-55-3F (the “Income Approach”), in which fair value measurement reflects current market expectations about the receipt of future amounts (i.e. exit price). LAFs are typically short- to medium-term in nature and formed to acquire loans on an interim basis that are expected to form part of a specific CLO transaction. Pursuant to LAF governing documents, loans acquired by the LAF are typically required to be transferred to the contemplated CLO transaction at original cost plus accrued interest. In such situations, because the LAF will receive its full cost basis in the underlying loan assets and the accrued interest thereon upon the consummation of the CLO transaction, the Adviser determines the fair value of the LAF as follows: (A) the cost of the Company’s investment (i.e., the principal amount invested), and (B) to the extent the LAF has realized gains (losses) on its underlying loan assets which are reported by the Trustee during the applicable reporting period, its attributable portion of such realized gains (losses).

 

In certain circumstances, the LAF documents can contemplate transferring the underlying loans at a price other than original cost plus accrued interest or the Adviser may determine that, despite the initial expectation that a CLO transaction would result from a LAF, such a transaction is in fact unlikely to occur and, accordingly, it is unlikely the loans held by the LAF will be transferred at cost. Rather, the loans held by the LAF will most likely be sold at market value. In such situations, the Adviser will continue to fair value the LAF consistent with the Income Approach, but modify the fair value measurement to reflect the change in exit strategy of the LAF to incorporate market expectations of the receipt of future amounts (i.e. exit price). As such, the fair value of the LAF is most appropriately determined by reference to the market value of the LAF’s underlying loans, which is reflective of the price at which the LAF could sell its loan assets in an orderly transaction between market participants. As such, in these situations, the Adviser will continue utilizing the Income Approach and determine the fair value of the LAF as follows: (A) the cost of the Company’s investment (i.e., the principal amount invested), (B) the Company’s attributable portion of the unrealized gain (loss) on the LAF’s underlying loan assets, and (C) to the extent the LAF has realized gains (losses) on its underlying loan assets which are reported by the Trustee during the applicable reporting period, its attributable portion of such realized gains (losses). The Adviser’s measure of the Company’s attributable portion of the unrealized gain (loss) on the LAF’s underlying loan assets takes into account the Adviser’s current market expectations of the receipt of future amounts on such assets, which may be impacted by various factors including any applicable change in market conditions or new information.

  

The Adviser categorizes LAFs as Level III investments. There is no active market and prices are unobservable.

 

Valuation of Bank Debt Term Loans, ABS, CFO Debt, CFO Equity, Common Stock, Corporate Bonds, Preferred Stock, Regulatory Capital Relief Securities and Warrants

Bank debt term loans, ABS, CFO debt, CFO equity, common stock, corporate bonds, preferred stock, regulatory capital relief securities and warrants held by the Company are generally valued using the mid-point of an indicative broker quotation, if available, 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. In the absence of broker quotations, investments require the use of unobservable inputs and significant judgement to determine the fair value. For such investments, the Adviser engages a nationally recognized independent valuation agent to determine fair value. The independent valuation agent performs a discounted cash flow analysis, or other valuation technique appropriate for the facts and circumstances, to determine the fair value of such investments, ultimately providing a high and low valuation for each investment.

 

13

 

 

Eagle Point Credit Company Inc. & Subsidiaries

Notes to Consolidated Schedule of Investments

September 30, 2023

(Unaudited)

 

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.

 

Valuation of Joint Venture Investments

JV investments consist of common stock and senior unsecured notes issued by a JV entity. The Company values such investments using NAV as a practical expedient, unless it is probable that the Company will sell a portion of the investment at an amount different than NAV.

 

Valuation of Series 2028 Notes, Series 2029 Notes, Series 2031 Notes and Series C Term Preferred Stock

The Series 2028 Notes, Series 2029 Notes, Series 2031 Notes and Series C Term Preferred Stock are considered Level I securities and are valued at their official closing price, taken from the NYSE.

 

The changes in investments classified as Level III are as follows for the nine months ended September 30, 2023:

 

Change in Investments Classified as Level III (in millions)

 

   CLO Equity   Loan
Accumulation
Facilities
   Asset Backed
Securities
   CFO Debt   CFO Equity 
Balance as of January 1, 2023  $551.1   $25.8   $-   $-   $- 
Purchases of investments   126.3(1)    19.7    23.8    1.1    0.8 
Proceeds from sales or maturity of investments   (61.1)(2)    (26.7)(1)    -    -    - 
Net realized gains (losses) and net change in unrealized appreciation (depreciation)   20.7    0.1    (0.7)   -    - 
Balance as of September 30, 2023 (3) (4)   $637.0   $18.9   $23.1   $1.1   $0.8 
Change in unrealized appreciation (depreciation) on investments still held as of September 30, 2023  $31.1   $(0.0)  $(0.7)  $0.0   $0.1 

 

Change in Investments Classified as Level III (in millions) (continued)

 

   Common Stock   Corporate
Bonds
   Preferred Stock   Regulatory
Capital Relief
Securities
   Total 
Balance as of January 1, 2023  $-   $-   $-   $29.5   $606.4 
Purchases of investments   0.0    2.9    0.3    6.3    181.2 
Proceeds from sales or maturity of investments   -    -    -    (0.4)   (88.2)
Net realized gains (losses) and net change in unrealized appreciation (depreciation)   -    -    -    (0.1)   19.8 
Balance as of September 30, 2023 (3) (4)   $0.0   $2.9