Company(1) | Investment | # of Shares/Par Amount(2) | Fair Value(3) |
Term Loans – 12.0% | |||
Banking – 12.0% | |||
American Capital Bancorp | Subordinated Term Loan, 9.00%, 4/1/2028 | $7,000,000 | $ 6,998,250 |
Equity Bancshares Inc. | Subordinated Term Loan, 7.00%, 6/30/2030 | $5,000,000 | 5,312,500 |
F.N.B.C. of La Grange, Inc. | Subordinated Term Loan, 6.38%, 1/1/2030(4) | $700,000 | 679,000 |
TransPecos Financial Corp. | Senior Term Loan, 9.00%, 10/1/2028 | $4,000,000 | 3,890,000 |
Tulsa Valley Bancshares | Subordinated Term Loan, 6.38%, 12/31/2028(4) | $1,700,000 | 1,649,000 |
Total Term Loans (Cost $18,400,000) | 18,528,750 | ||
Structured Debt Securities – 13.4% | |||
Banking – 13.4% | |||
Community Funding 2018, LLC. | Preferred Shares (Estimated effective yield 9.34%), 144A(5)(6) | $21,260,000 | 18,666,280 |
Preferred Term Securities, Ltd. / Preferred Term Securities, Inc. | Fixed Rate Mezzanine Notes, 9.74%, 9/15/2030, 144A(5) | $557,777 | 557,080 |
U.S. Capital Funding I, Ltd. / U.S Capital Funding I, Corp. | Subordinate Income Note, (Estimated effective yield 17.94%), 5/1/2034, 144A(5) | $4,700,000 | 1,480,500 |
Total Structured Debt Securities (Cost $22,402,069) | 20,703,860 | ||
Regulatory Capital Securities – 85.4% | |||
Banking – 85.4% | |||
Castelo 2021-1 | Credit Linked Note, Castelo 2021-1, 8/15/2037(7)* | €4,200,000 | 4,865,070 |
Citibank, N.A. | Credit Linked Note, Terra X, 9/25/2029(8)* | $10,000,000 | 10,000,000 |
Colonnade 2020-3A | Credit Linked Note, Colonnade 2020-3A, 12/15/2029(9)(10) | $5,000,000 | 5,154,275 |
Colonnade 2021-1 | Credit Linked Note, Colonnade 2021-1, 4/30/2028(9)(11) | $6,000,000 | 6,095,412 |
Deutsche Bank AG CRAFT 2018-2A | Credit Linked Note, Craft 2018-2A, 4/30/2028(12) | $10,099,207 | 10,108,054 |
Deutsche Bank AG CRAFT 2021-1 | Credit Linked Note, Craft 2021-1, 2/21/2031(9)(13) | $3,200,000 | 3,200,000 |
Elvetia 2018-6A | Credit Linked Note, Elvetia 2018-6A, 1/27/2028(14)+ | CHF4,397,180 | 4,674,614 |
Elvetia 2021-1 | Credit Linked Note, Elvetia 2021-1, 10/20/2029(15)+ | CHF2,000,000 | 2,147,111 |
FCT Opale 2021 | Credit Linked Note, FCT Opale 2021, 5/5/2030(16)+ | $4,000,000 | 4,014,098 |
Fondo De Titulizacion Pymes Magdalena 3 | Credit Linked Note, Pymes Magdalena 3 B, 12/20/2052(17)* | €6,331,894 | 7,283,574 |
Goldman Sachs Bank USA | Credit Linked Note, Goldman Sachs Bank USA 2020-1, 9/24/2025(18) | $10,995,000 | 11,214,900 |
Manitoulin USA Ltd. | Guarantee Linked Note, Muskoka 2018-1 C, 9/10/2024(9)(19)* | $4,000,000 | 4,007,600 |
Mespil Securities Inc. | Credit Linked Note, Mespil 2017-1 A, 12/28/2027(20)* | $6,000,000 | 6,016,200 |
Nansa CLO D.A. Co. | Credit Linked Note, Nansa 2018-1, 3/1/2026(21)* | €6,770,390 | 7,624,852 |
NatWest Markets Plc | Credit Linked Note, Nightingale LF 2021-1, 4/1/2028(9)(22)* | £2,000,000 | 2,694,800 |
Company(1) | Investment | # of Shares/Par Amount(2) | Fair Value(3) |
Regulatory Capital Securities (continued) | |||
Banking (continued) | |||
Premium Green PLC 2020-11 | 5 Year Secured Amortizing Floating Rate Note, Premium Green Plc 2020-11, 12/20/2024(23)+ | $5,000,000 | $ 5,075,532 |
Premium Green PLC 2021-3 | 5 Year Secured Amortizing Floating Rate Note, Premium Green Plc 2021-3, 6/29/2026(24)* | €4,100,000 | 4,766,878 |
RESONANCE 5 | Credit Linked Note, Resonance 5, 10/25/2029(25)* | €3,751,763 | 4,375,733 |
Salisbury II Securities 2016 | Credit Linked Note, Salisbury 2016-1 A, 6/16/2027(26)+ | £1,965,740 | 2,575,936 |
Salisbury III Securities 2019 | Credit Linked Note, Salisbury 2019-1 B, 6/16/2027(27)+ | £5,243,916 | 6,975,742 |
Sogelease France | Credit Linked Note, FCT Colisee 2020-1A, 12/20/2023(28)+ | €5,966,461 | 6,970,493 |
Standard Chartered Bank CHAKRA 4 | Credit Linked Note, Chakra 4, 6/26/2027(9)(29)+ | $4,000,000 | 4,000,000 |
Standard Chartered Bank Start XI | Credit Linked Note, Start XI, 6/16/2025(30)+ | $5,000,000 | 4,970,000 |
Syntotta D.A. Co. | Credit Linked Note, Syntotta 1, 11/4/2037(31)* | €2,717,987 | 3,136,574 |
Total Regulatory Capital Securities (Cost $129,552,644) | 131,947,448 | ||
Trust Preferred and Preferred Securities – 13.5% | |||
Banking – 13.5% | |||
Fidelity Federal Bancorp | Fixed Rate Cumulative Perpetual Preferred Stock, Series A, 9% | $4,789,000 | 4,669,275 |
Fidelity Federal Bancorp | Fixed Rate Cumulative Perpetual Preferred Stock, Series B, 9% | $200,000 | 195,000 |
First Marquis Holdings, LLC. | Variable Rate Perpetual Preferred Stock (Estimated effective yield 13.42%)(6)(9) | $6,550 | 7,082,312 |
M&T TPS LLC | Trust Preferred Security, Series 2015-1 9.74%, Note, 9/30/2030, 144A(5) | $1,997,349 | 1,997,349 |
Marshall Holdings Limited | Variable Rate Perpetual Preferred Stock, (Estimated effective yield 10.12%)(9) | $5,000,000 | 4,903,243 |
TriState Capital Holdings | Fixed / Floating Cumulative Perpetual Preferred Stock, 6.75% (TSCAP) | $80,000 | 2,080,800 |
Total Trust Preferred and Preferred Securities (Cost $20,567,869) | 20,927,979 | ||
Exchange Traded Fund – 6.6% | |||
Banking – 6.6% | |||
iShares S&P U.S. Preferred Stock Index Fund | Exchange Traded Fund | 263,845 | 10,239,824 |
Total Exchange Traded Fund (Cost $9,901,903) | 10,239,824 | ||
Total Long-Term Investments (Cost $200,824,485) | 202,347,861 |
Company(1) | Investment | # of Shares/Par Amount(2) | Fair Value(3) |
Money Market Fund – 2.4% | |||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio | Institutional Share Class - Money Market Mutual Fund (MISXX) 0.01% | 3,669,410 | $ 3,669,410 |
Total Money Market Fund (Cost $3,669,410) | 3,669,410 | ||
Total Investments (Cost $204,493,895)(32)(33) — 133.3% | 206,017,271 | ||
Other assets and liabilities, net — (33.3)%(34) | (51,471,988) | ||
Total Net Assets — 100.0% | $154,545,283 |
(1) | We do not "control" and are not an "affiliate" of any of our investments, each as defined in the Investment Company Act (the "1940 Act"). |
(2) | Par Value in USD, GBP, EUR or CHF. |
(3) | Fair Value is determined in good faith in accordance with the Company’s valuation policy and is reviewed and accepted by the Company’s Board of Directors. |
(4) | The estimated effective yield including structuring fees paid annually through maturity of 2030 and 2028, respectively, is 9.60%. |
(5) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. |
(6) | The preferred shares are considered an equity position. Equity investments are entitled to recurring distributions which are generally equal to the remaining cash flow of the payments made by the underlying company’s securities less contractual payments to debt holders and company expenses. The estimated effective yield indicated is based upon a current projection of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon termination. Such projections are periodically reviewed and adjusted as needed. The estimated effective yield may ultimately not be realized. |
(7) | Originating Bank: Santander; Floating rate note: 9.00%; 3M EURIBOR (Floored at 0%) + 9.00% |
(8) | Originating Bank: Citibank, N.A. ; Floating rate note: 7.95%; SOFR + 7.90% |
(9) | Investments determined using significant unobservable inputs (Level 3). The value of such securities is $ 37,137,642 or 24.04% of net assets. |
(10) | Originating Bank: Barclays Bank; Floating rate note: 12.53%; 3M LIBOR + 12.40% |
(11) | Originating Bank: Barclays Bank; Floating rate note: 12.00%; 3M LIBOR + 11.88% |
(12) | Originating Bank: Deutsche Bank; Floating rate note: 10.13%; 3M LIBOR + 10.00% |
(13) | Originating Bank: Deutsche Bank; Floating rate note: 8.62%; 3M LIBOR + 8.50% |
(14) | Originating Bank: Credit Suisse; Floating rate note: 6.99%; 3M CHF LIBOR + 7.75% |
(15) | Originating Bank: Credit Suisse; Floating rate note: 7.25%; 3M CHF LIBOR + 8.00% |
(16) | Originating Bank: Societe Generale; Floating rate note: 7.32%; 3M LIBOR + 7.20% |
(17) | Originating Bank: Santander; Floating rate note: 8.00%; 3M EURIBOR (Floored at 0%) + 8.00% |
(18) | Originating Bank: Goldman Sachs; Floating rate note: 8.44%; SOFR + 8.39% |
(19) | Originating Bank: Bank of Montreal; Floating rate note: 3.91%; 3M LIBOR + 3.80% |
(20) | Originating Bank: Bank of Ireland; Floating rate note: 5.12%; 3M LIBOR + 4.99% |
(21) | Originating Bank: Santander; Floating rate note: 9.40%; 3M EURIBOR (Floored at 0%) + 9.40% |
(22) | Originating Bank: NatWest Markets PLC; Floating rate note: 10.80%; SONIA + 10.75% |
(23) | Originating Bank: Credit Agricole; Floating rate note: 10.93%; 3M LIBOR + 10.80% |
(24) | Originating Bank: Credit Agricole; Floating rate note: 9.06%; 3M EURIBOR + 9.60% |
(25) | Originating Bank: BNP; Floating rate note: 6.94%; 3M EURIBOR + 7.49% |
(26) | Originating Bank: Lloyd’s; Floating rate note: 12.07%; 3M GBP LIBOR + 12.00% |
(27) | Originating Bank: Lloyd’s; Floating rate note: 10.55%; 3M SONIA + 10.50% |
(28) | Originating Bank: Societe Generale; Floating rate note: 9.94%; 3M EURIBOR + 10.49% |
(29) | Originating Bank: Standard Chartered; Floating rate note: 9.28%; 3M LIBOR + 9.15% |
(30) | Originating Bank: Standard Chartered; Floating rate note: 10.05%; SOFR + 10.00% |
(31) | Originating Bank: Santander; Floating rate note: 8.70%; 3M EURIBOR (Floored at 0%) + 8.70% |
(32) | As of September 30, 2021, the tax cost basis of investment securities was $204,493,895. The gross unrealized appreciation over tax cost was $5,080,677 and gross unrealized depreciation under tax cost was $3,557,301. Net unrealized depreciation of tax cost under value was $1,523,376. |
(33) | Cost values reflect accretion of original issue discount or market discount, and amortization of premium. |
(34) | Includes $55,000,000 in bank loans from Texas Capital Bank. |
* | Held in Marshall Holdings Limited II. |
+ | Held in Marshall Holdings Limited III. |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 6,948,925 | CHF | 6,397,180 | 10/15/21 | BNYM | $82,144 |
USD | 40,827,080 | EUR | 34,566,997 | 10/15/21 | BNYM | 775,146 |
USD | 12,746,644 | GBP | 9,209,670 | 10/15/21 | BNYM | 337,294 |
$1,194,584 |
BNYM | Bank of New York Mellon |
CHF | Swiss Franc |
CLO | Collateralized Loan Obligation |
EUR | Euro |
EURIBOR | Euro London Interbank Offered Rate |
GBP | British Pound |
LIBOR | London Interbank Offered Rate |
PLC | Public Limited Company |
S&P | Standards & Poor's |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
Bank Name | Principal Amount | State |
Big Poppy Holdings, Inc. | $9,000,000 | California |
Freeport Bancshares, Inc. | 3,150,000 | Illinois |
Fidelity Federal Bancorp | 8,000,000 | Indiana |
Halbur Bancshares | 3,000,000 | Iowa |
Vintage Bancorp, Inc. | 3,000,000 | Kansas |
Delmar Bancorp | 4,500,000 | Maryland |
First Bancshares | 10,000,000 | Mississippi |
MidWest Regional Bank | 5,000,000 | Missouri |
C & F Financial Corporation | 4,000,000 | Virginia |
Total | $49,650,000 |
TOTAL FAIR VALUE AT 9-30-21 | LEVEL 1 QUOTED PRICE | LEVEL 2 SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | ||||
Term Loans | $18,528,750 | $— | $18,528,750 | $— | |||
Structured Debt Securities | 20,703,860 | — | 20,703,860 | — | |||
Regulatory Capital Securities | 131,947,448 | — | 106,795,361 | 25,152,087 | |||
Trust Preferred and Preferred Securities | 20,927,979 | — | 8,942,424 | 11,985,555 | |||
Exchange Traded Fund | 10,239,824 | 10,239,824 | — | — | |||
Money Market Fund | 3,669,410 | 3,669,410 | — | — | |||
Derivatives: | |||||||
Foreign Currency Contracts | |||||||
Forward Foreign Currency Contracts | 1,194,584 | — | 1,194,584 | — | |||
Total Investments in Securities | $207,211,855 | $13,909,234 | $156,164,979 | $37,137,642 |
REGULATORY CAPITAL SECURITIES | TRUST PREFERRED AND PREFERRED STOCK | TOTAL | |||
Balance at December 31, 2020 | $14,000,400 | $12,245,495 | $26,245,895 | ||
Realized gains including earnings | — | — | — | ||
Unrealized appreciation/(depreciation) on investments | 249,687 | (259,940) | (10,253) | ||
Purchases | 18,063,578 | — | 18,063,578 | ||
Sales | — | — | — | ||
Transfers in | — | — | — | ||
Transfers out | (7,161,578) | — | (7,161,578) | ||
Balance at September 30, 2021 | $25,152,087 | $11,985,555(1) | $37,137,642 |
(1) | Value based on discount for transaction costs. |
FAIR VALUE AT 9-30-21 | VALUATION TECHNIQUES | UNOBSERVABLE INPUTS | ASSUMPTIONS | IMPACT TO VALUATION FROM AN INCREASE TO INPUT | |
Regulatory Capital Securities | $25,152,087 | Broker Quote | — | — | — |
Trust Preferred and Preferred Stock | $11,985,555 | Prior Transaction Analysis | Discount for transaction costs | 3.00% | Increase in unobservable input will Decrease the value. |
$37,137,642 |