Eagle Point Institutional Income Fund & Subsidiaries
Consolidated Schedule of Investments
As of September 30, 2024
(expressed in U.S. dollars)
(Unaudited)
| Issuer (1) | Investment (2) | Acquisition Date (3) | Principal Amount | Cost | Fair Value (4) | % of Net Assets | ||||||||||||||
| Investments at Fair Value (5) | ||||||||||||||||||||
| CLO Debt (6) | ||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||
| United States | ||||||||||||||||||||
| Tralee CLO VII, Ltd. | Secured Note - Class E, 12.94% (3M SOFR + 7.65%, due 04/25/2034) | 06/02/22 | $ | 550,000 | $ | 494,009 | $ | 539,770 | 0.59 | % | ||||||||||
| Total CLO Debt | 494,009 | 539,770 | 0.59 | % | ||||||||||||||||
| CLO Equity (7) | ||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||
| United States | ||||||||||||||||||||
| Ares LXII CLO Ltd. | Subordinated Note (effective yield 19.25%, maturity 01/25/2034) (8) | 01/18/24 | 4,750,000 | 3,158,488 | 3,077,520 | 3.34 | % | |||||||||||||
| Ares LXIV CLO Ltd. | Subordinated Note (effective yield 17.52%, maturity 04/15/2035) (8) | 01/26/23 | 837,500 | 566,760 | 594,387 | 0.65 | % | |||||||||||||
| Ares LXV CLO Ltd. | Subordinated Note (effective yield 19.87%, maturity 07/25/2034) (8) | 04/16/24 | 1,050,000 | 725,160 | 754,711 | 0.82 | % | |||||||||||||
| Ares LXIX CLO Ltd. | Income Note (effective yield 23.24%, maturity 04/15/2037) (8) (9) | 01/31/24 | 4,850,000 | 3,495,686 | 4,339,903 | 4.71 | % | |||||||||||||
| Ares LXXII CLO Ltd. | Income Note (effective yield 20.75%, maturity 07/15/2036) (8) (9) | 06/21/24 | 4,050,000 | 2,982,779 | 2,940,747 | 3.19 | % | |||||||||||||
| Ares Loan Funding IV, Ltd. | Subordinated Note (effective yield 16.47%, maturity 10/15/2036) (8) | 04/23/24 | 4,925,000 | 3,513,946 | 3,528,461 | 3.83 | % | |||||||||||||
| Bain Capital Credit CLO 2021-2, Limited | Subordinated Note (effective yield 20.35%, maturity 07/16/2034) (8) | 08/09/23 | 4,250,000 | 2,071,426 | 1,879,439 | 2.04 | % | |||||||||||||
| Bain Capital Credit CLO 2021-7, Limited | Subordinated Note (effective yield 17.10%, maturity 01/22/2035) (8) | 09/05/23 | 3,450,000 | 1,986,648 | 1,559,738 | 1.69 | % | |||||||||||||
| Bardot CLO, Ltd. | Subordinated Note (effective yield 33.20%, maturity 10/22/2032) (8) (9) | 11/22/22 | 275,000 | 150,670 | 106,070 | 0.12 | % | |||||||||||||
| Barings CLO Ltd. 2021-II | Subordinated Note (effective yield 15.68%, maturity 07/15/2034) (8) | 09/07/22 | 600,000 | 404,462 | 317,248 | 0.34 | % | |||||||||||||
| Barings CLO Ltd. 2022-II | Income Note (effective yield 34.57%, maturity 07/15/2072) (8) (9) | 06/21/22 | 1,000,000 | 352,464 | 569,639 | 0.62 | % | |||||||||||||
| Barings CLO Ltd. 2024-II | Income Note (effective yield 19.90%, maturity 07/15/2039) (8) (9) | 05/31/24 | 4,300,000 | 2,971,900 | 3,412,129 | 3.70 | % | |||||||||||||
| Battalion CLO XXIII Ltd. | Income Note (effective yield 19.17%, maturity 07/15/2036) (8) (9) | 05/19/22 | 1,225,000 | 609,472 | 555,064 | 0.60 | % | |||||||||||||
| Bear Mountain Park CLO, Ltd. | Income Note (effective yield 29.44%, maturity 07/15/2035) (8) (9) | 07/13/22 | 550,000 | 447,144 | 630,140 | 0.68 | % | |||||||||||||
| Belmont Park CLO, Ltd. | Income Note (effective yield 17.16%, maturity 04/15/2037) (8) (9) | 02/21/24 | 3,450,000 | 2,499,629 | 2,670,426 | 2.90 | % | |||||||||||||
| BlueMountain CLO XXIV Ltd. | Subordinated Note (effective yield 16.38%, maturity 04/20/2034) (8) | 05/31/22 | 750,000 | 445,735 | 316,312 | 0.34 | % | |||||||||||||
| Carlyle US CLO 2021-6 Ltd. | Subordinated Note (effective yield 22.18%, maturity 07/15/2034) (8) | 09/06/24 | 5,000,000 | 2,356,250 | 2,371,467 | 2.57 | % | |||||||||||||
| Carlyle US CLO 2021-10, Ltd. | Subordinated Note (effective yield 14.86%, maturity 10/20/2034) (8) | 08/16/23 | 1,400,000 | 871,042 | 717,603 | 0.78 | % | |||||||||||||
| Carlyle US CLO 2022-2, Ltd. | Subordinated Note (effective yield 16.82%, maturity 04/20/2035) (8) | 08/15/23 | 2,775,000 | 1,919,741 | 1,687,809 | 1.83 | % | |||||||||||||
| Carlyle US CLO 2023-3, Ltd. | Income Note (effective yield 10.90%, maturity 10/15/2036) (8) (9) | 07/06/23 | 1,000,000 | 718,935 | 607,073 | 0.66 | % | |||||||||||||
| CIFC Funding 2019-II Ltd | Subordinated Note (effective yield 19.71%, maturity 04/17/2030) (8) | 09/10/24 | 4,510,000 | 3,214,503 | 3,223,421 | 3.50 | % | |||||||||||||
| CIFC Funding 2019-V, Ltd. | Subordinated Note (effective yield 18.10%, maturity 01/15/2035) (8) | 02/07/23 | 800,000 | 564,203 | 550,579 | 0.60 | % | |||||||||||||
| CIFC Funding 2019-VI Ltd | Subordinated Note (effective yield 16.08%, maturity 01/16/2033) (8) | 09/10/24 | 3,700,000 | 3,033,075 | 3,011,679 | 3.27 | % | |||||||||||||
| CIFC Funding 2020-II, Ltd. | Subordinated Note (effective yield 20.68%, maturity 10/20/2034) (8) | 12/14/22 | 650,000 | 447,564 | 444,402 | 0.48 | % | |||||||||||||
| CIFC Funding 2022-IV, Ltd. | Subordinated Note (effective yield 17.17%, maturity 07/16/2035) (8) | 10/23/23 | 2,400,000 | 1,899,984 | 1,879,610 | 2.04 | % | |||||||||||||
| CIFC Funding 2022-VI, Ltd. | Income Note (effective yield 11.79%, maturity 07/16/2035) (8) (9) | 08/01/22 | 600,000 | 477,226 | 536,650 | 0.58 | % | |||||||||||||
| CIFC Funding 2023-I, Ltd. | Income Note (effective yield 17.16%, maturity 10/15/2037) (8) (9) | 09/14/23 | 4,350,000 | 3,270,264 | 3,533,246 | 3.84 | % | |||||||||||||
| Clover CLO 2019-1 Ltd. | Subordinated Note (effective yield 16.65%, maturity 04/18/2035) (8) | 02/15/24 | 1,831,800 | 1,288,584 | 1,295,898 | 1.41 | % | |||||||||||||
| Clover CLO 2021-2, Ltd. | Subordinated Note (effective yield 21.02%, maturity 07/20/2034) (8) | 08/09/23 | 2,150,000 | 1,403,024 | 1,493,601 | 1.62 | % | |||||||||||||
| Dryden 78 CLO Ltd. | Subordinated Note (effective yield 18.71%, maturity 04/17/2033) (8) | 07/31/24 | 5,950,000 | 2,989,875 | 2,828,818 | 3.07 | % | |||||||||||||
| Dryden 94 CLO, Ltd. | Income Note (effective yield 12.77%, maturity 07/15/2037) (8) (9) | 04/28/22 | 4,775,000 | 2,823,846 | 2,266,322 | 2.46 | % | |||||||||||||
| Dryden 109 CLO, Ltd. | Subordinated Note (effective yield 18.30%, maturity 04/20/2035) (8) | 02/15/23 | 2,550,000 | 1,669,901 | 1,424,370 | 1.55 | % | |||||||||||||
| Eaton Vance CLO 2020-1, Ltd. | Subordinated Note (effective yield 17.19%, maturity 10/15/2034) (8) (9) | 08/08/23 | 2,435,000 | 1,629,196 | 1,709,204 | 1.86 | % | |||||||||||||
| Eaton Vance CLO 2020-2, Ltd. | Subordinated Note (effective yield 16.98%, maturity 01/15/2035) (8) (9) | 09/16/22 | 800,000 | 509,111 | 502,317 | 0.55 | % | |||||||||||||
| Elmwood CLO 14 Ltd. | Subordinated Note (effective yield 16.26%, maturity 04/20/2035) (8) | 06/06/23 | 1,000,000 | 685,818 | 709,082 | 0.77 | % | |||||||||||||
| Elmwood CLO 17 Ltd. | Subordinated Note (effective yield 21.24%, maturity 07/17/2035) (8) | 04/25/23 | 650,000 | 451,951 | 560,066 | 0.61 | % | |||||||||||||
| Elmwood CLO 21 Ltd. | Subordinated Note (effective yield 11.60%, maturity 10/20/2036) (8) | 10/26/23 | 2,900,000 | 1,832,736 | 1,699,433 | 1.85 | % | |||||||||||||
| Generate CLO 3 Ltd. | Subordinated Note (effective yield 14.48%, maturity 10/20/2036) (8) | 04/23/24 | 5,874,000 | 3,338,235 | 2,845,748 | 3.09 | % | |||||||||||||
| Generate CLO 4 Ltd. | Subordinated Note (effective yield 16.58%, maturity 04/20/2032) (8) | 09/24/24 | 1,125,000 | 862,031 | 860,279 | 0.93 | % | |||||||||||||
| Generate CLO 9 Ltd. | Subordinated Note (effective yield 21.21%, maturity 10/20/2034) (8) | 05/31/22 | 600,000 | 433,978 | 427,034 | 0.46 | % | |||||||||||||
| Invesco CLO 2022-2, Ltd. | Subordinated Note (effective yield 20.16%, maturity 07/20/2035) (8) | 08/14/24 | 1,550,000 | 933,875 | 923,800 | 1.00 | % | |||||||||||||
| Invesco CLO 2022-2, Ltd. | Class Y Note (effective yield 20.16%, maturity 07/20/2035) (8) | 08/14/24 | 120,000 | 24,000 | 33,546 | 0.04 | % | |||||||||||||
| Kings Park CLO, Ltd. | Subordinated Note (effective yield 24.92%, maturity 01/21/2035) (8) | 04/27/23 | 925,000 | 532,958 | 605,193 | 0.66 | % | |||||||||||||
| Madison Park Funding XXXIV, Ltd. | Subordinated Note (effective yield 21.09%, maturity 04/25/2048) (8) | 09/27/22 | 850,000 | 478,312 | 494,177 | 0.54 | % | |||||||||||||
| Madison Park Funding LII, Ltd. | Subordinated Note (effective yield 14.36%, maturity 01/22/2035) (8) | 03/13/24 | 4,200,000 | 2,795,273 | 2,320,284 | 2.52 | % | |||||||||||||
| Madison Park Funding LXII, Ltd. | Subordinated Note (effective yield 12.03%, maturity 07/17/2036) (8) | 07/27/23 | 1,300,000 | 950,931 | 796,311 | 0.86 | % | |||||||||||||
| Morgan Stanley Eaton Vance CLO 2023-20, Ltd. | Subordinated Note (effective yield 13.29%, maturity 01/20/2037) (8) | 05/08/24 | 3,780,000 | 2,980,144 | 2,646,527 | 2.87 | % | |||||||||||||
| OCP CLO 2019-17, Ltd. | Preferred Share (effective yield 14.49%, maturity 07/20/2037) (8) | 09/03/24 | 4,940,000 | 2,976,350 | 2,946,488 | 3.20 | % | |||||||||||||
| OCP CLO 2020-20, Ltd. | Subordinated Note (effective yield 14.50%, maturity 04/18/2037) (8) | 04/25/24 | 2,000,000 | 1,523,110 | 1,437,161 | 1.56 | % | |||||||||||||
| OCP CLO 2021-22, Ltd. | Preferred Share (effective yield 12.30%, maturity 12/02/2034) (8) | 05/08/24 | 1,650,000 | 1,204,157 | 1,011,322 | 1.10 | % | |||||||||||||
| OCP CLO 2021-22, Ltd. | Subordinated Note (effective yield 12.30%, maturity 12/02/2034) (8) | 05/08/24 | 1,500,000 | 1,094,688 | 919,384 | 1.00 | % | |||||||||||||
| OCP CLO 2023-30, Ltd. | Subordinated Note (effective yield 12.36%, maturity 01/24/2037) (8) | 05/10/24 | 4,425,000 | 3,448,932 | 3,252,574 | 3.53 | % | |||||||||||||
| Octagon Investment Partners 45, Ltd. | Subordinated Note (effective yield 18.10%, maturity 04/15/2035) (8) | 07/27/23 | 1,600,000 | 901,065 | 751,482 | 0.82 | % | |||||||||||||
| Octagon 58, Ltd. | Income Note (effective yield 17.74%, maturity 07/15/2037) (8) (9) | 04/21/22 | 3,000,000 | 1,987,503 | 1,711,413 | 1.86 | % | |||||||||||||
| Point Au Roche Park CLO, Ltd. | Subordinated Note (effective yield 21.71%, maturity 07/20/2034) (8) | 08/07/23 | 2,275,000 | 1,410,976 | 1,467,884 | 1.59 | % | |||||||||||||
| Regatta XXI Funding Ltd. | Subordinated Note (effective yield 14.96%, maturity 10/20/2034) (8) | 06/10/22 | 650,000 | 440,399 | 397,088 | 0.43 | % | |||||||||||||
| Regatta XXII Funding Ltd. | Subordinated Note (effective yield 20.71%, maturity 07/20/2035) (8) | 06/20/23 | 1,000,000 | 683,566 | 773,855 | 0.84 | % | |||||||||||||
| Regatta XXIV Funding Ltd. | Subordinated Note (effective yield 17.14%, maturity 01/20/2035) (8) | 02/14/23 | 700,000 | 426,171 | 406,339 | 0.44 | % | |||||||||||||
| Rockford Tower CLO 2022-3, Ltd. | Subordinated Note (effective yield 43.08%, maturity 01/20/2035) (8) | 07/27/23 | 1,400,000 | 605,240 | 1,033,195 | 1.12 | % | |||||||||||||
| RR 23 Ltd. | Subordinated Note (effective yield 14.46%, maturity 10/15/2035) (8) | 10/12/23 | 3,250,000 | 1,895,943 | 1,927,129 | 2.09 | % | |||||||||||||
| Shackleton 2019-XIV CLO, Ltd. | Subordinated Note (effective yield 18.00%, maturity 07/20/2034) (8) | 01/24/24 | 3,800,000 | 2,816,260 | 2,603,489 | 2.83 | % | |||||||||||||
| Venture 45 CLO, Ltd. | Subordinated Note (effective yield 22.82%, maturity 07/20/2035) (8) | 09/19/22 | 1,275,000 | 692,828 | 426,580 | 0.46 | % | |||||||||||||
| Wind River 2022-1 CLO Ltd. | Subordinated Note (effective yield 18.44%, maturity 07/20/2035) (8) | 08/15/23 | 3,118,610 | 1,955,461 | 1,367,468 | 1.48 | % | |||||||||||||
| Wind River 2022-2 CLO Ltd. | Income Note (effective yield 17.47%, maturity 07/20/2035) (8) (9) | 06/03/22 | 600,000 | 400,400 | 276,916 | 0.30 | % | |||||||||||||
| Total CLO Equity | 98,231,984 | 94,967,250 | 103.09 | % | ||||||||||||||||
| Loan Accumulation Facilities (10) | ||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||
| United States | ||||||||||||||||||||
| Steamboat XLVIII Ltd. | Loan Accumulation Facility (8) | 04/08/24 | 1,706,250 | 1,706,250 | 1,716,925 | 1.86 | % | |||||||||||||
| Steamboat XLIX Ltd. | Loan Accumulation Facility (8) | 06/03/24 | 1,425,000 | 1,425,000 | 1,427,191 | 1.55 | % | |||||||||||||
| Steamboat LI Ltd. | Loan Accumulation Facility (8) | 09/27/24 | 356,250 | 356,250 | 356,332 | 0.39 | % | |||||||||||||
| Total Loan Accumulation Facilities | 3,487,500 | 3,500,448 | 3.80 | % | ||||||||||||||||
| Total investments at fair value as of September 30, 2024 | $ | 102,213,493 | $ | 99,007,468 | 107.48 | % | ||||||||||||||
| Net assets above (below) fair value of investments | (6,900,422 | ) | ||||||||||||||||||
| Net Assets as of September 30, 2024 | $ | 92,107,046 | ||||||||||||||||||
Eagle Point Institutional Income Fund & Subsidiaries
Consolidated Schedule of Investments
As of September 30, 2024
(expressed in U.S. dollars)
(Unaudited)
Footnotes to Schedule of Investments
| (1) | The Fund is not affiliated with, nor does it "control" (as such term is defined in the Investment Fund Act of 1940 (the "1940 Act")), any of the issuers listed. In general, under the 1940 Act, the Fund would be presumed to "control" an issuer if it owned 25% or more of its voting securities. |
| (2) | All securities exempt from registration under the Securities Act of 1933, and are deemed to be “restricted securities”. |
| (3) | Acquisition date represents the initial purchase date of investment. |
| (4) | Fair value is determined by the Adviser in accordance with written valuation policies and procedures, subject to oversight by the Fund’s Board of Trustees, in accordance with Rule 2a-5 under the 1940 Act. |
| (5) | Country represents the principal country of risk where the investment has exposure. |
| (6) | Variable rate investment. Interest rate shown reflects the rate in effect at the reporting date. Investment description includes the reference rate and spread. |
| (7) | CLO subordinated notes and income notes are considered CLO equity positions. CLO equity positions 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 upon the current projection of the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal payment. It is the Fund's policy to update the effective yield for each CLO equity position held within the Fund’s portfolio at the initiation of each investment and each subsequent quarter thereafter. The effective yield and investment cost may ultimately not be realized. As of September 30, 2024, the Fund's weighted average effective yield on its aggregate CLO equity positions, based on current amortized cost, was 17.49%. |
| (8) | Classified as Level III investments. |
| (9) | Fair value includes the Fund's interest in fee rebates on CLO subordinated and income notes. |
| (10) | Loan accumulation facilities are financing structures intended to aggregate loans that may be used to form the basis of a CLO vehicle. |
Reference Key:
| SOFR | Secured Overnight Financing Rate |
